Table 7. Long-short breadth change portfolio alphas among subsamples.

This table shows the one, three, and four-factor alphas from zero-investment portfolios that are formed based on breadth change within subsets of our sample: between 1996 and 2001; between 2002 and 2007; within only the smallest tradable market capitalization quintile; within only the largest tradable market capitalization quintile; or excluding stocks for which less than one year has elapsed since a share issuance or repurchase event. Breadth change is either equal- or wealth-weighted among all, retail, or institutional investors. We sort stocks into size quintiles based on their month t tradable market capitalization, and calculate month t breadth change quintile breakpoints (for all and retail investors) or 10th and 90th percentile month t breadth change breakpoints (for institutional investors) within each size quintile. We weight stocks within each size × breadth change sub-portfolio by tradable market capitalization. With the exception of the analyses that include only the smallest or largest size quintile, the portfolios whose alphas we report are long an equal-weighted portfolio of all the highest breadth change sub-portfolios across size quintiles and short an equal-weighted portfolio of all the lowest breadth change sub-portfolios across size quintiles. Stocks are held for one month during t + 1 before they are re-sorted into (possibly) new sub-portfolios. Because of months where some size × breadth change subportfolios are empty, the smallest size quintile equal-weighted institutional breadth change returns are calculated using only 133 months, and the largest size quintile equal-weighted institutional breadth change returns are calculated using only 136 months. Standard errors are in parentheses.

Panel A: One-factor alphas
	Equal-weighted breadth change			Wealth-weighted breadth change
	Total	Retail	Inst.	Total	Retail	Inst.
1996-2001	−2.44**	−2.46**	−1.29*	−1.24**	−1.95**	0.09
	(0.30)	(0.30)	(0.57)	(0.27)	(0.25)	(0.47)
2002-2007	−1.58**	−1.55**	0.30	0.39*	−0.88**	1.13**
	(0.29)	(0.29)	(0.21)	(0.17)	(0.19)	(0.25)
Smallest size quintile	−1.73**	−1.75**	0.09	−0.60	−0.99**	0.31
	(0.32)	(0.33)	(0.51)	(0.34)	(0.32)	(0.41)
Largest size quintile	−2.21**	−2.20**	−0.11	0.22	−1.42**	1.51*
	(0.44)	(0.44)	(0.55)	(0.39)	(0.35)	(0.62)
No issuances or repurchases in last year	−1.95**	−1.93**	−0.35	−0.44*	−1.27**	0.69*
	(0.24)	(0.24)	(0.30)	(0.20)	(0.20)	(0.31)

Panel B: Three-factor alphas
	Equal-weighted breadth change			Wealth-weighted breadth change
	Total	Retail	Inst.	Total	Retail	Inst.
1996-2001	−2.26**	−2.28**	−1.18*	−1.20**	−1.97**	0.29
	(0.30)	(0.31)	(0.59)	(0.28)	(0.27)	(0.48)
2002-2007	−1.57**	−1.54**	0.31	0.38*	−0.81**	1.07**
	(0.30)	(0.30)	(0.22)	(0.18)	(0.20)	(0.26)
Smallest size quintile	−1.66**	−1.69**	0.31	−0.44	−0.81*	0.33
	(0.33)	(0.34)	(0.51)	(0.33)	(0.31)	(0.41)
Largest size quintile	−2.07**	−2.06**	−0.20	0.28	−1.43**	1.68**
	(0.44)	(0.44)	(0.56)	(0.40)	(0.35)	(0.60)
No issuances or repurchases in last year	−1.88**	−1.91**	−0.40	−0.43*	−1.27**	0.77*
	(0.24)	(0.24)	(0.30)	(0.21)	(0.20)	(0.31)

Panel C: Four-factor alphas
	Equal-weighted breadth change			Wealth-weighted breadth change
	Total	Retail	Inst.	Total	Retail	Inst.
1996-2001	−2.34**	−2.37**	−1.08	−1.17**	−2.02**	0.45
	(0.28)	(0.29)	(0.58)	(0.28)	(0.26)	(0.43)
2002-2007	−1.54**	−1.52**	0.31	0.38*	−0.80**	1.06**
	(0.30)	(0.30)	(0.22)	(0.18)	(0.20)	(0.26)
Smallest size quintile	−1.66**	−1.68**	0.32	−0.41	−0.78*	0.33
	(0.33)	(0.34)	(0.51)	(0.33)	(0.31)	(0.42)
Largest size quintile	−2.04**	−2.03**	−0.26	0.22	−1.45**	1.61**
	(0.44)	(0.43)	(0.54)	(0.38)	(0.35)	(0.58)
No issuances or repurchases in last year	−1.86**	−1.89**	−0.45	−0.44*	−1.26**	0.71*
	(0.24)	(0.24)	(0.29)	(0.20)	(0.20)	(0.29)

^*Significant at the 5% level.

^**Significant at the 1% level.