Breadth of Ownership and Stock Returns
Phil Rose
Broschiertes Buch

Breadth of Ownership and Stock Returns

Evidence from Portuguese Mutual Funds

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This book focuses on the forecasting power of breadth of ownership of Portuguese mutual funds on stock returns. Majority of studies tend to focus on the markets of China and the United States. We utilize a model with differences of opinion and short-sales constraints similar to that of Chen et al. (2002). Using data on mutual fund holdings we find that stocks with the largest negative changes in breadth tend to significantly underperform stocks with the largest positive changes in breadth in short horizons of one month and one quarter. However, the results are mixed when looking at longer hori...