DelBreadth · Ownership · Chen, Hong and Stein (2002)

Breadth of ownership

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1980Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.42%

95% interval −0.28% to 1.12%

Next year

0.42%

95% interval −0.29% to 1.13%

Next five years

0.40%

95% interval −0.34% to 1.15%

Next quarter

1.19%

95% interval 0.50% to 1.90%

Next year

1.18%

95% interval 0.45% to 1.92%

Next five years

1.15%

95% interval 0.23% to 2.00%

Next quarter

0.56%

95% interval −0.27% to 1.37%

Next year

0.54%

95% interval −0.30% to 1.38%

Next five years

0.49%

95% interval −0.43% to 1.41%

Next quarter

1.65%

95% interval 0.77% to 2.52%

Next year

1.62%

95% interval 0.69% to 2.54%

Next five years

1.52%

95% interval 0.33% to 2.61%

Cumulative market-adjusted return

+80% since 1980Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1980Q3–2024Q4	1.85%	10.36%	0.18	1.19
2020Q1–2024Q4	6.06%	15.96%	0.38	0.85
2024Q1–2024Q4	11.97%	11.49%	1.04	1.04
1980Q3–2024Q4	5.72%	10.79%	0.53	3.54
2020Q1–2024Q4	5.66%	10.56%	0.54	1.20
2024Q1–2024Q4	17.19%	7.35%	2.34	2.34
1980Q3–2024Q4	2.24%	12.15%	0.18	1.23
2020Q1–2024Q4	8.11%	17.73%	0.46	1.02
2024Q1–2024Q4	15.26%	14.64%	1.04	1.04
1980Q3–2024Q4	7.48%	13.69%	0.55	3.64
2020Q1–2024Q4	11.00%	15.07%	0.73	1.63
2024Q1–2024Q4	22.33%	11.91%	1.87	1.87

Horizon	Mean	95% interval	P(neg)
Next quarter	0.082	−0.054 – 0.217	0.12
Next year	0.081	−0.056 – 0.218	0.12
Next five years	0.078	−0.066 – 0.222	0.14
Next quarter	0.222	0.093 – 0.354	0.00
Next year	0.219	0.083 – 0.358	0.00
Next five years	0.214	0.042 – 0.371	0.01
Next quarter	0.092	−0.045 – 0.226	0.09
Next year	0.089	−0.049 – 0.228	0.10
Next five years	0.081	−0.071 – 0.232	0.14
Next quarter	0.243	0.112 – 0.369	0.00
Next year	0.237	0.101 – 0.372	0.00
Next five years	0.222	0.048 – 0.379	0.01