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The stock dropped 0.8p to 250.4p after the group gave further details of its rationale for buying Home Retail, which it announced last week.
On Wednesday, Sainsbury's finance chief John Rogers moved to allay concerns about the bid, reportedly saying “it’s not a must-do deal.”
There have been fears that Sainsbury's might find the transaction logistically difficult to complete and could overpay.
Jasper Lawler at CMC Markets said: "If Sainsbury’s does want to pull it off, then it may have to pay almost half again as much as its first offer.
"An extra £500mln on top of the purchase price would make a deal much more risky for shareholders."
Shore Capital said the update on the bid provided little further detail in terms of price, financial benefits and integration costs, the potential size of any equity fund-raising and the nature of any involvement or otherwise by the supermarket's Qatari shareholders.
Shore analysts Clive Black and Darren Shirley said in a note that they had "huge regard" for Rogers.
But they added: "We still have more questions than answers, which leads us to sit on the fence for a little while longer."
Meanwhile, Sainsbury's, which has been doing better than rivals in the battle against discounters, said total third quarter retail sales rose 0.8% excluding fuel against the same period a year ago, although they fell 0.7% including fuel.
But like-for-like retail sales for the third quarter were down 0.4% excluding fuel and also fell 1.8% including fuel.
Nevertheless, Sainsbury's said it now expected its like-for-like sales in the second half of the year to be better than the first
But chief executive Mike Coupe added: "Food deflation and pressures on pricing will ensure that the market remains challenging for the foreseeable future.
"We will continue to remain competitive on price and our performance this quarter provides further evidence that our strategy is working."
At the end of the quarter, Sainsbury's had 600 supermarkets and 757 convenience stores.
It opened 16 convenience stores in the quarter and had its biggest ever day for convenience sales on Christmas Eve.
Grocery online sales rose nearly a tenth and it had a record week in the quarter, delivering over 289,000 online orders.
Unlike the beleaguered general merchandise business of Marks & Spencer (LON:MKS), Sainsbury's equivalent operation increased sales by 5% in the quarter. Within that, clothing sales increased nearly 6%, despite mild autumn weather.
Shore Capital said the like-for-like figure was below its expectation for a flat result against last year, although the update should help to underpin hopes for 2016 pre-tax profits.
It added: "Whilst so, given the very good performance from general merchandising (+5%) and clothing (+6) divisions of the company, and taking into account the application of VAT on these products, it suggests to us that Sainsbury's ex-VAT food LFL sales were a little weaker, say minus 1.0% to -1.25%."