What Does Stock Ownership Breadth Measure?
Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year. Small retail investors drive this result. Retail ownership breadth increases appear to be correlated with overpricing. Among institutional investors, however, the opposite holds: stocks in the top decile of wealth-weighted institutional breadth change outperform the bottom decile by 8% per year, consistent with prior work that interprets breadth as a measure of short-sales constraints. Copyright 2013, Oxford University Press.
Year of publication: |
2013
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Authors: | Choi, James J. ; Jin, Li ; Yan, Hongjun |
Published in: |
Review of Finance. - European Finance Association - EFA, ISSN 1572-3097. - Vol. 17.2013, 4, p. 1239-1278
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Publisher: |
European Finance Association - EFA |
Saved in:
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