We show how a stock return model can be described by measures of distance between stocks along the country, industry, and ownership dimensions. This ownership return dimension is shown to be a continuous summary measure of institutional investor habitat. Empirically, we find that the ownership...

We derive a foreign ownership return as the weighted average return of foreign stocks that are connected to a stock through common ownership. The foreign ownership return is of similar economic significance as traditional country and industry factors in explaining international stock returns. It...