James, Choi, Jin, Li and Yan, Hongjun (2013) What does stock ownership breadth measure. Review of Finance, 17 (4). pp. 1239-1278.
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.
|Centre:||Faculty of Finance|
|Date Deposited:||07 Mar 2014 10:38|
|Last Modified:||23 Oct 2015 14:08|
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