What does stock ownership breadth measure

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.

Item Type: Article
Keywords: investments, stocks, finance
Subject(s): Finance
Date Deposited: 07 Mar 2014 10:38
Last Modified: 05 Dec 2018 15:40
Funders: Not applicable
URI: http://eureka.sbs.ox.ac.uk/id/eprint/4978

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