| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16029 |
| DP16029 The Distribution of Investor Beliefs, Stock Ownership and Stock Returns | |
| Gikas Hardouvelis; Georgios Karalas; Dimitri Vayanos | |
| 发表日期 | 2021-04-12 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We find that high dispersion, measured by high breadth or low Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong and Stein (2002), but negatively for small stocks. We explain that relationship in a difference-of-opinion model in which stocks differ in the size of investor disagreements and the extent of belief polarization. These differences are characterized by range and kurtosis, respectively. Proxying investor beliefs by analyst forecasts, we find that range and kurtosis affect ownership dispersion in the way that our model predicts. |
| 主题 | Financial Economics |
| 关键词 | Differences of opinion Polarization Stock ownership Return predictability |
| URL | https://cepr.org/publications/dp16029 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545010 |
| 推荐引用方式 GB/T 7714 | Gikas Hardouvelis,Georgios Karalas,Dimitri Vayanos. DP16029 The Distribution of Investor Beliefs, Stock Ownership and Stock Returns. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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