G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16378
DP16378 Who Owns What? A Factor Model for Direct Stockholding
Vimal Balasubramaniam; John Y Campbell; Benjamin Ranish
发表日期2021-07-21
出版年2021
语种英语
摘要We build a cross-sectional factor model for investors' direct stockholdings, by analogy with standard time-series factor models for stock returns. We estimate the model using data from almost 10 million retail accounts in the Indian stock market. We find that stock characteristics such as firm age and share price have strong investor clienteles associated with them. Similarly, account attributes such as account age, account size, and extreme underdiversification (holding a single stock) are associated with particular characteristic preferences. Coheld stocks tend to have higher return covariance, suggestive of the importance of clientele effects in the stock market.
主题Financial Economics
关键词Stockholding Factor models Coholdings Portfolio construction Diversification Retail investors
URLhttps://cepr.org/publications/dp16378
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/545342
推荐引用方式
GB/T 7714
Vimal Balasubramaniam,John Y Campbell,Benjamin Ranish. DP16378 Who Owns What? A Factor Model for Direct Stockholding. 2021.
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