| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16378 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
