| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8151 |
| 来源ID | Working Paper 8151 |
| Breadth of Ownership and Stock Returns | |
| Joseph Chen; Harrison Hong; Jeremy C. Stein | |
| 发表日期 | 2001-03-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We develop a model of stock prices in which there are both differences of opinion among investors as well as short-sales constraints. The key insight that emerges is that breadth of ownership is a valuation indicator. When breadth is low i.e., when few investors have long positions in the stock this signals that the short-sales constraint is binding tightly, implying that prices are high relative to fundamentals and that expected returns are therefore low. Thus reductions (increases) in breadth should forecast lower (higher) returns. Using quarterly data on mutual fund holdings over the period 1979-1998, we find evidence supportive of this prediction: stocks whose change in breadth in the prior quarter places them in the lowest decile of the sample underperform those in the top change-in-breadth decile by 6.38% in the first twelve months after portfolio formation. After adjusting for size, book-to-market and momentum, the corresponding figure is 4.95%. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w8151 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565747 |
| 推荐引用方式 GB/T 7714 | Joseph Chen,Harrison Hong,Jeremy C. Stein. Breadth of Ownership and Stock Returns. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8151.pdf（271KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
