| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16591 |
| 来源ID | Working Paper 16591 |
| What Does Stock Ownership Breadth Measure? | |
| James J. Choi; Li Jin; Hongjun Yan | |
| 发表日期 | 2010-12-09 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16591 |
| 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/574266 |
| 推荐引用方式 GB/T 7714 | James J. Choi,Li Jin,Hongjun Yan. What Does Stock Ownership Breadth Measure?. 2010. |
| 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 | ||
| w16591.pdf（284KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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