| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28697 |
| 来源ID | Working Paper 28697 |
| The Distribution of Investor Beliefs, Stock Ownership and Stock Returns | |
| Gikas Hardouvelis; Georgios Karalas; Dimitri Vayanos | |
| 发表日期 | 2021-04-19 |
| 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 ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w28697 |
| 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/586369 |
| 推荐引用方式 GB/T 7714 | Gikas Hardouvelis,Georgios Karalas,Dimitri Vayanos. The Distribution of Investor Beliefs, Stock Ownership and Stock Returns. 2021. |
| 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 | ||
| w28697.pdf（547KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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