Review of Finance Vol. 17 No. 4 2013
What Does Stock Ownership Breadth Measure?
open access
Abstract
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.
- DOI
- 10.1093/rof/rfs026
- Volume
- 17
- Issue
- 4
- Pages
- 1239-1278
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref