publication . Article . Report . Preprint . Other literature type . 2012

What Does Stock Ownership Breadth Measure?

James J. Choi; Li Jin; Hongjun Yan;
Open Access
  • Published: 25 Oct 2012 Journal: Review of Finance, volume 17, issue 4, pages 1,239-1,278
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 co...
free text keywords: jel:G12, Economics, Decile, Institutional investor, Stock (geology), Finance, business.industry, business, Stock exchange, Financial economics, Article
Related Organizations
Funded by
  • Funder: National Institutes of Health (NIH)
  • Project Code: 2P01AG005842-04
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