Do Households Matter for Asset Prices?

Carter Davis, Samuli Knupfer, Jens Soerlie Kvaerner, Bahar Sen Dogan and Petra Vokata
Additional contact information
Carter Davis: Indiana U Bloomington
Samuli Knupfer: Aalto U and BI Norwegian Business School
Jens Soerlie Kvaerner: Tilburg U
Bahar Sen Dogan: Tilburg U
Petra Vokata: Ohio State U

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: Contrary to the common assertion that households have little impact on stock prices, we find their relevance is of first order. We quantify their impact using an assetdemand system applied to the complete ownership data for all Norwegian stocks from 2007 to 2020. Households contribute the most to stock market volatility relative to their market share. Even in absolute terms, they come second, surpassed only by institutional investors. Our granular data on households reveal a strong factor structure in household demand: The demand of the rich is distinct from less affluent investors, accounts for the bulk of volatility attributable to households, tilts away from ESG, and is informative about future firm fundamentals. We conclude by using the demand system to measure the profits one can make from trading on household demand shocks.

JEL-codes: G11 G12 G50 (search for similar items in EconPapers)
Date: 2025-03
New Economics Papers: this item is included in nep-fdg
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4931590

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:ohidic:2024-23

Access Statistics for this paper

More papers in Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().