Breadth of ownership and stock excess returns

Chunpeng Yang and Xiaoyi Hu

Pacific-Basin Finance Journal, 2019, vol. 55, issue C, 259-269

Abstract: Using trading data from the Chinese Stock Market, we construct a trading-based breadth of ownership measure using buyer-initiated volume and seller-initiated volume in individual stocks, and further examine the role of breadth of ownership in stock excess returns. We find that the breadth of ownership has a positive and significant effect on stock excess returns beyond the Fama-French three factors and four firm-level factors (size, age, book-to-market and turnover rate). Moreover, we show that the influence of breadth on stock excess returns is positive and significant in both large stocks and small stocks, and both young stocks and old stocks. In addition, we demonstrate that the breadth of ownership effect is stable in different sample periods, in different stock markets, and with and without short-selling constraints.

Keywords: Breadth of ownership; Buyer-initiated volume; Seller-initiated volume; Stock excess returns (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:55:y:2019:i:c:p:259-269

DOI: 10.1016/j.pacfin.2019.04.004

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