Who Owns What? A Factor Model for Direct Stockholding

Vimal Balasubramaniam, John Campbell and Benjamin Ranish
Authors registered in the RePEc Author Service: Tarun Ramadorai

No 16378, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We build a cross-sectional factor model for investors' direct stockholdings, by analogy with standard time-series factor models for stock returns. We estimate the model using data from almost 10 million retail accounts in the Indian stock market. We find that stock characteristics such as firm age and share price have strong investor clienteles associated with them. Similarly, account attributes such as account age, account size, and extreme underdiversification (holding a single stock) are associated with particular characteristic preferences. Coheld stocks tend to have higher return covariance, suggestive of the importance of clientele effects in the stock market.

Keywords: Stockholding; Factor models; Coholdings; Portfolio construction; Diversification; Retail investors (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G2 G5 (search for similar items in EconPapers)
Date: 2021-07
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Journal Article: Who Owns What? A Factor Model for Direct Stockholding (2023)
Working Paper: Who Owns What? A Factor Model for Direct Stock Holding (2021)
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