What Does Stock Ownership Breadth Measure?

James Choi, Li Jin and Hongjun Yan

No 16591, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-mst
Note: AP
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Citations: View citations in EconPapers (1)

Published as James J. Choi & Li Jin & Hongjun Yan, 2013. "What Does Stock Ownership Breadth Measure?," Review of Finance, European Finance Association, vol. 17(4), pages 1239-1278.

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