Who Owns What? A Factor Model for Direct Stock Holding

Vimal Balasubramaniam (), John Campbell, Tarun Ramadorai and Benjamin Ranish

No 29065, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We build a cross-sectional factor model for investors' direct stock holdings, 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.

JEL-codes: G11 G51 (search for similar items in EconPapers)
Date: 2021-07
New Economics Papers: this item is included in nep-cwa, nep-fmk, nep-isf and nep-ore
Note: AP
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Citations: View citations in EconPapers (5)

Published as Vimal Balasubramaniam & John Y. Campbell & Tarun Ramadorai & Benjamin Ranish, 2023. "Who Owns What? A Factor Model for Direct Stockholding," Journal of Finance, American Finance Association, vol. 78(3), pages 1545-1591, June.

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