1 option
Who Owns What? A Factor Model for Direct Stock Holding / Vimal Balasubramaniam, John Y. Campbell, Tarun Ramadorai, Benjamin Ranish.
- Format:
- Book
- Author/Creator:
- Balasubramaniam, Vimal.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29065.
- NBER working paper series no. w29065
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- 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.
- Notes:
- Print version record
- July 2021.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.