منابع مشابه
Breadth of Ownership and Stock Returns
We develop a model of stock prices in which there are both differences of opinion among investors as well as short-sales constraints. The key insight that emerges is that breadth of ownership is a valuation indicator. When breadth is low i.e., when few investors have long positions in the stock this signals that the short-sales constraint is binding tightly, implying that prices are high relati...
متن کاملWhat Does Stock Ownership Breadth Measure?
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...
متن کاملDoes Ownership Breadth Predict Stock Returns? New Evidence from Market- Wide Holdings Data
We test how ownership breadth predicts stock returns. Using holdings data on a representative Shanghai Stock Exchange investor sample from 1996 to 2007, we find that cross-sectionally, high breadth change quintile stocks underperform low breadth change quintile stocks by 22 percent per year, a result driven by retail investor ownership breadth. This is consistent with breadth increases primaril...
متن کاملFounding family ownership , stock market returns , and agency problems
This paper explores the relationship between founding family ownership and stock market returns. Using the entire population of non-financial firms listed on the Swiss stock market for 2003–2013, we find that the stock returns of family firms are significantly higher than those of non-family firms after adjusting the returns for different risk factors and firm characteristics. Family firms gene...
متن کاملInflexibility and Stock Returns
Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms’ risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage f...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.247049