NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

What Does Stock Ownership Breadth Measure?

James J. Choi, Li Jin, Hongjun Yan

NBER Working Paper No. 16591
Issued in December 2010, Revised in July 2012
NBER Program(s):Asset Pricing

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.

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Document Object Identifier (DOI): 10.3386/w16591

Published: 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. citation courtesy of

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