| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29065 |
| 来源ID | Working Paper 29065 |
| Who Owns What? A Factor Model for Direct Stock Holding | |
| Vimal Balasubramaniam; John Y. Campbell; Tarun Ramadorai; Benjamin Ranish | |
| 发表日期 | 2021-07-26 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29065 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586739 |
| 推荐引用方式 GB/T 7714 | Vimal Balasubramaniam,John Y. Campbell,Tarun Ramadorai,et al. Who Owns What? A Factor Model for Direct Stock Holding. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29065.pdf（543KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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