Who Owns What? A Factor Model for Direct Stockholding

• 成果类型: Article; Early Access
• 署名作者: Balasubramaniam, Vimal; Campbell, John Y. Y.; Ramadorai, Tarun; Ranish, Benjamin
• 署名单位: University of London; Queen Mary University London; Centre for Economic Policy Research - UK; Harvard University; National Bureau of Economic Research; Imperial College London; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13220
• 发表日期: 2023
• 关键词: individual investors; Market equilibrium; Emerging markets; business groups; STOCK; performance; preference; arbitrage; BEHAVIOR

摘要

We build a cross-sectional factor model for investors' direct stockholdings and estimate it using data from almost 10 million retail accounts in the Indian stock market. Our model identifies strong investor clienteles for stock characteristics, most notably firm age and share price, and for particular clusters of stock characteristics. These clienteles are intuitively associated with investor attributes such as account age, size, and diversification. Coheld stocks tend to have higher return covariance, inconsistent with simple models of diversification but suggestive that clientele demands influence stock returns.