What Does Stock Ownership Breadth Measure?

48 Pages Posted: 18 Mar 2010 Last revised: 4 Jul 2012

See all articles by James J. Choi

James J. Choi

Yale School of Management; National Bureau of Economic Research (NBER)

Li Jin

Harvard Business School - Finance Unit

Hongjun Yan

DePaul University

Multiple version iconThere are 2 versions of this paper

Date Written: June 30, 2012


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.

Keywords: Ownership breadth, short-sales constraints, heterogeneous beliefs, China

JEL Classification: G12, G14, G15

Suggested Citation

Choi, James J. and Jin, Li and Yan, Hongjun, What Does Stock Ownership Breadth Measure? (June 30, 2012). Available at SSRN: https://ssrn.com/abstract=1571694 or http://dx.doi.org/10.2139/ssrn.1571694

James J. Choi (Contact Author)

Yale School of Management ( email )

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National Bureau of Economic Research (NBER) ( email )

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Li Jin

Harvard Business School - Finance Unit ( email )

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Hongjun Yan

DePaul University ( email )

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Chicago, IL 60604
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