What Does Stock Ownership Breadth Measure?

49 Pages Posted: 13 Dec 2010

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: December 2010


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.

Suggested Citation

Choi, James J. and Jin, Li and Yan, Hongjun, What Does Stock Ownership Breadth Measure? (December 2010). NBER Working Paper No. w16591. Available at SSRN: https://ssrn.com/abstract=1723019

James J. Choi (Contact Author)

Yale School of Management ( email )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Li Jin

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States
617-495-5590 (Phone)
617-496-5271 (Fax)

Hongjun Yan

DePaul University ( email )

1 East Jackson Blvd.
Chicago, IL 60604
United States

HOME PAGE: http://sites.google.com/view/hongjunyan

Register to save articles to
your library


Paper statistics

Abstract Views
PlumX Metrics