Download This PaperFinding Volatile Stocks using Herfindahl-Hirschman Concentration
5 Pages Posted: 1 Apr 2021
Date Written: May 1, 2019
Abstract
This paper computes Herfindahl-Hirschman ownership dispersion from EPFR holdings data and documents that stocks scoring poorly on this measure tend to be more volatile than, and underperform, stocks scoring well.
Keywords: Ownership, Stock Allocation
Suggested Citation: Suggested Citation
Srimurthy, Vikram and Baronyan, Sayad and Brandt, Cameron and Shen, Steven, Finding Volatile Stocks using Herfindahl-Hirschman Concentration (May 1, 2019). Available at SSRN: https://ssrn.com/abstract=3806037 or http://dx.doi.org/10.2139/ssrn.3806037
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