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Who Owns What? A Factor Model for Direct Stockholding

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  • VIMAL BALASUBRAMANIAM
  • JOHN Y. CAMPBELL
  • TARUN RAMADORAI
  • BENJAMIN RANISH

Abstract

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.

Suggested Citation

  • Vimal Balasubramaniam & John Y. Campbell & Tarun Ramadorai & Benjamin Ranish, 2023. "Who Owns What? A Factor Model for Direct Stockholding," Journal of Finance, American Finance Association, vol. 78(3), pages 1545-1591, June.
    • Handle: RePEc:bla:jfinan:v:78:y:2023:i:3:p:1545-1591
    DOI: 10.1111/jofi.13220
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth

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