IDEAS home Printed from https://ideas.repec.org/a/oup/revfin/v17y2013i4p1239-1278.html

What Does Stock Ownership Breadth Measure?

Author

Listed:
  • James J. Choi
  • Li Jin
  • Hongjun Yan

Abstract

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. Copyright 2013, Oxford University Press.

Suggested Citation

  • James J. Choi & Li Jin & Hongjun Yan, 2013. "What Does Stock Ownership Breadth Measure?," Review of Finance, European Finance Association, vol. 17(4), pages 1239-1278.
    • Handle: RePEc:oup:revfin:v:17:y:2013:i:4:p:1239-1278
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rof/rfs026
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P., 2015. "Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 23-37.
    2. Jing-Zhi Huang & Nan Qin & Ying Wang, 2024. "Breadth of Ownership and the Cross-Section of Corporate Bond Returns," Management Science, INFORMS, vol. 70(9), pages 5709-5730, September.
    3. Bastías, Jaime & Ruiz, José L., 2022. "Equity fire sales and herding behavior in pension funds," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
    5. Cao, Zhiqi & Wu, Wenfeng, 2022. "Ownership breadth: Investor recognition or short-sale constraints?," Finance Research Letters, Elsevier, vol. 47(PB).
    6. Opie, Wei & Zhang, Hong Feng, 2013. "Investor heterogeneity and the cross-sectional stock returns in China," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 1-20.
    7. Zhang, Yuntian & Zhang, Yongjie & Lin, Shen, 2026. "Retail investor sentiment in China," Research in International Business and Finance, Elsevier, vol. 84(C).
    8. Meng, Qingbin & Li, Ying & Jiang, Xuanyu & Chan, Kam C., 2017. "Informed or speculative trading? Evidence from short selling before star and non-star analysts’ downgrade announcements in an emerging market," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 240-255.
    9. Li Jin, 2012. "Comment on "Institutions and Information Environment of Chinese Listed Firms"," NBER Chapters, in: Capitalizing China, pages 242-246, National Bureau of Economic Research, Inc.
    10. Cao, Zhiqi & Lv, Dayong & Sun, Zhenzhen, 2021. "Stock price manipulation, short-sale constraints, and breadth-return relationship," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    11. Gordon, Narelle & Wu, Qiongbing, 2018. "The high-volume return premium and changes in investor recognition," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 121-136.
    12. Bian, Jiangze & Chan, Kalok & Fong, Wai-Ming, 2020. "Investor participation and the volatility-volume relation: Evidence from an emerging market," Emerging Markets Review, Elsevier, vol. 45(C).
    13. Chia, Yee-Ee & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "More shareholders, higher liquidity? Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 44(C).
    14. Gao, Shenghao & Brockman, Paul & Meng, Qingbin & Yan, Xuemin, 2020. "Differences of opinion, institutional bids, and IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 60(C).
    15. Ivo Welch, 2022. "The Wisdom of the Robinhood Crowd," Journal of Finance, American Finance Association, vol. 77(3), pages 1489-1527, June.
    16. Ma, Guangyuan & Wang, Yihong & Xu, Yekun & Zhang, Limin, 2023. "The breadth of ownership and corporate earnings management," Finance Research Letters, Elsevier, vol. 52(C).
    17. Zhiqi Cao & Wenfeng Wu, 2023. "Difference of opinion among investors versus analysts," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2347-2381, June.
    18. Chen, Keqi & Wang, Yuehan & Zhu, Xiaoquan, 2024. "The value of information in China’s connected market," Journal of Empirical Finance, Elsevier, vol. 78(C).
    19. Hu, Yingyi & Zhao, Tiao & Zhang, Lin, 2020. "Noise trading, institutional trading, and opinion divergence: Evidence on intraday data in the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 74-89.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:revfin:v:17:y:2013:i:4:p:1239-1278. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/eufaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.