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Who Owns What? A Factor Model for Direct Stockholding

Author

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  • Balasubramaniam, Vimal
  • Campbell, John Y
  • Ranish, Benjamin

Abstract

We build a cross-sectional factor model for investors' direct stockholdings, by analogy with standard time-series factor models for stock returns. We estimate the model using data from almost 10 million retail accounts in the Indian stock market. We find that stock characteristics such as firm age and share price have strong investor clienteles associated with them. Similarly, account attributes such as account age, account size, and extreme underdiversification (holding a single stock) are associated with particular characteristic preferences. Coheld stocks tend to have higher return covariance, suggestive of the importance of clientele effects in the stock market.

Suggested Citation

  • Balasubramaniam, Vimal & Campbell, John Y & Ranish, Benjamin, 2021. "Who Owns What? A Factor Model for Direct Stockholding," CEPR Discussion Papers 16378, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:16378
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    2. repec:acb:cbeeco:2023-698 is not listed on IDEAS
    3. John H Cochrane, 2022. "Portfolios for Long-Term Investors [Rare disasters and asset markets in the twentieth century]," Review of Finance, European Finance Association, vol. 26(1), pages 1-42.
    4. Grant, Andrew & Kalev, Petko S. & Subrahmanyam, Avanidhar & Joakim Westerholm, P., 2022. "Retail trading activity and major lifecycle events: The case of divorce," Journal of Banking & Finance, Elsevier, vol. 135(C).
    5. Kogan, Shimon & Makarov, Igor & Niessner, Marina & Schoar, Antoinette, 2024. "Are cryptos different? Evidence from retail trading," Journal of Financial Economics, Elsevier, vol. 159(C).
    6. Yevgeny Mugerman & Nadav Steinberg, 2024. "How Do Mutual Fund Management Fee Changes Impact Mutual Fund Flows," Bank of Israel Working Papers 2024.12, Bank of Israel.
    7. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
    8. Laarits, Toomas & Sammon, Marco, 2025. "The retail habitat," Journal of Financial Economics, Elsevier, vol. 172(C).
    9. Yaling Li & Ronghua Luo & Kailing Shen, 2024. "Information Acquisition and Individual Investors’ Trading Behavior," ANU Working Papers in Economics and Econometrics 2024-698, Australian National University, College of Business and Economics, School of Economics.
    10. Luciano Somoza & Antoine Didisheim, 2022. "The End of the Crypto-Diversification Myth," Swiss Finance Institute Research Paper Series 22-53, Swiss Finance Institute.
    11. Kogana, Shimon & Makarov, Igor & Niessnerc, Marina & Schoar, Antoinette, 2024. "Are cryptos different? Evidence from retail trading," LSE Research Online Documents on Economics 122266, London School of Economics and Political Science, LSE Library.

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    Keywords

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    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G5 - Financial Economics - - Household Finance

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