Who Owns What? A Factor Model for Direct Stockholding

79 Pages Posted: 2 Mar 2021

See all articles by Vimal Balasubramaniam

Vimal Balasubramaniam

Queen Mary University of London; Centre for Economic Policy Research (CEPR)

John Y. Campbell

Harvard University - Department of Economics; National Bureau of Economic Research (NBER)

Tarun Ramadorai

Imperial College London; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Benjamin Ranish

Board of Governors of the Federal Reserve System

Date Written: March 1, 2021

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.

Keywords: stockholding, factor models, coholdings, portfolio construction, diversification, retail investors

JEL Classification: G2, G11, G12, G14, G5

Suggested Citation

Balasubramaniam, Vimal and Campbell, John Y. and Ramadorai, Tarun and Ranish, Benjamin, Who Owns What? A Factor Model for Direct Stockholding (March 1, 2021). Available at SSRN: https://ssrn.com/abstract=3795521 or http://dx.doi.org/10.2139/ssrn.3795521

Vimal Balasubramaniam

Queen Mary University of London ( email )

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Centre for Economic Policy Research (CEPR) ( email )

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John Y. Campbell

Harvard University - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Tarun Ramadorai (Contact Author)

Imperial College London ( email )

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HOME PAGE: http://www.tarunramadorai.com

Centre for Economic Policy Research (CEPR) ( email )

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United Kingdom

European Corporate Governance Institute (ECGI) ( email )

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Benjamin Ranish

Board of Governors of the Federal Reserve System ( email )

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United States

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