"Who Owns What? A Factor Model for Direct Stockholding"

Category: Macro Seminar
When: 20 April 2021
, 14:15
 - 15:30
Where: online
Speaker: John Y. Campbell (Harvard University)



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 and 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