{"title":"投资者信念的分布、股票所有权和股票收益","authors":"G. Hardouvelis, Georgios Karalas, Dimitri Vayanos","doi":"10.2139/ssrn.3824433","DOIUrl":null,"url":null,"abstract":"We study theoretically and empirically the relationship between investor beliefs, ownership \ndispersion and stock returns. We find that high dispersion, measured by high breadth or low \nHerfindahl index, forecasts returns positively for large stocks, as in Chen, Hong, and Stein (2002), \nbut negatively for small stocks. We explain that relationship in a difference-of-opinion model \nin which stocks differ in the size of investor disagreements and the extent of belief polarization. \nThese differences are characterized by range and kurtosis, respectively. Proxying investor beliefs \nby analyst forecasts, we find that range and kurtosis affect ownership dispersion in the way that \nour model predicts.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"The Distribution of Investor Beliefs, Stock Ownership and Stock Returns\",\"authors\":\"G. Hardouvelis, Georgios Karalas, Dimitri Vayanos\",\"doi\":\"10.2139/ssrn.3824433\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study theoretically and empirically the relationship between investor beliefs, ownership \\ndispersion and stock returns. We find that high dispersion, measured by high breadth or low \\nHerfindahl index, forecasts returns positively for large stocks, as in Chen, Hong, and Stein (2002), \\nbut negatively for small stocks. We explain that relationship in a difference-of-opinion model \\nin which stocks differ in the size of investor disagreements and the extent of belief polarization. \\nThese differences are characterized by range and kurtosis, respectively. Proxying investor beliefs \\nby analyst forecasts, we find that range and kurtosis affect ownership dispersion in the way that \\nour model predicts.\",\"PeriodicalId\":260048,\"journal\":{\"name\":\"Capital Markets: Market Efficiency eJournal\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-04-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Capital Markets: Market Efficiency eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3824433\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Capital Markets: Market Efficiency eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3824433","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
We study theoretically and empirically the relationship between investor beliefs, ownership
dispersion and stock returns. We find that high dispersion, measured by high breadth or low
Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong, and Stein (2002),
but negatively for small stocks. We explain that relationship in a difference-of-opinion model
in which stocks differ in the size of investor disagreements and the extent of belief polarization.
These differences are characterized by range and kurtosis, respectively. Proxying investor beliefs
by analyst forecasts, we find that range and kurtosis affect ownership dispersion in the way that
our model predicts.