VGSF - WU Vienna - LC

Tarun Ramadorai, Imperial College London

online via Zoom 11:00 - 12:15

Organizer VGSF

As part of the ser­ies of the "Fin­ance Re­search Sem­inar", VGSF wel­comes Tarun Ra­mado­rai from the Im­per­ial Col­lege Lon­don to present his re­search pa­per.
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Who Owns What? A Factor Model of Dir­ect Stock­hold­ings

We build a cross-sec­tional factor model for in­vestors' dir­ect stock hold­ings, 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.

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