{"id":182,"date":"2017-10-01T00:43:32","date_gmt":"2017-09-30T21:43:32","guid":{"rendered":"http:\/\/hardouvelis.gr\/?p=182"},"modified":"2023-08-02T17:28:55","modified_gmt":"2023-08-02T14:28:55","slug":"style-concentration-ownership-expected-stock-returns","status":"publish","type":"post","link":"https:\/\/hardouvelis.gr\/el\/style-concentration-ownership-expected-stock-returns\/","title":{"rendered":"Style Concentration in Ownership and Expected Stock Returns"},"content":{"rendered":"<p><strong>Style Concentration in Ownership and Expected Stock Returns<\/strong><br \/>\nAuthors: Gikas A. Hardouvelis and Georgios I. Karalas<br \/>\nLast Draft: <em>October 2017<\/em><\/p>\n<h3>Abstract:<\/h3>\n<p><span class=\"fontstyle0\">We examine the relation of expected stock returns with fund style concentration in stock ownership over the period 1997-2015. Concentration is measured by the Herfindahl index <\/span><span class=\"fontstyle2\">H <\/span><span class=\"fontstyle0\">of the shares of different investment styles in the ownership of stocks and represents a measure of investor inattention in stocks. <\/span><\/p>\n<p><span class=\"fontstyle0\">Decile portfolios on H reveal a strong positive association of <\/span><span class=\"fontstyle2\">H <\/span><span class=\"fontstyle0\">with future returns, with the long-short<br \/>\nportfolio on <\/span><span class=\"fontstyle2\">H <\/span><span class=\"fontstyle0\">having significant alphas after passing through the five-factor FamaFrench (2015) model.<\/span><\/p>\n<p><span class=\"fontstyle0\"><br \/>\nThe econometric results confirm the positive association and are robust to the inclusion of known risk-factors as determinants of expected stock returns, the returns of the investment styles themselves, plus a set of style-related control variables and other liquidity, size, or volatility characteristics of stocks. <\/span><\/p>\n<p><span class=\"fontstyle0\">The relation coexists with short-run price and style momentum and long-run style and price revesals of Barberis<br \/>\nand Shleifer (2003) and remains present over multi-year horizons of stock returns, being both economically and statistically significant.<\/span><\/p>\n<p><span class=\"fontstyle0\">The results are consistent with the model of Merton (1987), which claims a stock\u2019s excess risk premium over the CAPM premium, is the product of investor participation (which is proxied by <\/span><span class=\"fontstyle2\">H <\/span><span class=\"fontstyle0\">in our framework), idiosyncratic volatility and<br \/>\nsize. These results also shed light on the small firm effect.<\/span><\/p>\n<p><strong><span class=\"fontstyle3\">JEL classification<\/span><\/strong><span class=\"fontstyle0\"><strong>:<\/strong> G12, G23, G4<br \/>\n<\/span><strong><span class=\"fontstyle3\">Keywords<\/span><span class=\"fontstyle4\">: <\/span><\/strong><span class=\"fontstyle0\">Asset pricing, Style Investing, Stock Ownership Concentration,<br \/>\nInstitutional Investors, Multi-period Expected Stock Returns, Size Effect<\/span><\/p>\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3065191\" target=\"_blank\" rel=\"noopener\">Download Style Concentration in Ownership and Expected Stock Returns from SSRN<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Style Concentration in Ownership and Expected Stock Returns Authors: Gikas A. Hardouvelis and Georgios I. Karalas Last Draft: October 2017<\/p>\n","protected":false},"author":1,"featured_media":4399,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[4,6],"tags":[3251],"yst_prominent_words":[333,327,322,335,325,320,330,334,328,324,321,331,337,338,329,158,336,332,326,323],"class_list":["post-182","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-academic-publications","category-working-papers","tag-academic-publications"],"acf":[],"_links":{"self":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/182","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/comments?post=182"}],"version-history":[{"count":6,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/182\/revisions"}],"predecessor-version":[{"id":1441,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/182\/revisions\/1441"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/media\/4399"}],"wp:attachment":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/media?parent=182"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/categories?post=182"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/tags?post=182"},{"taxonomy":"yst_prominent_words","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/yst_prominent_words?post=182"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}