{"id":3581,"date":"2021-04-12T14:54:11","date_gmt":"2021-04-12T11:54:11","guid":{"rendered":"http:\/\/hardouvelis.gr\/?p=3581"},"modified":"2023-10-26T18:30:35","modified_gmt":"2023-10-26T15:30:35","slug":"the-distribution-of-investor-beliefs-stock-ownership-and-stock-returns","status":"publish","type":"post","link":"https:\/\/hardouvelis.gr\/el\/the-distribution-of-investor-beliefs-stock-ownership-and-stock-returns\/","title":{"rendered":"The Distribution of Investor Beliefs, Stock Ownership and Stock Returns"},"content":{"rendered":"<p><\/p>\n<h2><strong><span style=\"font-size: 14pt;\">The Distribution of Investor Beliefs, Stock Ownership and Stock Returns<\/span><br \/>\n<\/strong><span style=\"font-size: 12pt;\">Gikas Hardouvelis, Georgios Karalas, Dimitri Vayanos<\/span><br \/>\n<span style=\"font-size: 12pt;\">April 12,2021<\/span><\/h2>\n<p>&nbsp;<\/p>\n<p>Abstract:<\/p>\n<p>We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We \ufb01nd that high dispersion, measured by high breadth or low Her\ufb01ndahl 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 di\ufb00erence-of-opinion model in which stocks di\ufb00er in the size of investor disagreements and the extent of belief polarization. These di\ufb00erences are characterized by range and kurtosis, respectively. Proxying investor beliefs by analyst forecasts, we \ufb01nd that range and kurtosis a\ufb00ect ownership dispersion in the way that our model predicts.<\/p>\n<p><strong>JEL:<\/strong> G10, G11, G12, G23<\/p>\n<p><strong>Keywords:<\/strong> Di\ufb00erences of opinion, polarization, stock ownership, return predictability<\/p>\n<h2><a style=\"font-family: 'Open Sans', sans-serif; font-size: 16px; font-weight: 400;\" href=\"http:\/\/hardouvelis.gr\/wp-content\/uploads\/2021\/05\/Breadth_H_Returns.pdf\">Download &#8220;The Distribution of Investor Beliefs, Stock Ownership and Stock Returns&#8221;<\/a><\/h2>\n<p><\/p>","protected":false},"excerpt":{"rendered":"<p>The Distribution of Investor Beliefs, Stock Ownership and Stock Returns Gikas Hardouvelis, Georgios Karalas, Dimitri Vayanos April 12,2021 &nbsp; Abstract:<\/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":[3267,6],"tags":[3261],"yst_prominent_words":[3109,3102,3092,3107,3098,3091,3077,3074,3101,3094,334,3108,3100,3085,3075,172,329,3099,3093,158],"class_list":["post-3581","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-publications","category-working-papers","tag-working-papers"],"acf":[],"_links":{"self":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/3581","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=3581"}],"version-history":[{"count":2,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/3581\/revisions"}],"predecessor-version":[{"id":3591,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/3581\/revisions\/3591"}],"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=3581"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/categories?post=3581"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/tags?post=3581"},{"taxonomy":"yst_prominent_words","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/yst_prominent_words?post=3581"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}