FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2768091148> ?p ?o ?g. }

• W2768091148 abstract "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 H of the shares of different investment styles in the ownership of stocks and represents a measure of investor inattention in stocks. Decile portfolios on H reveal a strong positive association of H with future returns, with the long-short portfolio on H having significant alphas after passing through the five-factor Fama-French (2015) model. The 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. The relation coexists with short-run price and style momentum and long-run style and price reversals of Barberis and Shleifer (2003) and remains present over multi-year horizons of stock returns, being both economically and statistically significant. The results are consistent with the model of Merton (1987), which claims a stock’s excess risk premium over the CAPM premium, is the product of investor participation (which is proxied by H in our framework), idiosyncratic volatility and size. These results also shed light on the small firm effect." @default.
• W2768091148 created "2017-11-17" @default.
• W2768091148 creator A5060476271 @default.
• W2768091148 creator A5070679724 @default.
• W2768091148 date "2017-01-01" @default.
• W2768091148 modified "2023-09-27" @default.
• W2768091148 title "Style Concentration in Ownership and Expected Stock Returns" @default.
• W2768091148 cites W1998258622 @default.
• W2768091148 cites W1999918735 @default.
• W2768091148 cites W2036855827 @default.
• W2768091148 cites W2046519558 @default.
• W2768091148 cites W2077270034 @default.
• W2768091148 cites W2095710106 @default.
• W2768091148 cites W2098653283 @default.
• W2768091148 cites W2116347131 @default.
• W2768091148 cites W2120139936 @default.
• W2768091148 cites W2149667093 @default.
• W2768091148 cites W2170612795 @default.
• W2768091148 cites W3121453935 @default.
• W2768091148 cites W3123117239 @default.
• W2768091148 cites W3195539962 @default.
• W2768091148 doi "https://doi.org/10.2139/ssrn.3065191" @default.
• W2768091148 hasPublicationYear "2017" @default.
• W2768091148 type Work @default.
• W2768091148 sameAs 2768091148 @default.
• W2768091148 citedByCount "1" @default.
• W2768091148 countsByYear W27680911482018 @default.
• W2768091148 crossrefType "journal-article" @default.
• W2768091148 hasAuthorship W2768091148A5060476271 @default.
• W2768091148 hasAuthorship W2768091148A5070679724 @default.
• W2768091148 hasConcept C105795698 @default.
• W2768091148 hasConcept C106159729 @default.
• W2768091148 hasConcept C127413603 @default.
• W2768091148 hasConcept C143591128 @default.
• W2768091148 hasConcept C147021879 @default.
• W2768091148 hasConcept C149782125 @default.
• W2768091148 hasConcept C151730666 @default.
• W2768091148 hasConcept C162324750 @default.
• W2768091148 hasConcept C169549615 @default.
• W2768091148 hasConcept C175444787 @default.
• W2768091148 hasConcept C181236170 @default.
• W2768091148 hasConcept C181308471 @default.
• W2768091148 hasConcept C183582576 @default.
• W2768091148 hasConcept C18991353 @default.
• W2768091148 hasConcept C204036174 @default.
• W2768091148 hasConcept C2778348673 @default.
• W2768091148 hasConcept C2780299701 @default.
• W2768091148 hasConcept C2780762169 @default.
• W2768091148 hasConcept C2780821815 @default.
• W2768091148 hasConcept C33923547 @default.
• W2768091148 hasConcept C556758197 @default.
• W2768091148 hasConcept C78519656 @default.
• W2768091148 hasConcept C86803240 @default.
• W2768091148 hasConcept C91602232 @default.
• W2768091148 hasConcept C94644931 @default.
• W2768091148 hasConceptScore W2768091148C105795698 @default.
• W2768091148 hasConceptScore W2768091148C106159729 @default.
• W2768091148 hasConceptScore W2768091148C127413603 @default.
• W2768091148 hasConceptScore W2768091148C143591128 @default.
• W2768091148 hasConceptScore W2768091148C147021879 @default.
• W2768091148 hasConceptScore W2768091148C149782125 @default.
• W2768091148 hasConceptScore W2768091148C151730666 @default.
• W2768091148 hasConceptScore W2768091148C162324750 @default.
• W2768091148 hasConceptScore W2768091148C169549615 @default.
• W2768091148 hasConceptScore W2768091148C175444787 @default.
• W2768091148 hasConceptScore W2768091148C181236170 @default.
• W2768091148 hasConceptScore W2768091148C181308471 @default.
• W2768091148 hasConceptScore W2768091148C183582576 @default.
• W2768091148 hasConceptScore W2768091148C18991353 @default.
• W2768091148 hasConceptScore W2768091148C204036174 @default.
• W2768091148 hasConceptScore W2768091148C2778348673 @default.
• W2768091148 hasConceptScore W2768091148C2780299701 @default.
• W2768091148 hasConceptScore W2768091148C2780762169 @default.
• W2768091148 hasConceptScore W2768091148C2780821815 @default.
• W2768091148 hasConceptScore W2768091148C33923547 @default.
• W2768091148 hasConceptScore W2768091148C556758197 @default.
• W2768091148 hasConceptScore W2768091148C78519656 @default.
• W2768091148 hasConceptScore W2768091148C86803240 @default.
• W2768091148 hasConceptScore W2768091148C91602232 @default.
• W2768091148 hasConceptScore W2768091148C94644931 @default.
• W2768091148 hasLocation W27680911481 @default.
• W2768091148 hasOpenAccess W2768091148 @default.
• W2768091148 hasPrimaryLocation W27680911481 @default.
• W2768091148 hasRelatedWork W1484187871 @default.
• W2768091148 hasRelatedWork W1571185152 @default.
• W2768091148 hasRelatedWork W2009043345 @default.
• W2768091148 hasRelatedWork W2010871580 @default.
• W2768091148 hasRelatedWork W2048516926 @default.
• W2768091148 hasRelatedWork W2082480410 @default.
• W2768091148 hasRelatedWork W2102460321 @default.
• W2768091148 hasRelatedWork W2148383196 @default.
• W2768091148 hasRelatedWork W2150925457 @default.
• W2768091148 hasRelatedWork W2157721186 @default.
• W2768091148 hasRelatedWork W2172194252 @default.
• W2768091148 hasRelatedWork W2186385943 @default.
• W2768091148 hasRelatedWork W2186774788 @default.
• W2768091148 hasRelatedWork W2244960212 @default.
• W2768091148 hasRelatedWork W2297551590 @default.
• W2768091148 hasRelatedWork W2774958396 @default.
• W2768091148 hasRelatedWork W2916595201 @default.

• next