Investigating the relationship between breadth of ownership and stock excess returns in companies listed on the Tehran Stock Exchange

The main purpose of this study is to investigate the scope or breadth of ownership on stock excess returns (Stock risk premium). Using Monthly trading data from the Tehran Stock Market, we construct a trading - ased breadth of ownership measure using buyer-initiated volume and seller-initiated volume in individual stocks, and further examine the role of breadth of ownership in stock excess returns (Stock risk premium). In order to investigate this issue, research hypotheses based on a statistical sample consisting of 92 companies during the years 2015 to 2019 and tested using multivariate regression models based on composite data. The results show that there is a positive and significant relationship between the breadth of ownership and stock excess returns. The results also showed that there was a positive and significant relationship between the control variables of three factors, Fama and French, including risk premium, size factor, value factor, and control variables of company level, ie life, book value to market ratio and stock turnover rate with stock excess returns, and there is a negative and significant relationship between the control variable of company size and stock excess returns. Based on the research results, it is suggested to managers and investors that in key investment decisions of companies, they should have a relationship between the Breadth of ownership (stock trading volume) and stock excess returns to avoid unintended losses that may result from irrational decisions.