Institutional Ownership Breadth

Start by importing Python packages and establishing connection to WRDS server:

Now use shares adjustment factors (cfacshr) to adjust the "shares" figure:

With the adjusted portfolio holdings shares ready, now we can calculate various institutional holdings metrics down at security level:

We follow the Lehavy and Sloan (2008) method to calculate changes in Institutional Breadth:

• Breadth Condition: institution should exist in Q(t) and Q(t-1)

• Objective: Mitigate Bias due to Universe Changes - $100M AUM Filing Threshold

• Breadth = ((numinst(t) - newinst(t)) -(numinst(t-1)-oldinst(t-1))) / total number of 13f filers in Q(t-1) where,

  • NewInst(t): Number of 13F filers that reported in t, but did not report in (t-1)

  • OldInst(t): Number of 13F filers that reported in (t-1), but did not report in t

  • (NumOwners(t)-NewInst(t)): Number of 13F filers holding security in quarter t, that have reported in both quarters t and t-1

  • (NumOwners(t-1)-OldInst(t-1)): number of 13F filers that held the security in quarter (t-1), and have reported in both quarters t and t-1

Now we add back the CRSP shares outstanding data back, and institutional ownership ratio (IOR) is calculated as total shares owned by institutions divided by total shares outstanding.