Ownership Determinants of Stock Return Volatility
Författare
Summary, in English
A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving the quality of the price signal. In this paper this hypothesis is examined using unique Swedish ownership data. The data does not support the conjecture. Instead, volatility increases in the number of shareholders and in the size of the firm’s micro-float (the fraction of shares held by investors with stakes below 0.1%). We also show that proxies for the portfolio concentration of the largest owners are important. We conclude that ownership structure has major implications for stock return volatility.
Avdelning/ar
Publiceringsår
2015
Språk
Engelska
Dokumenttyp
Working paper
Ämne
- Economics and Business
Nyckelord
- Volatility
- ownership
- investor base
- portfolio concentration
Status
Submitted