Expropriation risk by block holders, institutional quality and expected stock returns
Expropriation risk by block holders, institutional quality and expected stock returns
We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types.
Asset pricing, International financial markets, Investor protection, Legal origin
122-149
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Phylaktis, Kate
170c442f-ce62-4e4d-b244-dc64002b65c7
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
1 August 2017
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Phylaktis, Kate
170c442f-ce62-4e4d-b244-dc64002b65c7
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Hearn, Bruce, Phylaktis, Kate and Piesse, Jenifer
(2017)
Expropriation risk by block holders, institutional quality and expected stock returns.
Journal of Corporate Finance, 45, .
(doi:10.1016/j.jcorpfin.2017.04.016).
Abstract
We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types.
This record has no associated files available for download.
More information
Accepted/In Press date: 27 April 2017
e-pub ahead of print date: 1 May 2017
Published date: 1 August 2017
Keywords:
Asset pricing, International financial markets, Investor protection, Legal origin
Identifiers
Local EPrints ID: 423183
URI: http://eprints.soton.ac.uk/id/eprint/423183
ISSN: 0929-1199
PURE UUID: a4c93e70-ff1b-4b93-af0d-e4ac019d1f2a
Catalogue record
Date deposited: 19 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
Export record
Altmetrics
Contributors
Author:
Kate Phylaktis
Author:
Jenifer Piesse
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
