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The role of liquidity, investor protection and corporate block-shareholders in asset pricing

The role of liquidity, investor protection and corporate block-shareholders in asset pricing
The role of liquidity, investor protection and corporate block-shareholders in asset pricing
This study introduces a new asset pricing factor capturing the effects of concentrated ownership within listed firms and the impact of institutional development from a unique sample comprised of stocks constituent to blue chip indices in sixty five equity markets worldwide. The evidence suggests that the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu (2006) in capturing the cross section of average stock returns. Our findings underline the importance of institutional quality, legal origins, and concentrated ownership that underscore property rights protection in portfolio diversification decisions of minority investors.
Asian Finance Association
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Phylaktis, Kate
170c442f-ce62-4e4d-b244-dc64002b65c7
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
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 (2011) The role of liquidity, investor protection and corporate block-shareholders in asset pricing. In Asian Finance Association 2011 International Conference: Frontiers in Finance: Asia-Pacific and Beyond, Macau, SAR China. Asian Finance Association. 52 pp .

Record type: Conference or Workshop Item (Paper)

Abstract

This study introduces a new asset pricing factor capturing the effects of concentrated ownership within listed firms and the impact of institutional development from a unique sample comprised of stocks constituent to blue chip indices in sixty five equity markets worldwide. The evidence suggests that the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu (2006) in capturing the cross section of average stock returns. Our findings underline the importance of institutional quality, legal origins, and concentrated ownership that underscore property rights protection in portfolio diversification decisions of minority investors.

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World INV PROTECT USD 15 May 2011 - Accepted Manuscript
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More information

Published date: 10 June 2011
Venue - Dates: Asian Finance Association 2011 International Conference, Four Seasons Hotel, Macao, 2011-07-08 - 2011-07-12

Identifiers

Local EPrints ID: 423297
URI: http://eprints.soton.ac.uk/id/eprint/423297
PURE UUID: 2d85d4a0-b3b8-422e-80b5-040880e453dd
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 20 Sep 2018 16:30
Last modified: 08 May 2020 00:43

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Contributors

Author: Bruce Hearn ORCID iD
Author: Kate Phylaktis
Author: Jenifer Piesse

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