Ownership concentration, institutions and expected returns
Ownership concentration, institutions and expected 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 4,756 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.
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
20 December 2016
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
(2016)
Ownership concentration, institutions and expected returns.
In World Finance Association Annual Meeting, Dubai, United Arab Emirates.
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Conference or Workshop Item
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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 4,756 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.
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The influence of Institutions - SSRN
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Published date: 20 December 2016
Venue - Dates:
World Finance Association Annual Meeting, , Dubai, United Arab Emirates, 2016-12-14 - 2016-12-15
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Local EPrints ID: 423319
URI: http://eprints.soton.ac.uk/id/eprint/423319
PURE UUID: c2ea8cb5-99ed-4a4e-824f-da85e37aaaba
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Date deposited: 20 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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