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Ownership concentration, institutions and expected returns

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
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.

Record type: Conference or Workshop Item (Paper)

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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More information

Published date: 20 December 2016
Venue - Dates: World Finance Association Annual Meeting, Dubai, United Arab Emirates, 2016-12-14 - 2016-12-15

Identifiers

Local EPrints ID: 423319
URI: https://eprints.soton.ac.uk/id/eprint/423319
PURE UUID: c2ea8cb5-99ed-4a4e-824f-da85e37aaaba
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 20 Sep 2018 16:30
Last modified: 14 Mar 2019 01:22

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