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Ownership Determinants of Stock Return Volatility

Jankensgård, Håkan LU and Vilhelmsson, Anders LU (2015)
Abstract
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.
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author
organization
publishing date
type
Working Paper
publication status
submitted
subject
keywords
Volatility, ownership, investor base, portfolio concentration
language
English
LU publication?
yes
id
908bfb49-82aa-4916-9acd-198644d2fdb8 (old id 7869395)
date added to LUP
2015-09-18 16:14:04
date last changed
2016-04-16 11:57:13
@misc{908bfb49-82aa-4916-9acd-198644d2fdb8,
  abstract     = {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.},
  author       = {Jankensgård, Håkan and Vilhelmsson, Anders},
  keyword      = {Volatility,ownership,investor base,portfolio concentration},
  language     = {eng},
  title        = {Ownership Determinants of Stock Return Volatility},
  year         = {2015},
}