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The Shareholder Base Hypothesis of Stock Return Volatility : Empirical Evidence

Jankensgård, Håkan LU and Wilhelmsson, Anders LU (2018) In Financial Management 47(1). p.55-79
Abstract
We use Swedish ownership data to explore whether a large and diversified shareholder base leads to lower volatility by improving the information content of stock prices. We find that volatility increases in the number of shareholders with respect to both the number of relatively large shareholders and the fraction of shares held by investors with stakes below 0.1%. Volatility is also positively related to the number of institutional owners but negatively related to the number of large and underdiversified institutional owners. Foreign investors have no impact. Our results suggest that a large shareholder base does not lower volatility.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Financial Management
volume
47
issue
1
pages
25 pages
publisher
Wiley-Blackwell
external identifiers
  • scopus:85042454451
ISSN
0046-3892
DOI
10.1111/fima.12184
language
English
LU publication?
yes
id
4ce0fbae-1bb8-49fd-ab86-ed3b823e89d9
date added to LUP
2017-10-06 16:36:12
date last changed
2018-04-01 04:35:57
@article{4ce0fbae-1bb8-49fd-ab86-ed3b823e89d9,
  abstract     = {We use Swedish ownership data to explore whether a large and diversified shareholder base leads to lower volatility by improving the information content of stock prices. We find that volatility increases in the number of shareholders with respect to both the number of relatively large shareholders and the fraction of shares held by investors with stakes below 0.1%. Volatility is also positively related to the number of institutional owners but negatively related to the number of large and underdiversified institutional owners. Foreign investors have no impact. Our results suggest that a large shareholder base does not lower volatility. },
  author       = {Jankensgård, Håkan and Wilhelmsson, Anders},
  issn         = {0046-3892},
  language     = {eng},
  month        = {03},
  number       = {1},
  pages        = {55--79},
  publisher    = {Wiley-Blackwell},
  series       = {Financial Management},
  title        = {The Shareholder Base Hypothesis of Stock Return Volatility : Empirical Evidence},
  url          = {http://dx.doi.org/10.1111/fima.12184},
  volume       = {47},
  year         = {2018},
}