The Shareholder Base Hypothesis of Stock Return Volatility : Empirical Evidence
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4ce0fbae-1bb8-49fd-ab86-ed3b823e89d9
- author
- Jankensgård, Håkan LU and Wilhelmsson, Anders LU
- organization
- publishing date
- 2018-03-07
- 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
- 2022-04-17 08:14:07
@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}}, doi = {{10.1111/fima.12184}}, volume = {{47}}, year = {{2018}}, }