The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence
Research output: Contribution to journal › Article
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.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Number of pages||25|
|Early online date||2017 Aug 10|
|Publication status||Published - 2018 Mar 7|