The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence

Research output: Contribution to journalArticle


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

  • Business Administration
Original languageEnglish
Pages (from-to)55-79
Number of pages25
JournalFinancial Management
Issue number1
Early online date2017 Aug 10
Publication statusPublished - 2018 Mar 7
Publication categoryResearch