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Ownership Determinants of Stock Return Volatility

På svenska

Author

Summary, in English

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.

Publishing year

2015

Language

English

Document type

Working paper

Topic

  • Economics and Business

Keywords

  • Volatility
  • ownership
  • investor base
  • portfolio concentration

Status

Submitted