Ownership Concentration, Institutions and Expected Stock Returns

55 Pages Posted: 18 Feb 2014

See all articles by Bruce Allen Hearn

Bruce Allen Hearn

University of Southampton; University of Bradford - School of Management

Kate Phylaktis

City University London - The Business School

Jenifer Piesse

University of Stellbosch; King's College London - Department of Management

Date Written: February 15, 2014

Abstract

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993), and to a lesser extent over the two factor liquidity augmented model of Liu (2006), in capturing the cross section of average stock returns. The findings emphasise the importance of institutional quality, legal origin and concentrated ownership that are the basis of property rights protection in the portfolio diversification decisions of minority investors.

Keywords: Investor Protection, Legal Origin, Asset pricing, International Financial Markets

JEL Classification: G11, G12, G15, O55

Suggested Citation

Hearn, Bruce Allen and Phylaktis, Kate and Piesse, Jenifer, Ownership Concentration, Institutions and Expected Stock Returns (February 15, 2014). Available at SSRN: https://ssrn.com/abstract=2396887

Bruce Allen Hearn

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

University of Bradford - School of Management ( email )

Emm Lane
Bradford, West Yorkshire Bd9 4JL
United Kingdom

Kate Phylaktis (Contact Author)

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Jenifer Piesse

University of Stellbosch

Stellenbosch, Western Cape
South Africa

King's College London - Department of Management ( email )

Virginia Woolf Building
22 Kingsway
London, England WC2B 6NR
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
34
Abstract Views
242
PlumX Metrics