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The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence
Author(s) -
Jankensgård Håkan,
Vilhelmsson Anders
Publication year - 2017
Publication title -
financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.647
H-Index - 68
eISSN - 1755-053X
pISSN - 0046-3892
DOI - 10.1111/fima.12184
Subject(s) - shareholder , volatility (finance) , stock (firearms) , business , monetary economics , financial economics , empirical evidence , economics , finance , corporate governance , epistemology , philosophy , mechanical engineering , engineering
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.