Premium
Institutional Ownership and Distribution of Equity Returns
Author(s) -
Aggarwal Raj,
Rao Ramesh P.
Publication year - 1990
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1990.tb00793.x
Subject(s) - kurtosis , skewness , equity (law) , economics , financial economics , standard deviation , econometrics , stock (firearms) , business , statistics , mathematics , geography , archaeology , law , political science
Although there is considerable evidence of the importance of skewness and kurtosis in equity returns, much less attention has been paid to their determinants. Recent theoretical and empirical advances in the literature suggest that the information structure and other market characteristics affect the nature of return distributions. One such characteristic is the degree of institutional ownership in the stock. This study hypothesizes and documents a significant inverse relationship between the degree of institutional ownership and the standard deviation, skewness, and kurtosis of equity returns.