The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence. Issue 1 (10th August 2017)

• Record Type: Journal Article
• Authors: Jankensgård, Håkan; Vilhelmsson, Anders
• Is Part Of: Financial management. Volume 47:Issue 1(2018:Spring)
• Page Start: 55
• Page End: 79
• Publication Date: 2017-08-10
• Subjects: Corporations -- Finance -- Periodicals; 658.1505
• DOI: 10.1111/fima.12184
• Languages: English
• ISSNs: 0046-3892

Abstract

Abstract: 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.