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Ownership Determinants of Stock Return Volatility

Author

Listed:
  • Jankensgård, Håkan

    (Knut Wicksell Centre for Financial Studies, Lund University)

  • Vilhelmsson, Anders

    (Knut Wicksell Centre for Financial Studies, Lund University)

Abstract

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.

Suggested Citation

  • Jankensgård, Håkan & Vilhelmsson, Anders, 2016. "Ownership Determinants of Stock Return Volatility," Knut Wicksell Working Paper Series 2016/3, Lund University, Knut Wicksell Centre for Financial Studies.
    • Handle: RePEc:hhs:luwick:2016_003
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    More about this item

    Keywords

    Volatility; ownership; investor base; portfolio concentration;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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