The influence of Institutions KP 24 04 17-1.pdf (1.16 MB)
Expropriation risk by block holders, institutional quality and expected stock returns
journal contribution
posted on 2023-06-09, 05:57 authored by Bruce Hearn, Kate Phylaktis, Jenifer PiesseWe study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4,756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types
History
Publication status
- Published
File Version
- Accepted version
Journal
Journal of Corporate FinanceISSN
0929-1199Publisher
ElsevierExternal DOI
Volume
45Page range
122-149Department affiliated with
- Business and Management Publications
Research groups affiliated with
- International Business Publications
Notes
G3, G11, G12, G15Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2017-04-27First Open Access (FOA) Date
2019-05-02First Compliant Deposit (FCD) Date
2017-04-27Usage metrics
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