University of Sussex
Browse
The influence of Institutions KP 24 04 17-1.pdf (1.16 MB)

Expropriation risk by block holders, institutional quality and expected stock returns

Download (1.16 MB)
journal contribution
posted on 2023-06-09, 05:57 authored by Bruce Hearn, Kate Phylaktis, Jenifer Piesse
We 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 Finance

ISSN

0929-1199

Publisher

Elsevier

Volume

45

Page range

122-149

Department affiliated with

  • Business and Management Publications

Research groups affiliated with

  • International Business Publications

Notes

G3, G11, G12, G15

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2017-04-27

First Open Access (FOA) Date

2019-05-02

First Compliant Deposit (FCD) Date

2017-04-27

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC