Post by Bruce Hearn on Jun 15, 2011 5:17:37 GMT 4
The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing
Bruce Hearn
University of Leicester
Kate Phylaktis
City University London - Sir John Cass Business School
Jenifer Piesse
King's College London - Department of Management; University of Stellbosch
June 1, 2011
Abstract:
This study introduces a new asset pricing factor capturing the effects of concentrated ownership within listed firms and the impact of institutional development from a unique sample comprised of stocks constituent to blue chip indices in sixty five equity markets worldwide. The evidence suggests that the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu (2006) in capturing the cross section of average stock returns. Our findings underline the importance of institutional quality, legal origins, and concentrated ownership that underscore property rights protection in portfolio diversification decisions of minority investors
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1856774_code694360.pdf?abstractid=1856774&mirid=2
Bruce Hearn
University of Leicester
Kate Phylaktis
City University London - Sir John Cass Business School
Jenifer Piesse
King's College London - Department of Management; University of Stellbosch
June 1, 2011
Abstract:
This study introduces a new asset pricing factor capturing the effects of concentrated ownership within listed firms and the impact of institutional development from a unique sample comprised of stocks constituent to blue chip indices in sixty five equity markets worldwide. The evidence suggests that the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu (2006) in capturing the cross section of average stock returns. Our findings underline the importance of institutional quality, legal origins, and concentrated ownership that underscore property rights protection in portfolio diversification decisions of minority investors
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1856774_code694360.pdf?abstractid=1856774&mirid=2