The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence

Jankensgård, Håkan; Wilhelmsson, Anders

doi:10.1111/fima.12184

Cited by 10 publications

(2 citation statements)

References 59 publications

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“…Zhang (2010), in contrast, argues that with more investors, trading volume increases, resulting in greater return volatility. Jankensgård and Vilhelmsson (2018) interpret their findings for the Swedish market as consistent with Zhang's thesis.…”

Section: Literature Reviewsupporting

confidence: 84%

Blockholdings, Dividend Policy, Stock Returns and Return Volatility: Evidence from the UAE

Butt,

Chamberlain

2023

IJFS

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This paper examines the relationship between the presence of blockholdings and stock returns and return volatility in the United Arab Emirates. Earlier studies report mixed results for the direction of the relationships across both developed and emerging markets. This study focuses specifically on these relationships in a dividend policy framework. This study further investigates the role of blockholder type by distinguishing between government, individual and corporate blockholders. Our results indicate that blockholder ownership reduces stock return volatility for both non-dividend-paying and dividend-paying stocks, does not impact returns and is not perceived as expropriating the wealth of other investors. We also conclude that the blockholders do not exhibit rent-seeking behavior through the extraction of dividends and investors in UAE firms embrace the role of blockholders and the reinvestment of profits.

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Section: Literature Reviewsupporting

confidence: 84%

Blockholdings, Dividend Policy, Stock Returns and Return Volatility: Evidence from the UAE

Butt,

Chamberlain

2023

IJFS

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“…Since the findings in the last section indicate that better-quality (private) IR has helped to diversify a firm’s shareholder base, we test whether this has also helped to reduce stock volatility during the crisis. The argument is that as the number of financially sophisticated investors, especially institutional and foreign investors, increases, there is a substantial improvement in the amount and accuracy of the information about the firm; and thus stock volatility decreases ( Jankensgård, Vilhelmsson, 2018 , Holmström, Tirole, 1993 , Li, Nguyen, Pham, Wei, 2011 , Merton, 1987 ). In fact, this argument may be particularly viable during times of crisis when the level of uncertainty is high.…”

Section: Empirical Analysis and Resultsmentioning

confidence: 99%