FINANCIAL MANAGEMENT · Volume 47, Issue 1· 2018

股票收益波动率的股东基数假说：实证证据

作者：H?kan Jankensg?rd (Lund University in Lund, Sweden), Anders Vilhelmsson (Lund University in Lund, Sweden)

摘要：我们使用瑞典的公司所有制数据检验大且分散的股东基数是否会通过提高股价的信息内涵带来更低的股票收益波动率。我们发现股票收益波动率会随着大股东的人数比例以及持股份额小于0.1%的小额投资者占比的增加而增加。波动率与股票的机构投资者数量正相关，与大型的多样化不足的机构投资者数量负相关。国外投资者对波动率没有影响。我们的结果表明大的股东基数不能降低股票收益波动率。

The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence

H?kan Jankensg?rd (Lund University in Lund, Sweden), Anders Vilhelmsson (Lund University in Lund, Sweden)

ABSTRACT

We use Swedish ownership data to explore whether a large and diversified shareholder base leads to lower volatility by improving the information content of stock prices. We find that volatility increases in the number of shareholders with respect to both the number of relatively large shareholders and the fraction of shares held by investors with stakes below 0.1%. Volatility is also positively related to the number of institutional owners but negatively related to the number of large and underdiversified institutional owners. Foreign investors have no impact. Our results suggest that a large shareholder base does not lower volatility.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12184/full

翻译：吴雨玲