Institutional ownership and aggregate volatility risk

Alexander Barinov

Journal of Empirical Finance, 2017, vol. 40, issue C, 20-38

Abstract: The paper shows that the difference in aggregate volatility risk can explain why several anomalies are stronger among the stocks with low institutional ownership (IO). Institutions tend to stay away from the stocks with extremely low and extremely high levels of firm-specific uncertainty because of their desire to hedge against aggregate volatility risk or exploit their competitive advantage in obtaining and processing information, coupled with the dislike of idiosyncratic risk. Thus, the spread in uncertainty measures is wider for low IO stocks, and the same is true about the differential in aggregate volatility risk.

Keywords: Aggregate volatility risk; Institutional ownership; Value effect; Idiosyncratic volatility effect; Turnover effect; Analyst disagreement effect; Anomalies (search for similar items in EconPapers)
JEL-codes: D80 E44 G12 G14 G23 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:40:y:2017:i:c:p:20-38

DOI: 10.1016/j.jempfin.2016.11.003

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