Price Discovery in Voting and Non-Voting Stocks

Karin Niehoff ()
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Karin Niehoff: University of Hagen

Schmalenbach Business Review, 2016, vol. 17, issue 3, No 2, 285-307

Abstract: Abstract When closely related assets like voting and non-voting stocks of a company are traded on the same exchange, it is of interest in which type of stock price discovery takes place first. Price discovery has not been analyzed for such strongly linked assets as voting and non-voting stocks which are traded on one exchange. This paper examines price discovery in voting and non-voting German stocks using the widely applied price discovery metrics information share developed by Hasbrouck (1995) and the common factor weights developed by Gonzalo and Granger (1995) and Harris, McInish, and Wood (2002). We show that non-voting stocks react earlier on average. Thus, we can conclude that voting rights do not enhance the process of price discovery. Further, there is evidence that price discovery does depend on the turnover of the stocks.

Keywords: Price discovery; Market efficiency; Information share; Common factor weights; Ownership structure (search for similar items in EconPapers)
JEL-codes: D82 G12 G14 G32 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s41464-016-0021-8

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