|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id1735324. ; Size: 126K
|
|
Stock Volatility, Institutional Ownership and Analyst Coverage
Jean-Michel Sahut
University of Applied Sciences - Geneva School of Business Administration; University of Poitiers
Sami Gharbi
Jendouba University
Hidaya Othmani Gharbi
affiliation not provided to SSRN
January 5, 2011
Bankers Markets & Investors, Forthcoming
Abstract:
We examine the relation between stock volatility and asymmetric information empirically. We use two proxies of information asymmetry: institutional ownership and analyst coverage. We find that firms covered by more analysts are more likely to have less volatile returns. A significant and positive bilateral relationship between stock volatility and institutional block holdings is observed supporting possible herding behaviours of institutional investors.
Number of Pages in PDF File: 31
Keywords: institutional investors, stock volatility, asymmetric information, analyst coverage
JEL Classification: G14, G11, G32
Accepted Paper Series
Download This Paper
Date posted: January 5, 2011
Suggested CitationSahut, Jean-Michel, Gharbi, Sami and Gharbi, Hidaya Othmani, Stock Volatility, Institutional Ownership and Analyst Coverage (January 5, 2011). Bankers Markets & Investors, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1735324
|
| Feedback to SSRN (Beta) |
|
|
People who downloaded this paper also downloaded:
1.
Size, Value, and Momentum in International Stock Returns
By
Eugene Fama
and
Kenneth French
2.
Why Low-Volatility Stocks Outperform: Market Evidence on Systematic Risk Versus Mispricing
By
Rodney Sullivan
and
Xi Li
3.
Activism of Institutional Investors, Corporate Governance Alerts and Financial Performance
By
Jean-michel Sahut,
Jean-sebastien Lantz, ...
4.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2011 Edition
By
Aswath Damodaran
5.
A Comparison of Dividend, Cash Flow, and Earnings Approaches to Equity Valuation
By
Stephen H. Penman
and
Theodore Sougiannis
6.
A Literature Review of the Size Effect
By
Michael Crain
7.
Detecting Earnings Management: A New Approach
By
Patricia Dechow,
Amy Hutton, ...
8.
Optimal Capital Structure
By
Jules Van Binsbergen,
John Graham, ...
9.
Analyst Coverage and Two Puzzles in the Cross Section of Returns
By
Thomas George
and
Chuan-yang Hwang
10.
Capital-Market Effects of Securities Regulation: Hysteresis, Implementation, and Enforcement
By
Hans Christensen,
Luzi Hail, ...
|
|
|
|
