Institutional Ownership and Aggregate Volatility Risk

55 Pages Posted: 10 Nov 2009 Last revised: 12 Jan 2017

See all articles by Alexander Barinov

Alexander Barinov

University of California Riverside

Date Written: August 14, 2016


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 Discount, Turnover Effect, Analyst Disagreement Effect, Anomalies

JEL Classification: G12, G14, G23, E44, D80

Suggested Citation

Barinov, Alexander, Institutional Ownership and Aggregate Volatility Risk (August 14, 2016). Midwest Finance Association 2012 Annual Meetings Paper, Journal of Empirical Finance, Vol. 40, pp. 20-38, 2017, Available at SSRN: or

Alexander Barinov (Contact Author)

University of California Riverside ( email )

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