The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing

46 Pages Posted: 22 Nov 2011

See all articles by Bruce Allen Hearn

Bruce Allen Hearn

University of Southampton

Kate Phylaktis

City University London - Sir John Cass Business School

Jenifer Piesse

University of Stellbosch; King's College London - Department of Management

Date Written: June 1, 2011

Abstract

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu (2006) in capturing the cross section of average stock returns. The findings emphasise the importance of institutional quality, legal origin and concentrated ownership that are the basis of property rights protection in the portfolio diversification decisions of minority investors

Keywords: Investor Protection, Legal Origin, Asset pricing, International Financial Markets

JEL Classification: G11, G12, G15, O55

Suggested Citation

Hearn, Bruce Allen and Phylaktis, Kate and Piesse, Jenifer, The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing (June 1, 2011). Available at SSRN: https://ssrn.com/abstract=1856774 or http://dx.doi.org/10.2139/ssrn.1856774

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

Kate Phylaktis

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Jenifer Piesse

University of Stellbosch

Stellenbosch, Western Cape
South Africa

King's College London - Department of Management ( email )

Virginia Woolf Building
22 Kingsway
London, England WC2B 6NR
United Kingdom

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