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    Expropriation risk by block holders, institutional quality and expected stock returns

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    Publication date
    2017-08
    Author
    Hearn, Bruce
    Phylaktis, K.
    Piesse, J.
    Keyword
    Asset pricing
    International financial markets
    Investor protection
    Legal origin
    Rights
    © 2017 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
    Peer-Reviewed
    Yes
    
    Metadata
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    Abstract
    We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types.
    URI
    http://hdl.handle.net/10454/18231
    Version
    Accepted manuscript
    Citation
    Hearn B, Phylaktis K and Piesse J (2017) Expropriation risk by block holders, institutional quality and expected stock returns. Journal of Corporate Finance. 45: 122-149.
    Link to publisher’s version
    https://doi.org/10.1016/j.jcorpfin.2017.04.016
    Type
    Article
    Collections
    Management and Law Publications

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