Show simple item record

dc.contributor.authorHearn, Bruce
dc.contributor.authorPhylaktis, K.
dc.contributor.authorPiesse, J.
dc.date.accessioned2020-12-03T01:48:48Z
dc.date.accessioned2020-12-15T08:49:13Z
dc.date.available2020-12-03T01:48:48Z
dc.date.available2020-12-15T08:49:13Z
dc.date.issued2017-08
dc.identifier.citationHearn 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.en_US
dc.identifier.urihttp://hdl.handle.net/10454/18231
dc.descriptionYesen_US
dc.description.abstractWe 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.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.jcorpfin.2017.04.016en_US
dc.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/)en_US
dc.subjectAsset pricingen_US
dc.subjectInternational financial marketsen_US
dc.subjectInvestor protectionen_US
dc.subjectLegal originen_US
dc.titleExpropriation risk by block holders, institutional quality and expected stock returnsen_US
dc.status.refereedYesen_US
dc.date.Accepted2017-04-27
dc.date.application2017-05-01
dc.typeArticleen_US
dc.type.versionAccepted manuscripten_US
dc.date.updated2020-12-03T01:48:54Z
refterms.dateFOA2020-12-15T08:51:55Z


Item file(s)

Thumbnail
Name:
hearn_et_al_2017 (1).pdf
Size:
1.289Mb
Format:
PDF
Thumbnail
Name:
JCF_2017_Expropriation_Risk.doc
Size:
1.280Mb
Format:
Microsoft Word
Description:
Keep suppressed - Word version

This item appears in the following Collection(s)

Show simple item record