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http://hdl.handle.net/10397/7038
Title: | Large foreign ownership and firm-level stock return volatility in emerging markets | Authors: | Li, D Nguyen, QN Pham, PK Wei, S |
Issue Date: | Sep-2011 | Source: | Journal of financial and quantitative analysis, Sept. 2011, v. 46, no. 4, p. 1127-1155 | Abstract: | This study constructs a firm-level measure of large foreign ownership (LFO) and investigates its impact on stock return volatility in 31 emerging markets. We find a negative relationship between LFO and volatility, even after controlling for potential endogeneity and the impact of major domestic shareholders. This suggests a stabilizing role of LFO in emerging markets, which is consistent with previous suggestions in the literature on the strong commitments and potential monitoring role of large foreign shareholders. Overall, our study highlights the importance of recognizing the heterogeneity among foreign investors and the benefits of large foreign shareholders to emerging stock markets. | Keywords: | Business groups Corporate governance Institutional investors Equity ownership Economic-growth Home bias Liberalization World Globalization Determinants |
Publisher: | Cambridge University Press | Journal: | Journal of financial and quantitative analysis | ISSN: | 0022-1090 | EISSN: | 1756-6916 | DOI: | 10.1017/S0022109011000202 | Rights: | COPYRIGHT 2011, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF WASHINGTON, SEATTLE, WA 98195 The following article " Donghui Li, Quang N. Nguyen, Peter K. Pham and Steven X. Wei (2011). Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets. Journal of Financial and Quantitative Analysis, 46(4), pp 1127-1155. doi:10.1017/S0022109011000202." is available at http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8369131 |
Appears in Collections: | Journal/Magazine Article |
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Li_Foreign_Ownerships_Stock.pdf | 155.6 kB | Adobe PDF | View/Open |
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