Dispersed ownership and asset pricing: An unpriced premium associated with free float

Dispersed ownership and asset pricing: An unpriced premium associated with free float

Bruce Hearn, Igor Filatotchev, Marc Goergen

Series number :

Serial Number: 
826/2022

Date posted :

May 07 2022

Last revised :

May 07 2022
SSRN Share

Keywords

  • CAPM • 
  • free float • 
  • ownership and control • 
  • investor protection • 
  • Japan • 
  • USA

We explore differences in the levels of dispersed ownership that lead to a second returns-based free float hedging factor, which augments the capital asset pricing model (CAPM) in explaining the cross-section of stock returns.  Using a comprehensive sample of stocks from Japan and the constituents of the S&P1500 in the US between 2000 and 2020, the results support the advantages of our prop

osed two-factor CAPM over alternative models based on liquidity, size, and book to market value, as well as momentum.  We further document dispersed ownership premiums for Japanese regional stocks and discounts for the blue-chip Tokyo counterparts.

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Authors

Real name:
Igor Filatotchev
Professor in Accounting & Finance
Real name:
Bruce Hearn
University of Bradford