Disclosure Quality, Institutional Investors, and Stock Return Volatility

1999 ◽  
Author(s):  
Brian J. Bushee ◽  
Christopher F. Noe
Keyword(s):  
Institutional Investors ◽  
Stock Return ◽  
Return Volatility ◽  
Disclosure Quality ◽  
Stock Return Volatility

Does domestic institutional ownership increase return volatility? The French context

2019 ◽  
Vol 61 (2) ◽  
pp. 421-433
Author(s):  
Mouna Aloui ◽  
Anis Jarboui
Keyword(s):  
Institutional Investors ◽  
Stock Markets ◽  
Stock Price ◽  
Stock Return ◽  
Price Volatility ◽  
Return Volatility ◽  
Stock Price Volatility ◽  
Content Type ◽  
Stock Return Volatility ◽  
Empirical Results

Purpose The purpose of this study is to examine the impact of domestic ownership on the stock return volatility. The authors use a detailed panel data set of 89 French companies listed on the SBF 120 over the period 2006-2013. The empirical results show that the domestic institutional investors have low stock price volatility in the French stock market. This result implies the stabilizing factor of domestic investors in France stock markets, which can be considered as one of the potential favor of growing the exhibition of domestic stock markets to institutional investors. This study employs a variety of econometric models, including feedbacks, to test the robustness of our empirical results. Design/methodology/approach To explain the relation between stock return volatility and domestic institutional investors (DIIs), the authors used two complementary methods: two-step generalized method of moments analysis as well as panel vector autoregressive framework and two-stage least squares (2SLS) method. Findings The authors’ empirical results show that the proportion of DIIs with advanced local degrees stabilizes the stock price volatility. However, firm’s size and the turnover have a positive effect on the volatility of the stock returns. This result is consistent with the hypothesis that the firm’s size and the turnover will increase price volatility during a financial crisis as a result of the deterioration of the monitoring mechanism and the reduction of the investors’ confidence in firms. Originality/value This result also indicates that the variables (the firm’s size, total sales and debt ratio) are poor corporate governance and have a role in the increased the stock return volatility.

Do institutional investors stabilize stock returns? Evidence from emerging IPO markets

2020 ◽  
Vol 32 (4) ◽  
pp. 585-600
Author(s):  
Konpanas Dumrongwong
Keyword(s):  
Initial Public Offerings ◽  
Institutional Investors ◽  
Stock Return ◽  
Emerging Market ◽  
Institutional Ownership ◽  
Growth Potential ◽  
Return Volatility ◽  
Content Type ◽  
Stock Return Volatility ◽  
The Relationship

Purpose The purpose of this paper is to investigate how institutional ownership is related to the stock return volatility of initial public offerings (IPOs) in an emerging market and to examine the relationship between institutional ownership and underpricing. Design/methodology/approach This paper investigates these relationships using White’s (1980) regression and 2 × 3 portfolios sorted by firm size and institutional holdings. The regression method examines the relationships across firms with different characteristics such as size, stock price, growth potential, firm age and type of investors. The data were chosen for this sample to cover the new equity issuances listed on the Thailand Stock Exchange for the period 2001–2019. Findings The empirical results suggest that institutional ownership is negatively associated with initial stock return volatility. This highlights the importance of institutional investors in maintaining stability in emerging stock markets. Additionally, it was found that institutional holding and underpricing are negatively correlated. The results are robust after controlling for potential heteroskedasticity and differences in firm characteristics. Originality/value To the best knowledge of the author, this paper is the first to study the relationship between institutional investors and volatility in Thai IPOs, and hence provides a deeper understanding of how investors influence the price formation and volatility of stock prices in emerging markets. Furthermore, besides academics, the results presented in this paper could be useful for market regulators and policymakers in designing future market regulations to efficiently stabilize equity markets.

Impact of board structure, board activities and institutional investors on the firm risk: evidence from India

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Pankaj Chaudhary
Keyword(s):  
Institutional Investors ◽  
Stock Return ◽  
Stock Exchange ◽  
Independent Directors ◽  
Board Structure ◽  
Return Volatility ◽  
Method Of Moment ◽  
Content Type ◽  
Stock Return Volatility ◽  
The Impact

PurposeStock return volatility is an important aspect of financial markets which requires specific attention of researchers. This study examines the impact of board structure, board activities and institutional investors on the stock return volatility of the Indian firms.Design/methodology/approachThe author had selected the non-financial companies of the National Stock Exchange (NSE), which form the part of the NSE 500 index. Regression models had been estimated using the system generalised method of moment (GMM) framework designed by Arellano and Bover (1995) and Blundell and Bond (1998) to deal with endogeneity concerns.FindingsThe author found that the stock return volatility was affected by the institutional investors, particularly pressure-insensitive (PI) investors. Moreover, this study supported the non-linear relationship between stock return volatility and institutional investors. Unlike developed world, the author found that the independent directors were positively associated with the stock return volatility.Research limitations/implicationsIt is important for the investors and regulators to understand that the behaviour of the institutional investors depends on its class and having more independent directors will not ensure containment of the stock return volatility as suggested in previous literature reviews.Originality/valueMost of the prior studies have used simple standard deviation (SD) to compute stock return volatility. In this study, besides SD, the author used the generalised autoregressive conditional heteroskedasticity (GARCH) model to compute the stock return volatility of the firms.

scholarly journals The relationship between corporate forward-looking disclosure and stock return volatility

2018 ◽  
Vol 16 (3) ◽  
pp. 130-149
Author(s):  
Gehan A. Mousa ◽  
Elsayed A. H. Elamir
Keyword(s):  
Regression Analysis ◽  
Stock Return ◽  
Negative Association ◽  
Return Volatility ◽  
Disclosure Quality ◽  
Listed Firms ◽  
Stock Return Volatility ◽  
The Relationship ◽  
Selection Of ◽  
Forward Looking

The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to 2017. The study also investigates the relationship between these attributes and stock return volatility. Regression analysis has been employed with five different models to examine the relationship between the four attributes of corporate forward-looking disclosure and stock return volatility. The main finding of this study agrees with the results of Bravo et al. (2009) who found that the selection of a specific disclosure index could influence crucially the results of the analysis. In addition, stock return volatility has a statistically significant negative association with the three attributes of forward-looking disclosure, namely disclosure quantity, disclosure coverage and disclosure quality. In contrast, it has a non-significant association with the fourth attribute of forward-looking disclosure, disclosure concentration. This study provides a novel contribution to disclosure quality studies by being the first study to examine forward-looking disclosure quality attributes in the Kingdom of Bahrain.

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