Institutional Ownership and Distribution of Equity Returns
- 1 May 1990
- journal article
- Published by Wiley in The Financial Review
- Vol. 25 (2) , 211-229
- https://doi.org/10.1111/j.1540-6288.1990.tb00793.x
Abstract
Although there is considerable evidence of the importance of skewness and kurtosis in equity returns, much less attention has been paid to their determinants. Recent theoretical and empirical advances in the literature suggest that the information structure and other market characteristics affect the nature of return distributions. One such characteristic is the degree of institutional ownership in the stock. This study hypothesizes and documents a significant inverse relationship between the degree of institutional ownership and the standard deviation, skewness, and kurtosis of equity returns.Keywords
This publication has 26 references indexed in Scilit:
- A New Test of the Three-Moment Capital Asset Pricing ModelJournal of Financial and Quantitative Analysis, 1989
- The dynmnics of neglect and returnThe Journal of Portfolio Management, 1987
- The impact of information structure on stock returnsThe Journal of Portfolio Management, 1987
- Skewness Persistence in Common Stock ReturnsJournal of Financial and Quantitative Analysis, 1986
- Economic Events, Information Structure, and the Return-Generating ProcessJournal of Financial and Quantitative Analysis, 1985
- Differential information and the small firm effectJournal of Financial Economics, 1984
- Giraffes, Institutions and Neglected FirmsCFA Magazine, 1983
- Pay attention to neglected firms!*The Journal of Portfolio Management, 1983
- Morphology of asset asymmetryJournal of Business Research, 1980
- The Fundamental Theorem of Parameter-Preference Security ValuationJournal of Financial and Quantitative Analysis, 1973