分散所有权和资产定价：与自由流通股相关的未定价溢价

IF 7.2 1区经济学 Q1 BUSINESS, FINANCE

Journal of Corporate Finance Pub Date : 2025-02-23 DOI:10.1016/j.jcorpfin.2025.102763

Bruce Hearn , Igor Filatotchev , Marc Goergen

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引用次数: 0

摘要

我们探讨了分散所有权水平的差异，这些差异导致了基于回报的自由流通股对冲因素，除了规模之外，这增加了资本资产定价模型（CAPM）在解释股票收益横截面方面的作用。使用1985年至2023年间的美国标准普尔1500指数股票，结果支持在三因素CAPM（包括规模）中自由流通股优于基于流动性、账面市值和动量的其他模型。我们认为，这产生了一种有用的手段，可以有效地对冲与基于其所有权结构的特定公司征收基本潜在可能性相关的风险。

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

We explore differences in the levels of dispersed ownership that lead to a returns-based free float hedging factor in addition to size, which augments the capital asset pricing model (CAPM) in explaining the cross-section of stock returns. Using the S&P 1500 stocks in the US between 1985 and 2023, the results support the advantages of free float within a three-factor CAPM including size over alternative models based on liquidity, book-to-market value, and momentum. We argue that this yields a useful means for hedging effectively against the risks associated with the fundamental underlying likelihood of expropriation in a specific firm based on its ownership structure.

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来源期刊

Journal of Corporate Finance BUSINESS, FINANCE-

CiteScore

11.80

自引率

3.30%

发文量

期刊介绍： The Journal of Corporate Finance aims to publish high quality, original manuscripts that analyze issues related to corporate finance. Contributions can be of a theoretical, empirical, or clinical nature. Topical areas of interest include, but are not limited to: financial structure, payout policies, corporate restructuring, financial contracts, corporate governance arrangements, the economics of organizations, the influence of legal structures, and international financial management. Papers that apply asset pricing and microstructure analysis to corporate finance issues are also welcome.