Institutional Ownership & Risk Asymmetry
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2025-07-08
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en
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Risk asymmetry is a phenomenon whereby a firm covaries differently with a broad market portfolio, depending on the market return being positive or negative. This thesis investigates the effect of institutional ownership on a firm’s risk asymmetry. In order to justify causal interpretation, plausible exogenous variation in the level of institutional ownership around the Russell 1000 & Russell 2000 cut-off is used in a fuzzy regression discontinuity design. This analysis yields no significant results and a set of robustness checks is used to validate this finding. This thesis extends both the literature on the determinants of risk asymmetry and the literature on the effects of institutional ownership. The results are relevant for investors, as investors care about the (determinants of a) firm’s risk profile
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Faculteit der Managementwetenschappen