Ownership structure and stock return volatility

Abstract

This paper reviews whether ownership structures affect stock return volatility by trading volumes or by a more information based approach. A larger investor base potentially leads to a more accurate price signal, hereby affecting stock return volatility. Our examination distinguishes by incorporating a large variety of ownership structure measurements, including measurements related to ownership concentration as well as measurements related to the size of the investor base. Results are in line with recent literature regarding this topic and confirm the belief of a channel related to trading volumes.