Browsing by Author "Hearn, Bruce"
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Publication Dispersed ownership and asset pricing: An unpriced premium associated with free float(Elsevier, 2022-05-09) Hearn, Bruce; Filatotchev, Igor; Goergen, Marc; https://ror.org/02jjdwm75We 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.