Publication: Dispersed ownership and asset pricing: An unpriced premium associated with free float
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Date
2022-05-09
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Elsevier
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Abstract
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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Attribution 4.0 International
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IE Business School
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Hearn, B., Filatotchev, I., & Goergen, M. (2025). Dispersed ownership and asset pricing: An unpriced premium associated with free float. Journal of Corporate Finance, 102763. https://doi.org/10.1016/j.jcorpfin.2025.102763.