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

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dc.contributor.authorHearn, Bruce
dc.contributor.authorFilatotchev, Igor
dc.contributor.authorGoergen, Marc
dc.contributor.rorhttps://ror.org/02jjdwm75
dc.date.accessioned2025-04-24T11:34:25Z
dc.date.available2025-04-24T11:34:25Z
dc.date.issued2022-05-09
dc.description.abstractWe 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.
dc.description.peerreviewedyes
dc.description.statusPublished
dc.formatapplication/pdf
dc.identifier.citationHearn, 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.
dc.identifier.doihttps://doi.org/10.1016/j.jcorpfin.2025.102763
dc.identifier.issn1872-6313
dc.identifier.urihttps://hdl.handle.net/20.500.14417/3754
dc.journal.titleJournal of Corporate Finance
dc.language.isoen
dc.page.total22
dc.publisherElsevier
dc.relation.departmentFinance
dc.relation.entityIE University
dc.relation.schoolIE Business School
dc.rightsAttribution 4.0 International
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/deed
dc.subject.keywordCAPM
dc.subject.keywordFree float
dc.subject.keywordOwnership and control
dc.subject.keywordInvestor protection
dc.subject.keywordJapan
dc.subject.keywordUSA
dc.titleDispersed ownership and asset pricing: An unpriced premium associated with free float
dc.typeinfo:eu-repo/semantics/article
dc.version.typeinfo:eu-repo/semantics/publishedVersion
dc.volume.number92
dspace.entity.typePublication
relation.isAuthorOfPublication55eb0faa-13da-4a35-a432-f529b62f4d8b
relation.isAuthorOfPublication.latestForDiscovery55eb0faa-13da-4a35-a432-f529b62f4d8b
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