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Institutional ownership, free float, and systematic risk

2026-02-10Artigo científico Acesso aberto
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datacite.subject.sdg08:Trabalho Digno e Crescimento Económico
datacite.subject.sdg16:Paz, Justiça e Instituições Eficazes
datacite.subject.sdg09:Indústria, Inovação e Infraestruturas
dc.contributor.authorFrancisco, Paulo Morais
dc.date.accessioned2026-03-05T10:21:39Z
dc.date.available2026-03-05T10:21:39Z
dc.date.issued2026-02-10
dc.description.abstractThis study investigates how institutional ownership (IO) and free float (FF) jointly affect firms’systematic risks. It contends that larger institutional stakes increase the dollar imbalance subject tocommon flows, whereas a greater tradable float broadens the set of funds that can tradesynchronously. Both channels should increase the stock market beta. Using a cross-section of12,655 non-financial firms from 93 countries, unconditional, downside (β−), and upside (β+) capitalasset pricing model betas over two-, three-, and five-year windows are analysed. The resultsconfirm that IO and FF are positively and significantly associated with unconditional and downsidebetas. These relationships remain robust after controlling for firm size, valuation, profitability,leverage, liquidity, and industry fixed effects, indicating that the ownership and tradability chan-nels explain systematic risk beyond standard fundamentals. The impact of IO is pronounced forupside beta. Two-stage least squares regressions corroborate the baseline results while addressingendogeneity concerns. Additional tests show that the IO effect is concentrated in advancedeconomies, while the FF effect remains robust across geography, development status, and firmsize. This study evinces the trading flow hypothesis that ownership concentration and tradabilityare the additive drivers of systematic risk.eng
dc.identifier.doi10.1080/00036846.2026.2629462
dc.identifier.eissn1466-4283
dc.identifier.issn0003-6846
dc.identifier.urihttp://hdl.handle.net/10400.1/28332
dc.language.isoeng
dc.peerreviewedyes
dc.publisherTaylor and Francis Group
dc.relationCenter for Advanced Studies in Management and Economics
dc.relation.ispartofApplied Economics
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectSystematic risk
dc.subjectBeta+
dc.subjectBeta-
dc.subjectInstitutional ownership
dc.subjectFree float
dc.titleInstitutional ownership, free float, and systematic riskeng
dc.typejournal article
dspace.entity.typePublication
oaire.awardNumberUIDB/04007/2020
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT
oaire.citation.titleApplied Economics
oaire.fundingStream6817 - DCRRNI ID
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.familyNameFrancisco
person.givenNamePaulo Morais
person.identifier.ciencia-idCD18-B229-B04B
person.identifier.orcid0000-0001-6632-3097
person.identifier.scopus-author-id56478668900
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
relation.isAuthorOfPublication1765bde5-8c14-4c7d-9ce9-5bc93887aeff
relation.isAuthorOfPublication.latestForDiscovery1765bde5-8c14-4c7d-9ce9-5bc93887aeff
relation.isProjectOfPublication2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d
relation.isProjectOfPublication.latestForDiscovery2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d

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