Investor Protection and Asset Prices

• 成果类型: Article
• 署名作者: Basak, Suleyman; Chabakauri, Georgy; Yavuz, M. Deniz
• 署名单位: University of London; London Business School; Center for Economic & Policy Research (CEPR); University of London; London School Economics & Political Science; Purdue University System; Purdue University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz038
• 发表日期: 2019
• 页码: 4905
• 关键词: CORPORATE GOVERNANCE; dynamic equilibrium; Emerging markets; voting-rights; OWNERSHIP; RISK; returns; EXPROPRIATION; stocks; old

摘要

Empirical evidence suggests that investor protection significantly affects ownership concentration and asset prices. We develop a dynamic asset pricing model to address the empirical regularities and uncover some of the underlying mechanisms at play. Our model features a controlling shareholder that endogenously accumulates control over a firm, and diverts a fraction of its output. Better investor protection decreases stock holdings of controlling shareholders, increases stock mean returns, and increases stock return volatilities when ownership concentration is sufficiently high, consistent with the related empirical evidence. The model also predicts that better protection increases interest rates and decreases the controlling shareholder's leverage.