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      Firm size, ownership structure, and systematic liquidity risk : the case of an emerging market

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      Embargo Lift Date: 2019-08-01
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      Author
      Şensoy, Ahmet
      Date
      2017
      Source Title
      Journal of Financial Stability
      Print ISSN
      1572-3089
      Publisher
      Elsevier B.V.
      Volume
      31
      Pages
      62 - 80
      Language
      English
      Type
      Article
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      Abstract
      Previous studies support the hypothesis that institutional ownership leads to an enhanced systematic liquidity risk by increasing the commonality in liquidity. By using a proprietary database of all incoming orders and ownership structure in an emerging stock market, we show that institutional ownership leads to an increase in commonality in liquidity for mid- to-large cap firms; however, only individual ownership can lead to such an increase for small cap firms, revealing a new source of systematic liquidity risk for a specific group of firms. We also reveal that commonality decreases with the increasing number of investors (for both individual and institutional) at any firm size level; suggesting that as the investor base gets larger, views of market participants become more heterogeneous, which provides an alternative way to decrease the systematic liquidity risk.
      Keywords
      Commonality in liquidity
      Firm size
      Order book
      Ownership structure
      Systematic liquidity risk
      Permalink
      http://hdl.handle.net/11693/37366
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.jfs.2017.06.007
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