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dc.contributor.authorŞensoy, Ahmeten_US
dc.date.accessioned2018-04-12T11:11:27Z
dc.date.available2018-04-12T11:11:27Z
dc.date.issued2017en_US
dc.identifier.issn1572-3089
dc.identifier.urihttp://hdl.handle.net/11693/37366
dc.description.abstractPrevious 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.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Financial Stabilityen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.jfs.2017.06.007en_US
dc.subjectCommonality in liquidityen_US
dc.subjectFirm sizeen_US
dc.subjectOrder booken_US
dc.subjectOwnership structureen_US
dc.subjectSystematic liquidity risken_US
dc.titleFirm size, ownership structure, and systematic liquidity risk : the case of an emerging marketen_US
dc.typeArticleen_US
dc.departmentFaculty of Business Administrationen_US
dc.citation.spage62en_US
dc.citation.epage80en_US
dc.citation.volumeNumber31en_US
dc.identifier.doi10.1016/j.jfs.2017.06.007en_US
dc.publisherElsevier B.V.en_US
dc.embargo.release2019-08-01en_US


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