Stock liquidity and stock return: an asymmetric impact of institutional ownership approach

Daryaei, Abbas Ali; Fattahi, Yasin

doi:10.1108/cg-03-2021-0119

Cited by 3 publications

(5 citation statements)

References 81 publications

(153 reference statements)

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“…In the first regime, the performance increases with institutional ownership until a threshold level of ownership and then decreases in the second regime. Daryaei and Fattahi (2022) find a positive impact of institutional investors on stock liquidity and returns for moderate levels of institutional ownership (less than 40%) and a negative impact for high levels of ownership. Gharbi and Othmani (2022) find that the relationship between family ownership and financial performance is characterised by a threshold effect.…”

Section: Methodsmentioning

confidence: 83%

Threshold effects of board gender diversity on firm performance: panel smooth transition regression model

Gharbi

Othmani

2022

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Purpose This study aims to investigate whether threshold effects exist in the relationship between board gender diversity and firm performance. Design/methodology/approach This study applies the panel smooth threshold regression model (PSTR) to a sample of 284 non-financial French firms listed on Euronext Paris over the period 2009–2017. Firm performance proxies are Tobin’s Q and return on assets (ROA). The board gender diversity is measured by the percentage of women participation in board. Findings Threshold effects in the relationships between board gender diversity and firm performance measures are found. For Tobin’s Q, the model has one threshold at the 34.17% of women directors’ appointment on boards. Similarly, for ROA, the model has one threshold at the 38.28% of women presence in the board. The results show that above the estimated threshold, women directorship has a positive impact on firm performance. However, below the threshold, there is a neutral relationship. The findings support the critical mass view that a minimum of one third women representation in board is compulsory to achieve the desired effect of gender diversity. Practical implications This study’s finding provides useful insights to managers, investors and policymakers. Managers and investors can identify the adequate board gender diversity levels that enhance firm performance. Policymakers are divided on whether mandatory or voluntary board gender quota should be adopted. This study suggests that a quota of one third can be used in policy implementation. Originality/value Unlike prior studies that consider the relationship between firm performance and board gender diversity as linear, to the best of the authors’ knowledge, this study is the first to investigate the threshold effects in this relationship using a new econometric approach.

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Section: Methodsmentioning

confidence: 83%

Threshold effects of board gender diversity on firm performance: panel smooth transition regression model

Gharbi

Othmani

2022

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“…On the other hand, studies by Wang (2022);De Cesari et al (2012), and Daryaei and Fattahi (2022) have found a negative relationship between the ratio of institutional ownership structure and equity liquidity. These studies interpret this as evidence that institutional investments are short-term and for speculative purposes, meaning that institutions deal as speculators rather than owners.…”

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 97%

“…While the size of a corporation can affect its value, but this effect is not directional. Nonetheless, studies by Natsir and Yusbardini (2020); Widnyana, Astiti, and Suarjana (2021); Zuhroh (2019) and Daryaei and Fattahi (2022) have found a positive relationship of the size of the corporation on corporation value. However, other studies (Hirdinis, 2019;Niresh & Thirunavukkarasu, 2014) suggest that there is a negative relationship between the size of the corporation and its corporation value.…”

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 98%

“…The degree of leverage may reduce opportunistic behaviour by managers and prevent them from making decisions that prioritize their personal interests at the expense of the corporation (Ali, Liu, & Su, 2017). Daryaei and Fattahi (2022) have noted that the degree of financial leverage is related to decisions related to the financial structure of corporations, specifically long-term financing, which can affect its value. Stockholders play an important role in determining the financial structure of a corporation in a way that positively affects its value and increases their own wealth.…”

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 99%

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The mediating role of common stock's liquidity between ownership structure characteristics and corporation's value: Evidence from emerging markets

Wagdi,

Farouk,

Abdou

2023

IJAEFA

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The study investigated the mediating role of common stock liquidity between ownership structure characteristics and a corporation's value in emerging markets. A quantitative approach was adopted for seventy non-financial listed corporations from seven markets, including Brazil, Egypt, India, Russia, Saudi Arabia, South Africa, and Turkey. The data was collected annually from 2012 to 2021. After removing the outliers using winnowing at 1% and testing the stationary data, the study discovered that ownership structure characteristics and Common Stock’s Liquidity, under the control variables, determine the corporation's value in emerging markets by 69.35% according to panel data analysis but by 69.1% according to hierarchical regression analysis. Finally, the study found that Common Stock Liquidity played a significant mediating role, resulting in an average increase of 47.7% in interpreting the change in the value of the corporation in emerging markets. Therefore, common stock liquidity has a significant impact on the value of a corporation and should not be overlooked by top management and investors when making investment decisions in the stock exchange. Thus, common stock liquidity is one of the factors that create value for shareholders in emerging markets.

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“…Equally important, as evidenced by Daryaei and Fattahi (2022), with an increase in institutional ownership up to a certain level, the relationship between liquidity and stock returns strengthens. However, when institutional ownership exceeds a certain level, its further increase results in a weakening of the liquidity-return relationship.…”

Section: Hypothesis Developmentmentioning

confidence: 97%

Illiquidity and stock returns: the moderating role of investors' holding period in Central and Eastern European markets

Stereńczak

2022

IJOEM

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PurposeThe positive illiquidity–return relationship (so-called liquidity premium) is a well-established pattern in international developed stock markets. The magnitude of liquidity premium should increase with market illiquidity. Existing studies, however, do not confirm this conjecture with regard to frontier markets. This may result from applying different approaches to the investors' holding period. The paper aims to identify the role of the holding period in shaping the illiquidity–return relationship in emerging and frontier stock markets, which are arguably considered illiquid.Design/methodology/approachThe authors utilise the data on stocks listed on fourteen exchanges in Central and Eastern Europe. The authors regress stock returns on liquidity measures variously transformed to reflect the clientele effect in a liquidity–return relationship.FindingsThe authors show that the investors' holding period moderates the illiquidity–return relationship in CEE markets and also show that the liquidity premium in these markets is statistically and economically relevant.Practical implicationsThe findings may be of great interest to investors, companies and regulators. Investors and companies should take liquidity into account when making decisions; regulators should employ liquidity-enhancing actions to decrease companies' cost of capital and expand firms' investment opportunities, which will improve growth perspectives for the entire economy.Originality/valueThese findings enrich the understanding of the role that the investors' holding period plays in the illiquidity–return relationship in CEE markets. To the best knowledge, this is the first study which investigates the effect of holding period on liquidity premium in emerging and frontier markets.

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Stock liquidity and stock return: an asymmetric impact of institutional ownership approach

Cited by 3 publications

References 81 publications

Threshold effects of board gender diversity on firm performance: panel smooth transition regression model

Threshold effects of board gender diversity on firm performance: panel smooth transition regression model

The mediating role of common stock's liquidity between ownership structure characteristics and corporation's value: Evidence from emerging markets

Illiquidity and stock returns: the moderating role of investors' holding period in Central and Eastern European markets

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