Li, Donghui; Nguyen, Quang N.; Pham, Peter K.; Wei, … - In: Journal of Financial and Quantitative Analysis 46 (2011) 04, pp. 1127-1155
This study constructs a firm-level measure of large foreign ownership (LFO) and investigates its impact on stock return volatility in 31 emerging markets. We find a <italic>negative</italic> relationship between LFO and volatility, even after controlling for potential endogeneity and the impact of major domestic...