@techreport{Parigi2005Diversification,
abstract = {We consider a mean-variance general equilibrium economy where the expected returns for
controlling and non-controlling shareholders are different because the former are able to
divert a fraction of the profits. We find that when investor protection is poor, asset return
correlation affects ownership structure in a positive way. Higher return correlation lowers the
benefits of diversification which causes a higher investment by the controlling shareholder in
his asset and a lower investment by the non-controlling shareholders. The empirical analysis
supports the predictions of the model. In particular, controlling for measures of the quality of
the investor protection, the legal origin of the countries, and other structural variables as in a
previous study by La Porta et al. (1998) we find that equity ownership is significantly more
concentrated in countries where stock return correlation is higher, and that the magnitude of
this effect is larger in countries where investor protection is poorer.},
author = {Bruno Maria Parigi and Loriana Pelizzon},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G2; D8; G3; 330; corporate governance; investor protection; private benefits; diversification opportunities; Corporate Governance; Eigent\"{u}merstruktur; Anlegerschutz; Kapitalertrag; Korrelation; Portfolio-Management; Sch\"{a}tzung; Welt},
language = {eng},
number = {1590},
title = {Diversification and ownership concentration},
type = {CESifo working papers},
url = {http://hdl.handle.net/10419/19054},
year = {2005}
}
