This paper analyses the relation between stock return volatility and institutional holdings and company's leverage in the US banking industry in the period 1980 to 2013. We find that institutional holdings and bank leverage have a negative relationship with stock return volatility. Our results are not driven only by cross-sectional variation as we find that bank characteristics such as size, age and ROE are significant ina fixed-effect specification.
MSc in Finance Project-Simon Fraser University
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