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Stock Ownership Structure and Related Risk Premium
 Rosický, Ondřej ; Baruník, Jozef (advisor) ; Kočenda, Evžen (referee)
Goal of this thesis is to discover the possible risk premium for stocks with respect to their ownership structure. We work with two types of investors, retail and institutional. Those types of investors have different expectations, preferences and behave differently in certain market events. We built the long-short IMR (institutional minus retail) factor as difference in returns of top and bottom portfolios based on proportion of institutional ownership and added this factor to Fama and French Three Factor Model. There is approximately 0.23 % risk premium for stocks with high share of institutional owners. Further we also try to find the possible impact of nominal stock price on ownership structure. With higher nominal price there is higher institutional ownership. On the other hand, this impact is negligible for low and high percentage share of institutional ownership, therefore IMR factor could not be substituted by the nominal stock price. Lastly, we tried to discover what causes the abnormal returns after the execution date. We found out that with increase in retail ownership by 1 p.p., the abnormal returns are higher in one week after stock split execution date by 0.8 p.p. That is in line with earlier discovered risk premium because with the decrease in the portion of institutional ownership...
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