The Effect of Shareholder Heterogeneity on Negative Skewness of Stock Returns
Keywords:
Shareholder heterogeneity effect, negative skewness of stock returns, Tehran Stock ExchangeAbstract
Negative skewness of stock returns reflects an asymmetric distribution of returns in which the probability of extreme losses is higher than that of unexpected gains. It is considered one of the key indicators of stock price crash risk. One of the critical factors influencing the severity of negative skewness is shareholder heterogeneity. Differences in investment horizons, risk preferences, and access to information lead to heterogeneous investor reactions to market conditions, which can either intensify or mitigate negative skewness. The aim of this study was to examine the effect of shareholder heterogeneity on the negative skewness of stock returns in the Tehran Stock Exchange during the period from 2018 to 2022. The statistical population consisted of all active listed companies during this period. After applying constraints and excluding investment and financial intermediary firms, the final sample included 120 companies. Panel regression models were used to test the effect of long-term and short-term institutional investors on negative skewness, while control variables included firm size, trading volume, and financial leverage. The results indicated that long-term institutional investors have a significant negative effect on negative skewness, and an increase in the share of this group reduces the likelihood of unfavorable returns and enhances market stability. In contrast, short-term institutional investors have a significant positive effect on negative skewness, and a higher share of this group intensifies volatility and increases the risk of price crashes. Furthermore, firm size and trading volume are negatively associated with negative skewness, while financial leverage is positively associated with it. These findings highlight the importance of the composition of institutional shareholders in reducing risk and improving market stability.
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