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The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor model of Fama and French (1993) and to a lesser extent the two factor liquidity augmented model of Liu (2006) in capturing the cross section of average stock returns. The findings emphasise the importance of institutional quality, legal origin and concentrated ownership that are the basis of property rights protection in the portfolio diversification decisions of minority investors