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Federal Securities Regulations and Stock Market Returns

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Author Info
Tung Liu () (Department of Economics, Ball State University)
Gary Santoni () (Department of Economics, Ball State University)
Courtenay Cliff Stone () (Department of Economics, Ball State University)

Additional information is available for the following registered author(s):

Abstract

This paper examines the impact of federal securities statutes (seven major legislative acts and 535 amendments) on the mean and variance of total real U.S. stock market returns. In contrast to previous work, this study controls for the persistence of the variability of stock returns, employs a longer time period, utilizes a broader array of stocks and examines the impact of seven federal securities regulations and their selected amendments from 1933 through 2001. Despite the popular appeal of this legislation, our results indicate that these federal securities statutes and amendments have had no statistical impact on the mean or variance of total real stock returns over the past 70 years.

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File URL: http://web.bsu.edu/cob/econ/research/papers/bsuecwp200501rliu.pdf
File Format: application/pdf
File Function: First version, 2005
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Publisher Info
Paper provided by Ball State University, Department of Economics in its series Working Papers with number 200501.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 34 pages
Date of creation: Jan 2005
Date of revision: Jan 2005
Handle: RePEc:bsu:wpaper:200501

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Postal: Muncie, Indiana 47306
Phone: (765) 285-5360
Fax: (765) 285-8024
Web page: http://www.bsu.edu/econ
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Related research
Keywords: stock returns volatility regulation

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September. [Downloadable!] (restricted)
  2. Andersen, Torben G & Bollerslev, Tim, 1997. " Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July. [Downloadable!] (restricted)
    Other versions:
  3. Harrison, Paul, 1998. "Similarities in the Distribution of Stock Market Price Changes between the Eighteenth and Twentieth Centuries," Journal of Business, University of Chicago Press, vol. 71(1), pages 55-79, January. [Downloadable!] (restricted)
  4. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
  5. Rafael La Porta & Florencio Lopez-de-Silane & Andrei Shleifer, 2003. "What Works in Securities Law?," NBER Working Papers 9882, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
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