Federal Securities Regulations and Stock Market Returns
AbstractThis paper uses the EGARCH-M model to examine the impact of federal securities statutes on the mean and variance of total real U.S. stock market returns. In contrast to previous work, this study employs a longer time period, utilizes a broader array of stocks and examines the impact of eight major federal securities acts and their 573 amendments from 1933 through 2007. 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 75 years.
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Bibliographic InfoPaper provided by Ball State University, Department of Economics in its series Working Papers with number 200803.
Length: 33 pages
Date of creation: Dec 2008
Date of revision: Dec 2008
Publication status: Published in Journal of Financial and Economic Practice, Fall 2009, pp. 15-34
securities regulations; SEC; GARCH; stock returns;
Other versions of this item:
- Tung Liu & Gary Santoni & Courtenay Cliff Stone, 2005. "Federal Securities Regulations and Stock Market Returns," Working Papers 200501, Ball State University, Department of Economics, revised Jan 2005.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
- K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law
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