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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)
Courtenay C. Stone () (Department of Economics, Ball State University)
Gary J. Santoni () (Department of Economics, Ball State University)

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

Abstract

This 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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File URL: http://web.bsu.edu/cob/econ/research/papers/bsuecwp200803liu.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 200803.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 33 pages
Date of creation: Dec 2008
Date of revision: Dec 2008
Handle: RePEc:bsu:wpaper:200803

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Postal: Muncie, Indiana 47306
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Fax: (765) 285-8024
Web page: http://www.bsu.edu/econ
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Related research
Keywords: securities regulations; SEC; GARCH; stock returns;

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
K22 - Law and Economics - - Regulation and Business Law - - - Corporation and Securities Law

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. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-86, January. [Downloadable!] (restricted)
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  3. Benston, George J, 1975. "Required Disclosure and the Stock Market: Rejoinder," American Economic Review, American Economic Association, vol. 65(3), pages 473-77, June. [Downloadable!] (restricted)
  4. 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:
  5. 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)
  6. Rafael Porta & Florencio Lopez-De-Silanes & Andrei Shleifer, 2006. "What Works in Securities Laws?," Journal of Finance, American Finance Association, vol. 61(1), pages 1-32, 02. [Downloadable!] (restricted)
    Other versions:
  7. 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)
  8. 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.
  9. George J. Stigler, 1963. "Public Regulation of the Securities Markets," Journal of Business, University of Chicago Press, vol. 37, pages 117. [Downloadable!]
  10. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  11. Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-51, December. [Downloadable!] (restricted)
    Other versions:
  12. 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:
  13. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  14. Schwert, G William, 1981. "Using Financial Data to Measure Effects of Regulation," Journal of Law & Economics, University of Chicago Press, vol. 24(1), pages 121-58, April.
  15. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March. [Downloadable!] (restricted)
  16. Robert Engle & Tim Bollerslev, 1986. "Modelling the persistence of conditional variances," Econometric Reviews, Taylor and Francis Journals, vol. 5(1), pages 1-50. [Downloadable!] (restricted)
  17. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," Journal of Business, University of Chicago Press, vol. 46(3), pages 434-53, July. [Downloadable!] (restricted)
  18. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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