Federal Securities Regulations and Stock Market Returns

Tung Liu (), Courtnenay Stone () and Gary Santoni ()
Additional contact information
Courtnenay Stone: Department of Economics, Ball State University
Gary Santoni: Department of Economics, Ball State University

No 200803, Working Papers from Ball State University, Department of Economics

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.

Keywords: securities regulations; SEC; GARCH; stock returns (search for similar items in EconPapers)
JEL-codes: C22 G38 K22 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2008-12, Revised 2008-12
New Economics Papers: this item is included in nep-law
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Published in Journal of Financial and Economic Practice, Fall 2009, pp. 15-34

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http://econfac.bsu.edu/research/workingpapers/bsuecwp200803liu.pdf First version, 2005 (application/pdf)

Related works:
Working Paper: Federal Securities Regulations and Stock Market Returns (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:bsu:wpaper:200803

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