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Federal Securities Regulations and Stock Market Returns

Author

Listed:
  • 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)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:bsu:wpaper:200501
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    References listed on IDEAS

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    More about this item

    Keywords

    stock returns; volatility; regulation;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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