Liu, Tung; Stone, Courtenay C.; Santoni, Gary J. - Department of Economics, Ball State University - 2008
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...