Journal of Banking and Finance 72 (2016) 99–120

可靠的改革與股票收益率波動：來自私有化的證據

作者：Jean-Claude Cosset (HEC Montréal, 3000 Chemin de la C?te-Sainte-Catherine), Hyacinthe Y. Somé (Université de Sherbrooke, 2500 Boulevard de l' Université), Pascale Valéry (HEC Montréal, 3000 Chemin de la C?te-Sainte-Catherine)

摘要：本文研究了私有化對股票收益率波動的影響。可靠的私有化改革降低了政治風險，進而增加了投資者信心。特别是持續的私有化項目，它不僅值得信任，還降低了政治風險，從而導緻波動性減小。我們進一步指出，在發達市場中，私有化主要降低了資産的特質性波動；而在發展中市場，私有化則主要降低了系統性波動。進一步的研究顯示，當私有化出售通過股票市場開展時，波動性減小的程度要比通過資産出售方式更大。

關鍵詞：私有化，投資者信心，股票收益率波動，政治風險

Credible reforms and stock return volatility: Evidence from privatization

Jean-Claude Cosset (HEC Montréal, 3000 Chemin de la C?te-Sainte-Catherine), Hyacinthe Y. Somé (Université de Sherbrooke, 2500 Boulevard de l' Université), Pascale Valéry (HEC Montréal, 3000 Chemin de la C?te-Sainte-Catherine)

ABSTRACT

In this paper we investigate how privatization affects stock return volatility. A credible privatization builds investors’ confidence through a reduction in political risk. In particular, a privatization program that is maintained over time signals credibility, reduces political risk and in turn volatility. We further show that privatization is associated with lower idiosyncratic volatility mainly among developed markets, while it is associated with lower systematic volatility in developing markets. Additional tests suggest that the reduction in volatility is greater when privatization sales are carried out through the stock market than through asset sales.

Keywords: Privatization; Investor's confidence; Stock return volatility; Political risk

原文鍊接：

http://dx.doi.org/10.1016/j.jbankfin.2016.07.004

翻譯：郎彪