Credible reforms and stock return volatility: Evidence from privatization

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• 作者：Jean-Claude Cosset^a ; ¹ ; ^{jean-claude.cosset@hec.ca" class="auth_mail" title="E-mail the corresponding author} ; Hyacinthe Y. Somé ; ^b ; ² ; ^{yirlier.hyacinthe.some@usherbrooke.ca" class="auth_mail" title="E-mail the corresponding author} ; Pascale Valé ; ry^a ; ^{pascale.valery@hec.ca" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Privatization ; Investor's confidence ; Stock return volatility ; Political risk
• 刊名：Journal of Banking & Finance
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：72
• 期：Complete
• 页码：99-120
• 全文大小：794 K

文摘

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, which 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.