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

可靠的改革与股票收益率波动：来自私有化的证据

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：本文研究了私有化对股票收益率波动的影响。可靠的私有化改革降低了政治风险，进而增加了投资者信心。特别是持续的私有化项目，它不仅值得信任，还降低了政治风险，从而导致波动性减小。我们进一步指出，在发达市场中，私有化主要降低了资产的特质性波动；而在发展中市场，私有化则主要降低了系统性波动。进一步的研究显示，当私有化出售通过股票市场开展时，波动性减小的程度要比通过资产出售方式更大。

关键词：私有化，投资者信心，股票收益率波动，政治风险

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

原文链接：

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

翻译：郎彪