Stock return, risk, and legal environment around the world |
| |
Authors: | Wan-Jiun Paul Chiou Alice C Lee Cheng-Few Lee |
| |
Institution: | aDepartment of Finance and SCM, Shippensburg University of Pennsylvania, Shippensburg, PA 17257, USA;bDepartment of Finance, San Francisco State University, San Francisco, CA 94132, USA;cDepartment of Finance and Economics, Rutgers University, Piscataway, NJ 08854, USA |
| |
Abstract: | This paper investigates how the legal environment in a country influences performance and risk of stock across countries at different developmental stages and of various rules of jurisdiction. Using data of 4916 stocks from 37 countries, our empirical findings confirm that equities in countries with English common law origin have higher risk premiums than those in civil law countries, particularly for countries of the French/Spanish code. The indicators representing high efficiency in law system, low corruption, strong legal protection of investors' rights, and reliable political environment are associated with low risk and high performance. The various elements of legal procedural formalism, however, have differing effects on volatility and return. |
| |
Keywords: | Legal environment International equity markets Generalized method of moments |
本文献已被 ScienceDirect 等数据库收录! |
|