文章基本信息

标题：Capital Market Governance: How Do Security Laws Affect Market Performance?
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作者：Daouk, Hazem ; Lee, Charles M.C. ; Ng, David T.C. 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2005
期号：SUPPL
出版社：Food Distribution Research Society
摘要：This paper examines the link between capital market governance (CMG) and several key measures of market performance. Using detailed data from individual stock exchanges, we develop a composite CMG index that captures three dimensions of security laws: the degree of earnings opacity, the enforcement of insider laws, and the effect of removing short-selling restrictions. We find that improvements in the CMG index are associated with decreases in the cost-of-equity capital (both implied and realized), increases in market liquidity (trading volume, market depth, and U.S. foreign investments), and increases in market pricing efficiency (reduced price synchronicity and IPO underpricing). The results are quite consistent across individual components of CMG and over alternative market performance measures.
关键词：capital market governance;insider trading;earnings opacity;short-selling constraints;market performance