Footnote:
In: Journal of Banking and Finance, Volume 72, November 2016, Pages 99-120
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 18, 2015 erstellt
Description:
In this paper we investigate how privatization affects stock return volatility. We show that privatization is related to volatility via 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 when they are carried out through asset sales