This dissertation presents an investigation into the price, volume, volatility, and liquidity effects of changes in Federal Reserve margin restrictions upon the equity securities of firms previously neglected in the literature. Most of the earlier studies on the subject of margin restrictions have generally concluded that such regulations are ineffective since there is essentially no evidence that changes in margin requirements impact stock prices. Unfortunately, it is this researcher's opinion that much of this prior work is flawed, and therefore incapable of aiding in the development of regulatory policy. / This dissertation, by examining a wide range of large and small exchange-listed and OTC firms, suggests that margin changes may lead to larger security impacts than previously believed. Specifically, studies of the price and volatility responses of portfolios of 'small' NYSE firms around the time of pre-1963 margin changes suggest that 'small' firms react more significantly to margin changes than their larger S&P 500 counterparts. No differential trading volume effects were observed. / Studies of post-1963 margin changes utilizing the CRSP tape suggest that security price responses to the announcement of margin decreases and firm size are inversely correlated. The same does not appear to be true, however, for the case of margin increases. No relationship between firm size and volatility changes following margin announcements was uncovered. / Tests of the differential performance between the S&P 500 and NQB OTC index prior to the passage of the 1969 amendment to the Securities Exchange Act of 1934 failed to indicate the existence of margin-imposed binding constraints upon security investors. However, price and liquidity tests of paired 'marginable' and 'non-marginable' OTC securities in the post-1969 period did present evidence suggesting that margin restrictions impose binding constraints upon investors. No volatility differentials were uncovered. / Overall, considerable evidence was discovered suggesting that 'unexpected' margin changes result in stronger valuation responses than 'expected' changes. / Source: Dissertation Abstracts International, Volume: 48-12, Section: A, page: 3166. / Thesis (Ph.D.)--The Florida State University, 1987.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_76178 |
| Contributors | PRUITT, STEPHEN WALLACE., Florida State University |
| Source Sets | Florida State University |
| Detected Language | English |
| Type | Text |
| Format | 425 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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