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The scale and patterns of abnormal returns to equity investment in UK electricity distribution

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  • Buckland, Roger
  • Fraser, Patricia
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 13 (2002)
    Issue (Month): 1 ()
    Pages: 39-62

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    Handle: RePEc:eee:glofin:v:13:y:2002:i:1:p:39-62

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    Web page: http://www.elsevier.com/locate/inca/620162

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    References

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    1. Bey, Roger P., 1983. "Market Model Stationarity of Individual Public Utilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(01), pages 67-85, March.
    2. Alexander, Gordon J. & Chervany, Norman L., 1980. "On the Estimation and Stability of Beta," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(01), pages 123-137, March.
    3. Antonios Antoniou & Gioia M. Pescetto, 1997. "The Effect of Regulatory Announcements on the Cost of Equity Capital of British Telecom," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 1-26.
    4. Cox, Alan J & Portes, Jonathan, 1998. "Mergers in Regulated Industries: The Uses and Abuses of Event Studies," Journal of Regulatory Economics, Springer, vol. 14(3), pages 281-304, November.
    5. Chang, Mo Ahn & Thompson, Howard E, 1989. "An Analysis of Some Aspects of Regulatory Risk and the Required Rate of Return for Public Utilities," Journal of Regulatory Economics, Springer, vol. 1(3), pages 241-57, September.
    6. Baesel, Jerome B, 1974. "On the Assessment of Risk: Some Further Considerations," Journal of Finance, American Finance Association, vol. 29(5), pages 1491-94, December.
    7. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    8. Peltzman, Sam, 1976. "Toward a More General Theory of Regulation," Journal of Law and Economics, University of Chicago Press, vol. 19(2), pages 211-40, August.
    9. Gonzalez-Rivera, Gloria, 1997. "The Pricing of Time-Varying Beta," Empirical Economics, Springer, vol. 22(3), pages 345-63.
    10. Riddick, Leigh A, 1992. "The Effects of Regulation on Stochastic Systematic Risk," Journal of Regulatory Economics, Springer, vol. 4(2), pages 139-57, June.
    11. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    12. Gonedes, Nicholas J., 1973. "Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(03), pages 407-443, June.
    13. Dnes, Antony W, et al, 1998. "The Regulation of the United Kingdom Electricity Industry: An Event Study of Price-Capping Measures," Journal of Regulatory Economics, Springer, vol. 13(3), pages 207-25, May.
    14. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
    15. Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
    16. Groenewold, Nicolaas & Fraser, Patricia, 1999. "Time-varying estimates of CAPM betas," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 531-539.
    17. Jeffrey I. Bernstein & David E. M. Sappington, 1998. "Setting the X Factor in Price Cap Regulation Plans," NBER Working Papers 6622, National Bureau of Economic Research, Inc.
    18. Binder, John J & Norton, Seth W, 1999. "Regulation, Profit Variability and Beta," Journal of Regulatory Economics, Springer, vol. 15(3), pages 249-66, May.
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    Cited by:
    1. Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada, 2005. "Dynamic Efficiency in the East European Emerging Markets," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 159-179, June.

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