Regulation, Profit Variability and Beta
Abstract
Many tests of the Peltzman hypothesis that regulation buffers the firm's cash flows examine the firm's equity beta. We model the asset beta and show that it (and the equity beta) are a function of several variables beyond those found in previous tests. Since these variables are also affected by regulation, tests of the Peltzman theory that do not hold these factors constant will be biased. The empirical tests in this paper hold other determinants of beta equal and find evidence consistent with the Peltzman buffering hypothesis and the model of beta. Copyright 1999 by Kluwer Academic PublishersDownload Info
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Bibliographic Info
Article provided by Springer in its journal Journal of Regulatory Economics.
Volume (Year): 15 (1999)
Issue (Month): 3 (May)
Pages: 249-66
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Web page: http://www.springerlink.com/link.asp?id=100298
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Brewer, Elijah III & Genay, Hesna & Hunter, William Curt & Kaufman, George G., 2003. "The value of banking relationships during a financial crisis: Evidence from failures of Japanese banks," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 233-262, September.
- Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
- Elijah Brewer, III & Hesna Genay & William Curt Hunter & George G. Kaufman, 2002. "The value of banking relationships during a financial crisis: evidence from failures of Japanese banks," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
- Helder Valente, 2003. "Financial Strategies in Mergers and Acquisitions (M&A): The Case of Regulated Firms," CEF.UP Working Papers 0307, Universidade do Porto, Faculdade de Economia do Porto.
- Elijah Brewer, III & Hesna Genay & William Curt Hunter & George G. Kaufman, 2002. "The value of banking relationships during a financial crisis: evidence from failures of Japanese banks," Working Paper Series WP-02-20, Federal Reserve Bank of Chicago.
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