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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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  • 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.
  • Handle: RePEc:eee:glofin:v:13:y:2002:i:1:p:39-62
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    1. Baesel, Jerome B, 1974. "On the Assessment of Risk: Some Further Considerations," Journal of Finance, American Finance Association, vol. 29(5), pages 1491-1494, December.
    2. 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.
    3. Black, A. & Fraser, P. & Power, D., 1992. "UK unit trust performance 1980-1989: A passive time-varying approach," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 1015-1033, September.
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    5. Gonzalez-Rivera, Gloria, 1997. "The Pricing of Time-Varying Beta," Empirical Economics, Springer, vol. 22(3), pages 345-363.
    6. Riddick, Leigh A, 1992. "The Effects of Regulation on Stochastic Systematic Risk," Journal of Regulatory Economics, Springer, vol. 4(2), pages 139-157, June.
    7. 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(1), pages 123-137, March.
    8. Dnes, Antony W. & Kodwani, Devendra G. & Seaton, Jonathan S. & Wood, Douglas, 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 207-225, May.
    9. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    10. Bernstein, Jeffrey I & Sappington, David E M, 1999. "Setting the X Factor in Price-Cap Regulation Plans," Journal of Regulatory Economics, Springer, vol. 16(1), pages 5-25, July.
    11. Peltzman, Sam, 1976. "Toward a More General Theory of Regulation," Journal of Law and Economics, University of Chicago Press, vol. 19(2), pages 211-240, August.
    12. 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, September.
    13. 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.
    14. 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.
    15. 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 241-257, September.
    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. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    18. 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(3), pages 407-443, June.
    19. Bey, Roger P., 1983. "Market Model Stationarity of Individual Public Utilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 67-85, March.
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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;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 159-179, June.
    2. Khelifa Mazouz & Michael Bowe, 2009. "Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 203-212.

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