Determinants of European telecommunication operators systematic risk
This article studies the determinants of systematic risk for a panel of European telecommunication incumbent operators. The systematic risk (the beta coefficient) is estimated with the capital asset pricing model using different econometric methods (OLS, ML GARCH and Kalman Filter). Previous empirical literature has identified accounting variables as being determinants of systematic risk. These control variables serve as a basis to study the impact of regulation and competition on risk. The Polynomics regulatory index is used for regulation and Herfindahl-Hirschman Indexes for competition. The overall index of regulation doesn't have a clear impact on risk. However, subindexes indicating quantity regulation is associated with higher risk. By quantity, we mean regulatory constraints such as Universal service obligation or coverage obligation for mobile networks. In contrast, access regulation decreases the risk. The impact of the competition's intensity is different for the mobile and fixed markets. Results for mobile competition are not significant whereas more intense fixed competition is associated with less risk. These results are consistent with the interpretation that regulation and competition have reduced the investment of the sector. It is also consistent with the observation that competition has taken place on services rather than on infrastructures.
|Date of creation:||2013|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.itseurope.org/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michał Grajek & Lars-Hendrik R�ller, 2012.
"Regulation and Investment in Network Industries: Evidence from European Telecoms,"
Journal of Law and Economics,
University of Chicago Press, vol. 55(1), pages 189 - 216.
- MichaÅ‚ Grajek & Lars-Hendrik RÃ¶ller, 2009. "Regulation and Investment in Network Industries: Evidence from European Telecoms," SFB 649 Discussion Papers SFB649DP2009-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
- Gaggero, Alberto A., 2007. "Regulatory risk in the utilities industry: An empirical study of the English-speaking countries," Utilities Policy, Elsevier, vol. 15(3), pages 191-205, September.
- Alexander, Ian & Mayer, Colin & Weeds, Helen, 1996. "Regulatory structure and risk and infrastructure firms : an international comparison," Policy Research Working Paper Series 1698, The World Bank.
- Carlo Cambini & Laura Rondi, 2012. "Capital structure and investment in regulated network utilities: evidence from EU telecoms," Industrial and Corporate Change, Oxford University Press, vol. 21(1), pages 31-71, February.
- Maya Bacache & Marc Bourreau & Germain Gaudin, 2014. "Dynamic Entry and Investment in New Infrastructures: Empirical Evidence from the Fixed Broadband Industry," Review of Industrial Organization, Springer, vol. 44(2), pages 179-209, March.
- Zenhaeuserna, Patrick & Schneiderb, Yves, 2012. "Polynomics telecommunication regulation index 2012," 23rd European Regional ITS Conference, Vienna 2012 60399, International Telecommunications Society (ITS).
- Stephan Schaeffler & Christoph Weber, 2011. "The Cost of Equity of Network Operators - Empirical Evidence and Regulatory Practice," EWL Working Papers 1101, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Jun 2012.
- Carlo Cambini & Laura Rondi, 2009.
"Access Regulation, Financial Structure and Investment in Vertically Integrated Utilities:Evidence from EU Telecoms,"
RSCAS Working Papers
2009/68, European University Institute.
- Carlo Cambini & Laura Rondi, 2009. "Access Regulation, Financial Structure and Investment in Vertically Integrated Utilities: Evidence from EU Telecoms," EUI-RSCAS Working Papers 68, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
- George J. Stigler, 1971. "The Theory of Economic Regulation," Bell Journal of Economics, The RAND Corporation, vol. 2(1), pages 3-21, Spring.
- Grout, Paul A. & Zalewska, Anna, 2006. "The impact of regulation on market risk," Journal of Financial Economics, Elsevier, vol. 80(1), pages 149-184, April.
- Binder, John J & Norton, Seth W, 1999. "Regulation, Profit Variability and Beta," Journal of Regulatory Economics, Springer, vol. 15(3), pages 249-66, May.
- Norton, Seth W, 1985. "Regulation and Systematic Risk: The Case of Electric Utilities," Journal of Law and Economics, University of Chicago Press, vol. 28(3), pages 671-86, October.
When requesting a correction, please mention this item's handle: RePEc:zbw:itse13:88495. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.