The impact of regulation on market risk

• 成果类型: Article; Proceedings Paper
• 署名作者: Grout, PA; Zalewska, A
• 署名单位: University of Bath; University of Bristol; University of Bristol
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.02.006
• 发表日期: 2006
• 页码: 149-184
• 关键词: Regulation; TIME-VARYING RISK; Kalman filter; asset pricing

摘要

While it is crucial to understand the impact of regulatory changes on market risk, the literature does not show how risk responds to expected regulatory changes that are specifically designed to change risk. Our paper fills this gap by providing a detailed study of one such case. Using both a sample of privatized U.K. companies, and U.K. and U.S. control portfolios, between 1993 and 2000, we show (both for the single-factor market model and the three-factor Fama-French model) that the observed changes in market risk are significant and consistent with theory. (c) 2005 Elsevier B.V. All rights reserved.