کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960590 929502 2006 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of regulation on market risk
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
The impact of regulation on market risk
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 80, Issue 1, April 2006, Pages 149–184
نویسندگان
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