Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry
Posted: 1 Nov 2005
Abstract
In this paper we analyse the effects of regulatory activity - specifically periodic price reviews in the English and Welsh water industry - using information on share price volatility. In controlling for different volatility components we identify and discuss general market, industry and firm idiosyncratic effects. We conclude that stock market investors were favourably disposed towards the outcome of the first, and the early stages of the process leading to the second, periodic review of prices in the industry.
Keywords: realised volatility, Markov switching regimes, water industry
Suggested Citation: Suggested Citation
Morana, Claudio and Sawkins, John, Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry. Journal of Regulatory Economics, Vol. 22, No. 2, pp. 177-96, 2002, Available at SSRN: https://ssrn.com/abstract=828848
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )
Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy
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