The Effect of 2021 Brazil’s “Proposal for Free Market Expansion of the Electricity Sector†on Short-Term Stock Prices and Volatility

Bruno Benevit, Daniel Uhr (), João Vítor Paz Corrales and Júlia Gallego Ziero Uhr ()
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Júlia Gallego Ziero Uhr: Department of Economics, Universidade Federal de Pelotas, Brazil

Energy RESEARCH LETTERS, 2023, vol. 4, issue 2, 1-5

Abstract: We examine the effect of the “Proposal for Free Market Expansion of the Electricity Sector†disclosure on Brazil’s short-term stock market prices and volatility. We employ the Difference-in-Differences and the Doubly Robust Difference-in-Differences methodologies to analyze the proposal’s disclosure effect on daily returns and volatility of electricity sector companies listed on the Brazilian stock exchange. Results show a negative effect of the policy on stocks’ average daily returns and volatility.

Keywords: Asset pricing; Information and market efficiency; Government policy and regulation (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnerl:82

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