Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry

Claudio Morana and John Sawkins

Journal of Regulatory Economics, 2002, vol. 22, issue 2, 185-204

Abstract: In this paper we analyze 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 favorably 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. Copyright 2002 by Kluwer Academic Publishers

Date: 2002
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