Intervalling-effect bias and evidences for competition policy
Panagiotis Fotis (),
Victoria Pekka and
Michael Polemis ()
MPRA Paper from University Library of Munich, Germany
The purpose of this paper is on the one hand to analyze whether the security’s systematic risk beta estimates change as the infrequent trading phenomenon appears and on the other hand to provide useful insight on the impact of mergers and acquisitions on competition policy. The paper employs the models of Scholes and Williams (1977), Dimson (1979), Cohen et al. (1983a) and Maynes and Rumsey (1993) on a small stock exchange with thickly infrequent trading stocks. The empirical results reveal that for some securities the models employed by Scholes and Williams (1977) and Cohen et al. (1983a) improve the biasness of the Ordinary Least Squares Market Model (Maynes and Rumsey, 1993). Regarding competition policy issues, we argue that competitors gain while merged entities loose or at least do not gain from the clearness of the mergers under scrutiny. However, if we focus our attention on each individual merger, the results are rather controversial.
Keywords: Intervalling-effect bias; Beta risk measurement; infrequent trading phenomenon; mergers and acquisiti¬ons; com¬pe¬¬¬tition po¬licy (search for similar items in EconPapers)
JEL-codes: C4 G12 K0 (search for similar items in EconPapers)
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