Using Financial Data To Measure Effects of Regulation
G. William Schwert
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Law and Economics, 24 (April 1981) 121-158
This paper argues that the wealth effects of unanticipated changes in regulation
can often be measured from security returns, although the effects of existing
or anticipated regulation cannot be measured from returns. In contrast, under
some circumstances it may be possible to measure the wealth effects of regulation
from the level of the security prices of affected firms. If there are specialized
resources linked to regulation, such as taxicab medallions or stock exchange
seats, the value of these assets can be used to measure some of the effects
of regulation. Many examples from the empirical literature on regulation are
discussed.
Key words: Efficient markets, Event study, Regulation
JEL Classifications: G14, G18, G34, L22
Cited 353 times in the SSCI and SCOPUS through 2020
© Copyright 1981, University of Chicago
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