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The scale and patterns of abnormal returns to equity investment in UK electricity distribution

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  • Buckland, Roger
  • Fraser, Patricia

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  • Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
  • Handle: RePEc:eee:glofin:v:13:y:2002:i:1:p:39-62
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    4. Binder, John J & Norton, Seth W, 1999. "Regulation, Profit Variability and Beta," Journal of Regulatory Economics, Springer, vol. 15(3), pages 249-266, May.
    5. Teets, W, 1992. "The Association Between Stock-Market Responses To Earnings Announcements And Regulation Of Electric Utilities," Journal of Accounting Research, Wiley Blackwell, vol. 30(2), pages 274-285.
    6. Robert D. Brooks & Robert W. Faff & Michael D. McKenzie, 1998. "Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 1-22, June.
    7. Dnes, Antony W. & Kodwani, Devendra G. & Seaton, Jonathan S. & Wood, Douglas, 1998. "The Regulation of the United Kingdom Electricity Industry: An Event Study of Price-Capping Measures," Journal of Regulatory Economics, Springer, vol. 13(3), pages 207-225, May.
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    16. Gonzalez-Rivera, Gloria, 1997. "The Pricing of Time-Varying Beta," Empirical Economics, Springer, vol. 22(3), pages 345-363.
    17. Riddick, Leigh A, 1992. "The Effects of Regulation on Stochastic Systematic Risk," Journal of Regulatory Economics, Springer, vol. 4(2), pages 139-157, June.
    18. Alexander, Gordon J. & Chervany, Norman L., 1980. "On the Estimation and Stability of Beta," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 123-137, March.
    19. Peltzman, Sam, 1976. "Toward a More General Theory of Regulation," Journal of Law and Economics, University of Chicago Press, vol. 19(2), pages 211-240, August.
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    21. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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    23. Bey, Roger P., 1983. "Market Model Stationarity of Individual Public Utilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 67-85, March.
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    Cited by:

    1. Khelifa Mazouz & Michael Bowe, 2009. "Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 203-212.
    2. Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada, 2005. "Dynamic Efficiency in the East European Emerging Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 159-179, June.
    3. Stefano Paleari & Renato Redondi, 2005. "Regulation Effects on Company Beta Components," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 317-346, October.

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