Measuring the Effects of Regulation with Stock Price Data

Binder, John J.

doi:10.2307/2555408

Cited by 431 publications

(257 citation statements)

References 25 publications

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“…Event study methodology has been extensively used to assess the effects of legislation on stock prices (Schwert, 1981;Rose, 1985;Binder, 1985;Gilligan, et al, 1990). The fundamental assumption underlying the use of this approach is the efficiency of asset markets (Fama, 1976).…”

Section: Event Study Methodologymentioning

confidence: 99%

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The Legislated Adjustment of Labor Disputes: An Empirical Analysis, 1880 to 1894

Gotkin

1997

J. Eco. History

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Section: Event Study Methodologymentioning

confidence: 99%

“…An extension of the model incorporates a dummy variable, Djt equal to 1 if event j occurs at time t, and 0 otherwise, to capture the effect of specific events in time (Prager, 1989 andBinder, 1985).…”

Section: Event Study Methodologymentioning

confidence: 99%

The Legislated Adjustment of Labor Disputes: An Empirical Analysis, 1880 to 1894

Gotkin

1997

J. Eco. History

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“…One way to account for the impact of regulatory announcements is to use an event study (Schwert 1981;Binder 1985;Brown and Warner 1985;Lamdin 2001). We measure the effect of a regulatory event on the day of its announcement by calculating the abnormal returns for each company.…”

Section: Estimation Proceduresmentioning

confidence: 99%

Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study

Hoesli

Milcheva

Moss

2017

J Real Estate Finan Econ

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This study investigates how three regulatory reforms undertaken in the aftermath of the global financial crisis have affected returns of real estate companies. The three reforms are aimed at regulating different segments of the market -Basel III targets banks, and could restrict the availability of bank debt to the sector; the Alternative Investment Fund Management Directive (AIFMD) targets funds, which could increase compliance costs and reduce the potential investor pool; the European Market Infrastructure Regulation (EMIR) is aimed at derivative trading and could impact the cost of debt capital. We employ an event study methodology using daily stock returns of real estate companies and identify the regulatory events through news published in major international financial newspapers and news agencies. Our results show different responses across the three regulations. For Basel III we find support for the regulatory burden hypothesis of the bank lending channel for small real estate firms and firms with low debt-to-equity ratios as they cannot diversify their funding sources.The direct regulatory effect as tested using AIFMD announcements supports the profitbased reaction hypothesis for large firms. We also show that the news have asymmetric effects with tighter regulation news more frequently leading to significant responses in average abnormal returns (AARs) than loosening regulation news.

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“…We apply an event study to identify the in uence of environmental information on market value. This method has been established as the standard approach to capture market reactions to events or publications (Binder, 1998). Identi cation rests on the assumption that stock price developments follow a market model.…”

Section: Previous Researchmentioning

confidence: 99%

“…However, the method has been re ned in the last years. In particular the work of Binder (1985) has helped to establish the Multivariate Regression Model (MVRM): To allow for heteroscedasticity across rms, the MVRM consists of n stacked equations, according to the number of rms in the sample, with rm speci c dummy variables, yielding the following set of GLS equations:…”

Section: Previous Researchmentioning

confidence: 99%

On the Obligation to Provide Environmental Information in the 21st Century - Empirical Evidence from Germany

Massier

Römer

2012

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu Terms of use: Documents in AbstractIn this paper, we study the e ectiveness of environmental information disclosure as a regulatory instrument. In particular we analyze its impact when environmental regulation is already advanced. Using German stock market data, we are able to identify the impact of the European Pollutant Emission Register (EPER) on the market value of listed rms using a Multivariate Regression Model (MVRM). First, we show that the publication of EPER data leads to negative abnormal returns of the respective listed rms in Germany. Second, we study drivers of these abnormal returns. Here, we nd that the rms' individual level of non-carbon emissions can explain the observed changes in market valuation, while carbon dioxide emissions do not seem to be punished by the market. Moreover, we include information on voluntarily provided environmental reports and nd that these reports can serve as a substitute to the obligatory register. JEL Classi cation: G14, L51, Q52

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Measuring the Effects of Regulation with Stock Price Data

Cited by 431 publications

References 25 publications

The Legislated Adjustment of Labor Disputes: An Empirical Analysis, 1880 to 1894

The Legislated Adjustment of Labor Disputes: An Empirical Analysis, 1880 to 1894

Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study

On the Obligation to Provide Environmental Information in the 21st Century - Empirical Evidence from Germany

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