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Measuring the Effects of Regulation with Stock Price Data
John J. Binder
The RAND Journal of Economics
Vol. 16, No. 2 (Summer, 1985), pp. 167-183
Stable URL: http://www.jstor.org/stable/2555408
Page Count: 17
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This article examines the usefulness of stock returns in measuring the effects of regulation when the dates on which market expectations change are not known and standard sources, e.g., the Wall Street Journal, are used to choose announcement dates. Twenty major changes in regulatory constraint since 1887 are considered. Tests using either monthly or daily data are found to have surprisingly little ability to detect the effects of regulation. The evidence shows that formal regulatory announcements are generally anticipated in cases where it is unclear when expectations change.
The RAND Journal of Economics © 1985 RAND Corporation