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Journal Article

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
Published by: Wiley on behalf of RAND Corporation
Stable URL: http://www.jstor.org/stable/2555408
Page Count: 17
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Measuring the Effects of Regulation with Stock Price Data
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Abstract

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.

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