The impact of regulation on market risk

  • Grout P
  • Zalewska A
  • 1


    Mendeley users who have this article in their library.
  • N/A


    Citations of this article.


While it is crucial to understand the impact of regulatory changes on market risk, the literature does not show how risk responds to expected regulatory changes that are specifically designed to change risk. Our paper fills this gap by providing a detailed study of one such case. Using both a sample of privatized U.K. companies, and U.K. and U.S. control portfolios, between 1993 and 2000, we show (both for the single-factor market model and the three-factor Fama-French model) that the observed changes in market risk are significant and consistent with theory. © 2005 Elsevier B.V. All rights reserved.

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • P.A.a Grout

  • A.a b Zalewska

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free