Measuring the Effects of Regulation with Stock Price Data
研究如何用股票收益率衡量监管效应，发现即使使用月度或日度数据，也难以检测到监管的显著影响，因为市场往往提前预期到监管公告。
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.