Essays on regulation and risk
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/7888 |
Resumo: | In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil. |
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Martins, Régio Soares FerreiraEscolas::EPGEFlôres Junior, Renato GalvãoBueno, Rodrigo de Losso da SilveiraAlmeida, Caio Ibsen Rodrigues deMoreira, Humberto Luiz Ataíde2011-03-31T18:04:05Z2011-03-31T18:04:05Z2010-08-30MARTINS, Régio Soares Ferreira. Essays on regulation and risk. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010.https://hdl.handle.net/10438/7888In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil.Essa tese investiga alguns aspectos da relação entre regulação econômica e risco da empresa regulada. No primeiro capítulo, o objetivo é entender as implicações do modelo tradicional de regulação por incentivos (Laffont e Tirole, 1993) sobre o risco sistemático da firma. Generalizamos o modelo de forma a incorporar risco agregado ao lucro da atividade, e descobrimos que o contrato ótimo deve ser severamente restringido para que reproduza betas (CAPM) próximos aos observados em setores regulados. Usamos um caso particular do modelo, de regulação por repartição de lucro (profit-sharing regulation), para avaliar a relação entre a potência do contrato e o nível de risco não diversificável. Encontramos resultados compatíveis com a evidência disponível, de que regimes com alta potência impõem mais risco sobre a firma. No segundo capítulo, escrito em co-autoria com Daniel Lima da Universidade da Califórnia em San Diego (UCSD), partimos da constatação de que empresas reguladas podem estar sujeitas a práticas regulatórias que potencialmente afetam a simetria da distribuição de seus lucros futuros. Se essas práticas forem antecipadas pelos investidores no mercado secundário de ações, poderemos identificar diferenças no padrão da assimetria da distribuição empírica de retornos das empresas reguladas com relação às não-reguladas. Nesse capítulo revisamos alguns métodos de mensuração de assimetria propostos recentemente na literatura, que são robustos à características comuns em séries de retornos financeiros (caudas pesadas e correlação serial), e investigamos se existem diferenças significativas na distribuição de assimetria entre empresas reguladas e não-reguladas. No terceiro e último capítulo, três diferentes abordagens empíricas do modelo de apreçamento de ativos de Kraus e Litzenberger (1976) são testadas com dados do mercado brasileiro de ações. Descobrimos que a distribuição empírica de retornos costuma exibir co-assimetria significativa com relação à carteira de mercado, e que portanto os retornos das ações são sensíveis à volatilidade (retornos quadráticos) do mercado. No entanto, apesar da base teórica para a preferência por retornos assimétricos esteja bem estabelecida e seja bastante intuitiva, não encontramos evidência que suporte a hipótese de que os investidores requeiram um prêmio para aceitar esse tipo de risco no mercado local.engTodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis.info:eu-repo/semantics/openAccessIncentive regulationRegulatory riskSkewnessCoskewnessNon-parametric methodsRegulação por incentivosCAPMRisco regulatórioAssimetriaCo-assimetriaMétodos não paramétricosEconomiaRisco (Economia)Modelo de precificação de ativosEstatística não paramétricaControle de preçosEssays on regulation and riskinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALThesis.pdfThesis.pdfPDFapplication/pdf1258015https://repositorio.fgv.br/bitstreams/4e01e6cf-d358-4a2f-8a5e-951220db1ce8/download511b0226f85ea587ab4fb0f330be47c6MD51LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.eng.fl_str_mv |
Essays on regulation and risk |
title |
Essays on regulation and risk |
spellingShingle |
Essays on regulation and risk Martins, Régio Soares Ferreira Incentive regulation Regulatory risk Skewness Coskewness Non-parametric methods Regulação por incentivos CAPM Risco regulatório Assimetria Co-assimetria Métodos não paramétricos Economia Risco (Economia) Modelo de precificação de ativos Estatística não paramétrica Controle de preços |
title_short |
Essays on regulation and risk |
title_full |
Essays on regulation and risk |
title_fullStr |
Essays on regulation and risk |
title_full_unstemmed |
Essays on regulation and risk |
title_sort |
Essays on regulation and risk |
author |
Martins, Régio Soares Ferreira |
author_facet |
Martins, Régio Soares Ferreira |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.member.none.fl_str_mv |
Flôres Junior, Renato Galvão Bueno, Rodrigo de Losso da Silveira Almeida, Caio Ibsen Rodrigues de |
dc.contributor.author.fl_str_mv |
Martins, Régio Soares Ferreira |
dc.contributor.advisor1.fl_str_mv |
Moreira, Humberto Luiz Ataíde |
contributor_str_mv |
Moreira, Humberto Luiz Ataíde |
dc.subject.eng.fl_str_mv |
Incentive regulation Regulatory risk Skewness Coskewness Non-parametric methods |
topic |
Incentive regulation Regulatory risk Skewness Coskewness Non-parametric methods Regulação por incentivos CAPM Risco regulatório Assimetria Co-assimetria Métodos não paramétricos Economia Risco (Economia) Modelo de precificação de ativos Estatística não paramétrica Controle de preços |
dc.subject.por.fl_str_mv |
Regulação por incentivos CAPM Risco regulatório Assimetria Co-assimetria Métodos não paramétricos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Risco (Economia) Modelo de precificação de ativos Estatística não paramétrica Controle de preços |
description |
In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil. |
publishDate |
2010 |
dc.date.issued.fl_str_mv |
2010-08-30 |
dc.date.accessioned.fl_str_mv |
2011-03-31T18:04:05Z |
dc.date.available.fl_str_mv |
2011-03-31T18:04:05Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
MARTINS, Régio Soares Ferreira. Essays on regulation and risk. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/7888 |
identifier_str_mv |
MARTINS, Régio Soares Ferreira. Essays on regulation and risk. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010. |
url |
https://hdl.handle.net/10438/7888 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
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