Intervalling-Effect Bias and Competition Policy

Authors

  • Panagiotis N. Fotis Hellenic Competition Commission
  • Victoria Pekka-Oikonomou University of Piraeus
  • Michael L. Polemis University of Piraeus

DOI:

https://doi.org/10.6000/1929-7092.2015.04.09

Keywords:

Intervalling-effect bias, Beta risk measurement, Infrequent trading phenomenon, Mergers and Acquisitions, Competition policy.

Abstract

The purpose of this paper is twofold. First, it aims to investigate whether the security's systematic risk beta estimates change as the infrequent trading phenomenon appears. Second, it attempts to provide useful insight on the impact of mergers and acquisitions on competition policy. For this reason, we employ the models of Scholes and Williams (1977), Dimson (1979), Cohen et al. (1983a) and Maynes and Rumsey (1993) on a small stock exchange with thickly infrequent trading stocks. The empirical results reveal that for some securities the models employed by Scholes and Williams (1977) and Cohen et al. (1983a) improve the biasness of the Ordinary Least Squares Market Model (Maynes and Rumsey, 1993). We argue that competitors gain while merged entities loose or at least do not gain from the clearness of the investigated mergers.

Author Biographies

Panagiotis N. Fotis, Hellenic Competition Commission

General Directorate for Competition

Victoria Pekka-Oikonomou, University of Piraeus

Business Administration

Michael L. Polemis, University of Piraeus

Economics

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Published

2015-05-25

Issue

Section

Articles