简介
Summary:
Publisher Summary 1
Natural monopolies are not subject to the market-based principle of competition. Consequently, it is necessary to control companies in such monopoly positions with regard to their pricing. In the future, it will become more and more important to consider a possible change in the regulation regime when the future-oriented costs of equity -both in terms of price regulation and for conducting capital market-oriented business valuations - are to be determined. Based on the principal-agent problem, the book explains this topic. The effect of a change in the regulation regime is presented in the form of two studies: an international secondary analysis of the effects on cost of equity based on event studies of the Anglo-Saxon area and a primary analysis based on the Austrian regulation policy for electricity and gas supply systems. The two studies arrive at similar results: The change from a rate-of-return regulation to incentive regulation systems leads to a significant increase in systematic risk.
Publisher Summary 2
Natural monopolies are not subject to the market-based principle of competition. Consequently, it is necessary to control companies in such monopoly positions with regard to their pricing. In the future, it will become more and more important to consider a possible change in the regulation regime when the future-oriented costs of equity - both in terms of price regulation and for conducting capital market-oriented business valuations - are to be determined. Based on the principal-agent problem, the book explains this topic. The effect of a change in the regulation regime is presented in the form of two studies: an international secondary analysis of the effects on cost of equity based on event studies of the Anglo-Saxon area and a primary analysis based on the Austrian regulation policy for electricity and gas supply systems. The two studies arrive at similar results: The change from a rate-of-return regulation to incentive regulation systems leads to a significant increase in systematic risk.
Publisher Summary 3
Natural monopolies are not subject to the market-based principle of competition. It is necessary to control companies in such positions with regard to pricing. Based on the principal-agent problem, this book explains the topic of price regulation and risk.
目录
The Impact of Regulation System Shifts on Risk Components 3
Preface 7
Contents 9
Chapter 1: Introduction 11
Purpose of the Dissertation 12
Structure of the Dissertation 12
Chapter 2: Capital Market-Based Calculation of the Cost of Equity 14
Introduction 14
Capital Market-Based Calculation of the Cost of Equity 14
Capital Asset Pricing Model (CAPM) 15
Risk-Free Interest Rate 17
Market Risk Premium 18
Beta Factor 19
Operating Risk 20
Financial Risk 20
Other Influencing Factors 21
A CAPM Evaluation 22
Efficiency and Definition of Market Portfolio 22
Anomalies 23
Estimate and Specification Problems When Determining Beta 24
Heteroscedasticity 25
Autocorrelation of the Confounding Variable 25
Autocorrelation of Security Returns 25
Measurement Errors 26
Choice of Market Index 26
Estimate Period Lengths 26
Definition of Return Interval 26
Determining Adjusted Beta Factors 27
Mean Value Method 27
The Blume Procedure 28
The MLPFS Procedure 28
The Vasicek Procedure 28
Conclusion 29
Rate of Return on Equity as a Regulatory Parameter 30
Introduction 30
Goals in Regulation 30
Defining Fair Prices 30
Operating Costs 31
Financing Costs 31
Depreciation 32
Historical Costs and Current Prices or Replacement Costs 32
Depreciation Period 34
Depreciation Method 34
Financing Costs 34
A Basis for Calculating Interest 34
Calculating Interest Rates - The Calculatory Approach 35
Calculating Interest Rates - The Capital Market-Based Approach 36
Conclusion 36
Conclusion 37
Chapter 3: Methods of Price Regulation 38
Introduction 38
Rate of Return Regulation 38
RPI-X Regulation 39
The Principal Agent Theory 39
Rate of Return Regulation 40
A Solution for Complete Information 40
Incomplete Information: Cost Report Reimbursement 41
Incomplete Information: Efficiency Boosts 43
A Model with Pre-existing Technology 43
A Model with Choice of Technology 45
Diversification with Price-Based Regulation 46
Conclusion 47
Regulatory Systems and Risk 48
Buffering Effect 48
Regulatory Lag Effect 49
The Risk Effect from a Regulatory System Shift 50
Summary 53
Chapter 4: Empirical Secondary Data Analysis 54
Introduction 54
Stigler and Peltzman麓s Theory of Regulation 55
Methodology: Event Studies 56
Estimation Period, Event Window and Postevent Window 57
Measuring Abnormal Returns 58
Residuals from Observed and Expected Returns 58
Using Dummy Variables for Regression Analyzes 60
Hypotheses麓 Derivations 62
Database 66
Empirical Results 69
Hypothesis 1 71
Hypotheses 2 and 3 71
Hypotheses 4a and 4b 71
Summary 71
Chapter 5: The Primary Empirical Study 75
Hypotheses and Database 75
Hypotheses 75
Database 77
Empirical Analysis: Structural Break Analysis 89
Systematic Risk and Welfare Effect: Verbund 92
Model 1a: Verbund - ATX 92
Model 1b: Verbund - DJ600 92
Model 1c: Verbund- DJ1800 92
Systematic Risk and Welfare Effect: EVN 93
Model 2a: EVN - ATX 93
Model 2b: EVN - DJ600 93
Model 2c: EVN - DJ1800 94
Systematic Risk and Welfare Effect: DJ600UTIL 94
Model 3a: DJ600UTIL - ATX 94
Model 3b: DJ600UTIL - DJ600 95
Model 3c: DJ600UTIL - DJ1800 95
Unsystematic Risk 96
Total Risk and Return Averages 99
Summary of the Structural Break Analysis 99
Empirical Investigation: Event Study 102
The Event List 105
Event Study: Constant Beta Factor; 3-Day Event Window 109
Model 4.A.1: Verbund - ATX 109
Model 4.A.2: Verbund - DJ600 110
Model 4.A.3: Verbund - DJ1800 110
Model 4.B.1: EVN - ATX 111
Model 4.B.2: EVN - DJ600 112
Model 4.B.3: EVN - DJ1800 112
Event Study: Dummy Variables from 1 July 2005; 3-Day Event Window 113
Model 5.A.1: Verbund - ATX 116
Model 5.A.2: Verbund - DJ600 116
Model 5.A.3: Verbund - DJ1800 117
Model 5.B.1: EVN - ATX 117
Model 5.B.2: EVN - DJ600 118
Model 5.B.3: EVN - DJ1800 119
Event Study: Constant Beta Factor; 1-Day Event Window 120
Model 6.A.1: Verbund - ATX 122
Model 6.A.2: Verbund - DJ600 123
Model 6.A.3: Verbund - DJ1800 123
Model 6.B.1: EVN - ATX 124
Model 6.B.2: EVN - DJ600 124
Model 6.B.3: EVN - DJ1800 125
Event Study: Dummy Variables from 1 July 2005; 1-Day Event Window 126
Model 7.A.1: Verbund - ATX 128
Model 7.A.2: Verbund - DJ600 128
Model 7.A.3: Verbund - DJ1800 128
Model 7.B.1: EVN - ATX 128
Model 7.B.2: EVN - DJ600 129
Model 7.B.3: EVN - DJ1800 130
Summary of the Event Study 131
Chapter 6: Summary of the Work 139
References 142
Preface 7
Contents 9
Chapter 1: Introduction 11
Purpose of the Dissertation 12
Structure of the Dissertation 12
Chapter 2: Capital Market-Based Calculation of the Cost of Equity 14
Introduction 14
Capital Market-Based Calculation of the Cost of Equity 14
Capital Asset Pricing Model (CAPM) 15
Risk-Free Interest Rate 17
Market Risk Premium 18
Beta Factor 19
Operating Risk 20
Financial Risk 20
Other Influencing Factors 21
A CAPM Evaluation 22
Efficiency and Definition of Market Portfolio 22
Anomalies 23
Estimate and Specification Problems When Determining Beta 24
Heteroscedasticity 25
Autocorrelation of the Confounding Variable 25
Autocorrelation of Security Returns 25
Measurement Errors 26
Choice of Market Index 26
Estimate Period Lengths 26
Definition of Return Interval 26
Determining Adjusted Beta Factors 27
Mean Value Method 27
The Blume Procedure 28
The MLPFS Procedure 28
The Vasicek Procedure 28
Conclusion 29
Rate of Return on Equity as a Regulatory Parameter 30
Introduction 30
Goals in Regulation 30
Defining Fair Prices 30
Operating Costs 31
Financing Costs 31
Depreciation 32
Historical Costs and Current Prices or Replacement Costs 32
Depreciation Period 34
Depreciation Method 34
Financing Costs 34
A Basis for Calculating Interest 34
Calculating Interest Rates - The Calculatory Approach 35
Calculating Interest Rates - The Capital Market-Based Approach 36
Conclusion 36
Conclusion 37
Chapter 3: Methods of Price Regulation 38
Introduction 38
Rate of Return Regulation 38
RPI-X Regulation 39
The Principal Agent Theory 39
Rate of Return Regulation 40
A Solution for Complete Information 40
Incomplete Information: Cost Report Reimbursement 41
Incomplete Information: Efficiency Boosts 43
A Model with Pre-existing Technology 43
A Model with Choice of Technology 45
Diversification with Price-Based Regulation 46
Conclusion 47
Regulatory Systems and Risk 48
Buffering Effect 48
Regulatory Lag Effect 49
The Risk Effect from a Regulatory System Shift 50
Summary 53
Chapter 4: Empirical Secondary Data Analysis 54
Introduction 54
Stigler and Peltzman麓s Theory of Regulation 55
Methodology: Event Studies 56
Estimation Period, Event Window and Postevent Window 57
Measuring Abnormal Returns 58
Residuals from Observed and Expected Returns 58
Using Dummy Variables for Regression Analyzes 60
Hypotheses麓 Derivations 62
Database 66
Empirical Results 69
Hypothesis 1 71
Hypotheses 2 and 3 71
Hypotheses 4a and 4b 71
Summary 71
Chapter 5: The Primary Empirical Study 75
Hypotheses and Database 75
Hypotheses 75
Database 77
Empirical Analysis: Structural Break Analysis 89
Systematic Risk and Welfare Effect: Verbund 92
Model 1a: Verbund - ATX 92
Model 1b: Verbund - DJ600 92
Model 1c: Verbund- DJ1800 92
Systematic Risk and Welfare Effect: EVN 93
Model 2a: EVN - ATX 93
Model 2b: EVN - DJ600 93
Model 2c: EVN - DJ1800 94
Systematic Risk and Welfare Effect: DJ600UTIL 94
Model 3a: DJ600UTIL - ATX 94
Model 3b: DJ600UTIL - DJ600 95
Model 3c: DJ600UTIL - DJ1800 95
Unsystematic Risk 96
Total Risk and Return Averages 99
Summary of the Structural Break Analysis 99
Empirical Investigation: Event Study 102
The Event List 105
Event Study: Constant Beta Factor; 3-Day Event Window 109
Model 4.A.1: Verbund - ATX 109
Model 4.A.2: Verbund - DJ600 110
Model 4.A.3: Verbund - DJ1800 110
Model 4.B.1: EVN - ATX 111
Model 4.B.2: EVN - DJ600 112
Model 4.B.3: EVN - DJ1800 112
Event Study: Dummy Variables from 1 July 2005; 3-Day Event Window 113
Model 5.A.1: Verbund - ATX 116
Model 5.A.2: Verbund - DJ600 116
Model 5.A.3: Verbund - DJ1800 117
Model 5.B.1: EVN - ATX 117
Model 5.B.2: EVN - DJ600 118
Model 5.B.3: EVN - DJ1800 119
Event Study: Constant Beta Factor; 1-Day Event Window 120
Model 6.A.1: Verbund - ATX 122
Model 6.A.2: Verbund - DJ600 123
Model 6.A.3: Verbund - DJ1800 123
Model 6.B.1: EVN - ATX 124
Model 6.B.2: EVN - DJ600 124
Model 6.B.3: EVN - DJ1800 125
Event Study: Dummy Variables from 1 July 2005; 1-Day Event Window 126
Model 7.A.1: Verbund - ATX 128
Model 7.A.2: Verbund - DJ600 128
Model 7.A.3: Verbund - DJ1800 128
Model 7.B.1: EVN - ATX 128
Model 7.B.2: EVN - DJ600 129
Model 7.B.3: EVN - DJ1800 130
Summary of the Event Study 131
Chapter 6: Summary of the Work 139
References 142
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