Authors: Panagiotis Fotis, Michael Polemis

Title: Securities’ systematic risk beta estimates and inferences for competition policy

Abstract

The purpose of this paper is on the one hand to analyze whether the security’s systematic risk beta estimates change as the infrequent trading phenomenon appears and on the other hand to provide useful insight on the impact of mergers and acquisitions on competition policy. The paper employs 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). Regarding competition policy issues, we argue that competitors gain while merged entities loose or at least do not gain from the clearness of the mergers under scrutiny, while it is evident that the Cohen et al. (1983a) model provides better estimates than the other three models.