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DOI：10.1016/j.jup.2022.101412.png)
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Abstract
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This paper estimates the impact of electricity transmission line auctions on the stock prices of Brazilian com-panies. We combine the endogenous switching regression model with flexible copula functions to account for the dependency between a firm's choice to participate in an auction and the impact of the auction's result on the firm's stock price. Both processes are thus modeled as a function of firm-specific and macroeconomic variables while accounting explicitly for their dependence. We show that a lower number of participants, being a state-owned company, and having synergies positively affect the chance of winning an auction. According to the estimated average treatment effect, a new transmission line increases firms' stock prices by 3.7%.
Keywords:
Electric power transmission
Stock prices
Copulas
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