Consumption versus market betas of Australian industry portfolios

Robert W. Faff; Barry R. Oliver

doi:10.1080/135048598354456

Consumption versus market betas of Australian industry portfolios

Robert W. Faff, Barry R. Oliver

Research output: Contribution to journal › Article › Research › peer-review

2 Citations (Scopus)

Abstract

This paper provides an empirical comparison of consumption and market betas for to 23 Australian industry portfolios, using quarterly Australian data. The results reveal that there is very little sensitivity of returns to consumption growth where consumption growth is measured contemporaneously. However, when a lagged relationship is examined, the consumption sensitivities become much stronger. Nevertheless the consumption betas remain considerably less significant than their market beta counterparts.

Original language	English
Pages (from-to)	513-517
Number of pages	5
Journal	Applied Economics Letters
Volume	5
Issue number	8
DOIs	https://doi.org/10.1080/135048598354456
Publication status	Published - 1998
Externally published	Yes

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10.1080/135048598354456

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Consumption versus market betas of Australian industry portfolios

Abstract

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