TY - JOUR
T1 - Global industry betas
AU - Lie, Frida
AU - Faff, Robert
N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2003/1/15
Y1 - 2003/1/15
N2 - The stability of global industry betas is analysed over the twenty-year period 1975 to 1994. In addition, the impact of the October 1987 international stock market crash on these betas is investigated. Generally, a considerable variation in betas is found. In terms of the effect of the 1987 stock market crash on beta risk, it is found that the magnitude of the effect of the crash varied markedly across industries.
AB - The stability of global industry betas is analysed over the twenty-year period 1975 to 1994. In addition, the impact of the October 1987 international stock market crash on these betas is investigated. Generally, a considerable variation in betas is found. In terms of the effect of the 1987 stock market crash on beta risk, it is found that the magnitude of the effect of the crash varied markedly across industries.
UR - http://www.scopus.com/inward/record.url?scp=0037439407&partnerID=8YFLogxK
U2 - 10.1080/13504850210167197
DO - 10.1080/13504850210167197
M3 - Article
AN - SCOPUS:0037439407
SN - 1350-4851
VL - 10
SP - 21
EP - 26
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 1
ER -