Global industry betas

Frida Lie*, Robert Faff

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)


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.

Original languageEnglish
Pages (from-to)21-26
Number of pages6
JournalApplied Economics Letters
Issue number1
Publication statusPublished - 15 Jan 2003
Externally publishedYes


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