Global industry betas

Frida Lie; Robert Faff

doi:10.1080/13504850210167197

Global industry betas

Frida Lie^*
, Robert Faff

^*Corresponding author for this work

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

1 Citation (Scopus)

Abstract

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 language	English
Pages (from-to)	21-26
Number of pages	6
Journal	Applied Economics Letters
Volume	10
Issue number	1
DOIs	https://doi.org/10.1080/13504850210167197
Publication status	Published - 15 Jan 2003
Externally published	Yes

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title = "Global industry betas",

abstract = "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.",

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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.

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Global industry betas

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