Betas and Industry Weights

Martin Lally

Australian Journal of Management, 2004, vol. 29, issue 1, 109-120

Abstract: This paper explores the impact on industry betas of changes to the industry weights in the market index against which betas are defined. The exploratory analysis in the paper suggests that the effect can be substantial This phenomenon has implications for the way in which betas are estimated from time series data, and also for the common practice of using beta estimates from one country to estimate those in another. Possible solutions to the problems arising there from changes or variations in industry weights are suggested.

Keywords: BETA; INDUSTRY WEIGHTS (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:29:y:2004:i:1:p:109-120

DOI: 10.1177/031289620402900112

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