Global industry betas

Frida Lie and Robert Faff

Applied Economics Letters, 2003, vol. 10, issue 1, 21-26

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.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:10:y:2003:i:1:p:21-26

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850210167197

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().