Consumption versus market betas of Australian industry portfolios

Robert Faff and Barry Oliver

Applied Economics Letters, 1998, vol. 5, issue 8, 513-517

Abstract: This paper provides an empirical comparison of consumption and market betas for to 23 Australian industry portfolios, using quarterly Australian data. The results reveal that there is very little sensitivity of returns to consumption growth where consumption growth is measured contemporaneously. However, when a lagged relationship is examined, the consumption sensitivities become much stronger. Nevertheless the consumption betas remain considerably less significant than their market beta counterparts.

Date: 1998
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DOI: 10.1080/135048598354456

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