Beta Estimation and Stability in the US-Listed International Transportation Industry

Stephen Gong, Michael Firth () and Kevin Cullinane ()
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Michael Firth: School of Accounting and Finance, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China
Kevin Cullinane: School of Marine Science and Technology, Armstrong Building, University of Newcastle, Newcastle upon Tyne NE1 7RU, UK

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, vol. 09, issue 03, 463-490

Abstract: Although perceived as risk-laden, cyclical businesses with high financial and operating leverage, relatively low beta risks have been documented for the international transportation industry. This paper analyses whether such results are robust to different estimation designs and asserts that previous beta estimates are confounded by sample selection problems. Developing a more representative sample and implementing a number of different estimation designs, a range of industry beta estimates are derived. It is concluded that beta estimates of US-listed international transportation stocks are sensitive to estimation design and that industry beta risk is time-varying. This has implications for the industry cost of capital and pricing policies.

Keywords: Transportation; Beta estimation; Risk; Stock market; Stability; JEL Classification: G11; JEL Classification: G12; JEL Classification: R42 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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DOI: 10.1142/S0219091506000811

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