Consumption versus market betas of Australian industry portfolios

Faff, R. W. and Oliver, B. R. (1998) Consumption versus market betas of Australian industry portfolios. Applied Economics Letters, 5 8: 513-517.

Author Faff, R. W.
Oliver, B. R.
Title Consumption versus market betas of Australian industry portfolios
Journal name Applied Economics Letters   Check publisher's open access policy
ISSN 1350-4851
1466-4291
Publication date 1998-08
Sub-type Article (original research)
Volume 5
Issue 8
Start page 513
End page 517
Total pages 5
Place of publication Abingdon, Oxon, United Kingdom
Publisher Routledge
Language eng
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.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Tue, 19 Mar 2013, 14:53:08 EST by Karen Morgan on behalf of UQ Business School