English, Article edition: Beta Estimation and Stability in the US-Listed International Transportation Industry Stephen X. H. Gong; Michael Firth; Kevin Cullinane

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Beta Estimation and Stability in the US-Listed International Transportation Industry
Author
  • Stephen X. H. Gong
  • Michael Firth
  • Kevin Cullinane
Physical Description
  • article
Notes
  • 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.
  • Transportation, Beta estimation, Risk, Stock market, Stability, JEL Classification: G11, JEL Classification: G12, JEL Classification: R42
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:03:p:463-490
Language
  • English
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