IDEAS home Printed from https://ideas.repec.org/a/eco/journ2/2017-06-2.html
   My bibliography  Save this article

Equity Beta for Regulated Energy Businesses in Australia: A Revisit

Author

Listed:
  • Thach Ngoc Pham

    (Ho Chi Minh City Open University, Vietnam)

  • Duc Hong Vo

    (Ho Chi Minh City Open University, Vietnam)

Abstract

This paper aims to estimate the equity beta a key input of the Capital Asset Pricing Model, for the energy businesses in Australia in the 11-year period from 2005 to 2015. Various methods are used in this paper including Quantile Regression. Listed companies in the energy industry are considered at individual and portfolio levels. Findings from this paper are both consistent and contrast with prior related studies: (i) energy sector in Australia face a relatively low risk level compared to the market; (ii) OLS results are higher than LAD; and (iii) QR vary across different percentiles.

Suggested Citation

  • Thach Ngoc Pham & Duc Hong Vo, 2017. "Equity Beta for Regulated Energy Businesses in Australia: A Revisit," International Journal of Energy Economics and Policy, Econjournals, vol. 7(6), pages 11-18.
    • Handle: RePEc:eco:journ2:2017-06-2
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijeep/article/download/5457/3388
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijeep/article/view/5457/3388
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Atella, Vincenzo & Pace, Noemi & Vuri, Daniela, 2008. "Are employers discriminating with respect to weight?: European Evidence using Quantile Regression," Economics & Human Biology, Elsevier, vol. 6(3), pages 305-329, December.
    2. Anderson, Kathryn & Pomfret, Richard, 2000. "Living Standards during Transition to a Market Economy: The Kyrgyz Republic in 1993 and 1996," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 502-523, September.
    3. Fattouh, Bassam & Scaramozzino, Pasquale & Harris, Laurence, 2005. "Capital structure in South Korea: a quantile regression approach," Journal of Development Economics, Elsevier, vol. 76(1), pages 231-250, February.
    4. Bauer, Thomas K. & Haisken-DeNew, John P., 2001. "Employer learning and the returns to schooling," Labour Economics, Elsevier, vol. 8(2), pages 161-180, May.
    5. Alfonso Carfora & Monica Ronghi & Giuseppe Scandurra, 2017. "The effect of Climate Finance on Greenhouse Gas Emission: A Quantile Regression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 185-199.
    6. Bartholdy, Jan & Peare, Paula, 2005. "Estimation of expected return: CAPM vs. Fama and French," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 407-427.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tung Dang-Thanh Nguyen & Anh The Vo & Duc Hong Vo, 2019. "The Determinants Of Systematic Risk In Vietnam," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 15-36, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Duc Hong Vo & Thach Ngoc Pham, 2017. "Systematic Risk in Energy Businesses: Empirical Evidence for the ASEAN," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 553-565.
    2. Sonia Oreffice & Climent Quintana-Domeque, 2012. "A Matter of Weight? The Role of Spouses. Physical Attractiveness on Hours of Work," CHILD Working Papers Series 7, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA.
    3. Nakabayashi, Masaki, 2011. "Schooling, employer learning, and internal labor market effect: Wage dynamics and human capital investment in the Japanese steel industry, 1930-1960s," MPRA Paper 30597, University Library of Munich, Germany.
    4. Paulo Alves, 2013. "The Fama French Model or the Capital Asset Pricing Model: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 79-89.
    5. Theodore Koutmeridis, 2013. "The Market for "Rough Diamonds": Information, Finance and Wage Inequality," CDMA Working Paper Series 201307, Centre for Dynamic Macroeconomic Analysis, revised 14 Oct 2013.
    6. Valérie Revest & Alessandro Sapio, 2012. "Financing technology-based small firms in Europe: what do we know?," Small Business Economics, Springer, vol. 39(1), pages 179-205, July.
    7. Mahfuza Khatun & K. M. Zahidul Islam, 2022. "“Beta†with “Size Premium†an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(1), pages 1-5.
    8. Leilanie Basilio & Thomas K. Bauer & Anica Kramer, 2017. "Transferability of Human Capital and Immigrant Assimilation: An Analysis for Germany," LABOUR, CEIS, vol. 31(3), pages 245-264, September.
    9. Bok Hoon & Daniel Parent, 2013. "Learning and the Form of Compensation," Journal of Labor Research, Springer, vol. 34(1), pages 79-98, March.
    10. Kleibrink, Jan & Michaelsen, Maren M., 2012. "Reaching High: Occupational Sorting and Higher Education Wage Inequality in the UK," Ruhr Economic Papers 377, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    11. Tanya O’Garra & Susana Mourato, 2007. "Public Preferences for Hydrogen Buses: Comparing Interval Data, OLS and Quantile Regression Approaches," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 36(4), pages 389-411, April.
    12. Hans J. Baumgartner, 2003. "Are There Any Class Size Effects On Early Career Earnings In West Germany?," HEW 0305004, University Library of Munich, Germany, revised 05 Nov 2003.
    13. Johannes Paha, 2012. "Using accounting data in cartel damage calculations: blessing or menace?," European Journal of Law and Economics, Springer, vol. 34(2), pages 241-263, October.
    14. Dragos Stefan Oprea, 2015. "The Interval Effect in Estimating Beta: Empirical Evidence from the Romanian Stock Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 016-025, December.
    15. Susan L. Averett & Laura M. Argys & Jennifer L. Kohn, 2013. "Immigrants, wages and obesity: the weight of the evidence," Chapters, in: Amelie F. Constant & Klaus F. Zimmermann (ed.), International Handbook on the Economics of Migration, chapter 13, pages 242-256, Edward Elgar Publishing.
    16. Fattouh, Bassam & Pisicoli, Beniamino & Scaramozzino, Pasquale, 2024. "Debt and financial fragility: Italian non-financial companies after the pandemic," Economic Modelling, Elsevier, vol. 131(C).
    17. Pham, Thai-Hung & Reilly, Barry, 2007. "The gender pay gap in Vietnam, 1993-2002: A quantile regression approach," Journal of Asian Economics, Elsevier, vol. 18(5), pages 775-808, October.
    18. Mohamed S. Ahmed & John A. Doukas, 2021. "Revisiting disposition effect and momentum: a quantile regression perspective," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 1087-1128, April.
    19. Bauer, Thomas K. & Haisken-DeNew, John P., 2001. "Employer learning and the returns to schooling," Labour Economics, Elsevier, vol. 8(2), pages 161-180, May.
    20. Mueller, Barbara & Wolter, Stefan C., 2011. "The Consequences of Being Different: Statistical Discrimination and the School-to-Work Transition," IZA Discussion Papers 5474, Institute of Labor Economics (IZA).

    More about this item

    Keywords

    Equity Beta; Quantile regression; Australia;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ2:2017-06-2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.