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Consumption versus market betas of Australian industry portfolios

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Author Info

  • Robert Faff
  • Barry Oliver

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.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048598354456&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 5 (1998)
Issue (Month): 8 ()
Pages: 513-517

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Handle: RePEc:taf:apeclt:v:5:y:1998:i:8:p:513-517

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Cited by:
  1. Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.

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