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

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Author Info

  • Stephen X. H. Gong

    ()
    (School of Accounting and Finance, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China)

  • 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)

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    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.

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    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 09 (2006)
    Issue (Month): 03 ()
    Pages: 463-490

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    Handle: RePEc:wsi:rpbfmp:v:09:y:2006:i:03:p:463-490

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    Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml

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    Related research

    Keywords: Transportation; Beta estimation; Risk; Stock market; Stability; JEL Classification: G11; JEL Classification: G12; JEL Classification: R42;

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    Cited by:
    1. Panayides, Photis M. & Lambertides, Neophytos & Cullinane, Kevin, 2013. "Liquidity risk premium and asset pricing in US water transportation," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 3-15.
    2. Gong, Stephen X.H., 2007. "Bankruptcy protection and stock market behavior in the US airline industry," Journal of Air Transport Management, Elsevier, vol. 13(4), pages 213-220.
    3. Abu Taher Mollik & M. Khokan Bepari, 2010. "Instability of stock beta in Dhaka Stock Exchange, Bangladesh," Managerial Finance, Emerald Group Publishing, vol. 36(10), pages 886-902, October.
    4. Gong, Stephen X.H. & Firth, Michael & Cullinane, Kevin, 2006. "The information content of earnings releases by global airlines," Journal of Air Transport Management, Elsevier, vol. 12(2), pages 82-91.

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