Beta comparisons across industries—a Water transportation industry perspective

Manolis G. Kavussanos, Stelios N. Marcoulis

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

This paper undertakes a comparative analysis of the stock market perception of risk in US listed water transportation companies and seven other main sectors, air transportation; rail transportation; trucks; electricity; gas; petroleum refining; and real estate over the period July 1984–June 1995. This is done by employing the Capital Asset Pricing Model (CAPM) to model the stock returns of each industry and hence compare their betas (systematic risk). Multiequation Regression Models are used for estimation. The findings suggest that the water transportation industry exhibits significantly lower market risk than the average stock and the rail transportation industry, significantly higher systematic risk than the real estate industry, while its systematic risk is insignificantly different from the rest of the industries. These results are useful to investors basing their decisions on relative market exposures to risk in different industries.

Original languageEnglish
Pages (from-to)175-184
Number of pages10
JournalMaritime Policy and Management
Volume25
Issue number2
DOIs
Publication statusPublished - 1998

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