Beta comparisons across industries—a Water transportation industry perspective

Manolis G. Kavussanos, Stelios N. Marcoulis

    Research output: Contribution to journalArticlepeer-review

    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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