Systematic Risk at the Industry Level: A Case Study of Australia
Abstract
:1. Introduction
2. Literature Review
3. Data and Methodology
3.1. Data
3.2. Portfolio Constructions
3.3. Methodology
4. Results
4.1. Pooled Regression
4.2. Fama–MacBeth Regression
5. Robustness Check
5.1. Beta on a-Day vs. Beta on n-Day
5.2. Other News about Economic Conditions
6. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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Portfolio | Pooled Regression | Fama−MacBeth Regression | ||||
---|---|---|---|---|---|---|
Equation (1) | Equation (4) | Equation (5) | ||||
(1) | (2) | H0 (3) | (4) | (5) | H0 (6) | |
Panel A: Value weighted | ||||||
Ten−beta sorted portfolios | −0.0008537 *** (0.000) | −0.0010513 ** (0.015) | (0.713) | −0.0006986 *** (0.004) | −0.0011829 *** (0.002) | (0.337) |
Ten idiosyncratic risk-sorted portfolios | −0.0013402 ** (0.050) | −0.0007671 (0.853) | (0.434) | −0.0023241 *** (0.000) | −0.0004931 (0.302) | (0.029) |
25 Fama and French size and book-to-market portfolios | −0.0060289 *** (0.001) | −0.0002959 ** (0.025) | (0.009) | −0.0077532 *** (0.000) | −0.0002291 (0.828) | (0.034) |
11 industry portfolios | 0.0001765 (0.672) | −0.0011396 * (0.053) | (0.030) | −0.0004936 (0.450) | −0.0002579 (0.504) | (0.760) |
Panel B: Equal weighted | ||||||
Ten–beta sorted portfolios | −0.0000858 (0.604) | −0.0003735 * (0.068) | (0.046) | −0.0002985 * (0.052) | −0.0005253 *** (0.004) | (0.462) |
Ten idiosyncratic risk-sorted portfolios | 0.0017271 *** (0.000) | −0.0004429 (0.694) | (0.071) | 0.0016528 *** (0.000) | −0.0007247 (0.300) | (0.005) |
25 Fama and French size and book-to-market portfolios | 0.0027336 *** (0.000) | 0.0012829 (0.144) | (0.124) | 0.0013597 ** (0.015) | 0.0002142 (0.817) | (0.326) |
11 industry portfolios | −0.0002233 (0.737) | −0.0017267 * (0.083) | (0.104) | −0.0007023 (0.304) | −0.0014392 (0.218) | (0.608) |
Value−Weighted Return | Equal-Weighted Return | |||||
---|---|---|---|---|---|---|
βnon | βann − βnon | p-Value | βnon | βann − βnon | p-Value | |
Consumer Discretionary | 0.76 | −0.045 | (0.301) | 0.65 | 0.024 | (0.469) |
Consumer Staples | 0.68 | −0.011 | (0.765) | 0.70 | −0.121 | (0.304) |
Energy | 1.09 | −0.029 | (0.369) | 1.21 | 0.006 | (0.809) |
Financials | 1.01 | 0.013 | (0.615) | 0.68 | 0.024 | (0.581) |
Health Care | 0.63 | −0.012 | (0.832) | 0.727 | 0.047 | (0.520) |
Industrials | 0.95 | −0.044 | (0.156) | 0.87 | −0.068 | (0.172) |
Information Technology | 0.71 | −0.003 | (0.926) | 0.88 | −0.032 | (0.702) |
Materials | 1.39 | −0.017 | (0.470) | 1.28 | 0.016 | (0.585) |
Real Estate | 0.72 | 0.085 | (0.156) | 0.59 | −0.028 | (0.260) |
Telecommunication Services | 0.50 | 0.029 | (0.683) | 0.68 | 0.142 | (0.084) * |
Utilities | 0.59 | −0.014 | (0.726) | 0.85 | −0.130 | (0.307) |
Portfolio | Value Weighted | Equal Weighted | ||||||
---|---|---|---|---|---|---|---|---|
α0 | γ2 | γ3 | R-Squared | α0 | γ2 | γ3 | R-Squared | |
Ten−beta sorted portfolios | 0.0011544 *** (0.000) | −0.009351 *** (0.000) | −0.007943 (0.179) | 0.2115 | 0.0002132 (0.678) | −0.0000844 (0.652) | −0.000427 *** (0.027) | 0.0679 |
Ten idiosyncratic risk−sorted portfolios | 0.0024847 *** (0.007) | −0.0008042 (0.136) | −0.00026574 *** (0.003) | 0.1775 | −0.0017595 *** (0.002) | 0.0018386 *** (0.000) | −0.0011825 (0.316) | 0.0796 |
25 Fama and French size and book-to-market portfolios | 0.0089463 *** (0.000) | −0.0066697 *** (0.000) | −0.0004057 (0.832) | 0.1590 | −0.0024407 *** (0.000) | 0.0027477 *** (0.000) | 0.0011519 (0.435) | 0.1627 |
11 industry portfolios | 0.000417 (0.897) | 0.000136 (0.744) | −0.0010626 (0.117) | 0.0337 | 0.0002626 (0.715) | −0.0002931 (0.672) | −0.0009932 (0.316) | 0.0361 |
Portfolio | Equation (7) | Equation (8) | ||||||
---|---|---|---|---|---|---|---|---|
(1) | (2) | Avg. R-squared (3) | (4) | (5) | Avg. R-squared (6) | |||
Panel A: Value weighted | ||||||||
Ten−beta sorted portfolios | 0.0010023 *** (0.000) | −0.0007923 *** (0.002) | 0.3415 | 0.0009428 *** (0.004) | −0.0016105 *** (0.000) | 0.3180 | −0.0000595 (0.879) | −0.0008182 (0.126) |
Ten idiosyncratic risk-sorted portfolios | 0.0025646 *** (0.000) | −0.0009736 ** (0.012) | 0.1789 | 0.0016247 * (0.088) | −0.0014066 * (0.083) | 0.1870 | −0.0009399 (0.367) | −0.000433 (0.610) |
25 Fama and French size and book-to-market portfolios | 0.0103764 *** (0.000) | −0.0083666 *** (0.000) | 0.0729 | 0.0045476 *** (0.001) | −0.0038422 *** (0.008) | 0.0721 | −0.0058288 ** (0.053) | 0.0045244 (0.162) |
11 industry portfolios | 0.0001978 (0.554) | −0.0000439 (0.920) | 0.2067 | 0.0011557 * (0.088) | −0.0018535 ** (0.042) | 0.2216 | 0.0009579 (0.189) | −0.0018096 * (0.060) |
Panel B: Equal weighted | ||||||||
Ten-beta sorted portfolios | 0.0003986 * (0.063) | −0.0002983 * (0.068) | 0.2346 | −0.0003981 (0.336) | −0.0009531 *** (0.001) | 0.2174 | −0.0007967 * (0.0849) | −0.0006548 * (0.059) |
Ten idiosyncratic risk-sorted portfolios | −0.0017928 *** (0.000) | 0.0018461 *** (0.000) | 0.2142 | −00005981 (0.348) | −0.0007552 (0.341) | 0.2045 | 0.0011946 (0.119) | −0.0026013 *** (0.002) |
25 Fama and French size and book-to-market portfolios | −0.0014938 *** (0.005) | 0.0018162 *** (0.001) | 0.0723 | −0.0018314 * (0.073) | 0.000413 (0.707) | 0.0780 | −0.0003375 (0.768) | −0.0014031 (0.240) |
11 industry portfolios | −0.0000998 (0.772) | 0.0000665 (0.870) | 0.1214 | 0.0003873 (0.538) | −0.0017296 ** (0.014) | 0.1093 | 0.0004871 (0.507) | −0.0017951 ** (0.034) |
Portfolio | Macroeconomic Event-Related News | Microeconomic Event-Related News | Economic Event-Related News | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Pooled Regression | Fama-Macbeth Regression | Pooled Regression | Fama-Macbeth Regression | Pooled Regression | Fama-Macbeth Regression | |||||||
Common Beta (1) | Conditional Beta (2) | Common Beta (3) | Conditional Beta (4) | Common Beta (5) | Conditional Beta (6) | Common Beta (7) | Conditional Beta (8) | Common Beta (9) | Conditional Beta (10) | Common Beta (11) | Conditional Beta (12) | |
Panel I: Value weighted | ||||||||||||
A | ||||||||||||
B | ||||||||||||
C | ||||||||||||
D | ||||||||||||
Panel II: Equal weighted | ||||||||||||
A | ||||||||||||
B | ||||||||||||
C | ||||||||||||
D |
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Nguyen, T.C.; Vu, T.N.; Vo, D.H.; McAleer, M. Systematic Risk at the Industry Level: A Case Study of Australia. Risks 2020, 8, 36. https://doi.org/10.3390/risks8020036
Nguyen TC, Vu TN, Vo DH, McAleer M. Systematic Risk at the Industry Level: A Case Study of Australia. Risks. 2020; 8(2):36. https://doi.org/10.3390/risks8020036
Chicago/Turabian StyleNguyen, Thang Cong, Tan Ngoc Vu, Duc Hong Vo, and Michael McAleer. 2020. "Systematic Risk at the Industry Level: A Case Study of Australia" Risks 8, no. 2: 36. https://doi.org/10.3390/risks8020036