# Systematic Risk at the Industry Level: A Case Study of Australia

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## Abstract

**:**

## 1. Introduction

## 2. Literature Review

## 3. Data and Methodology

#### 3.1. Data

**a-day**(announcement day) group, whereas the

**n-day**(non-announcement day) group includes days without any macroeconomic announcements. To the best of our knowledge, macroeconomic announcements are available on http://www.forexfactory.com and we consider all of them in this paper. As such, macroeconomic announcements are equivalent to news about growth, inflation, employment, central bank announcements, bonds, housing, consumer surveys, business surveys and speeches from the Prime Minister or the Governor of the Reserve Bank of Australia

#### 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) | ||||

${\mathit{\gamma}}_{2}$ (1) | ${\mathit{\gamma}}_{3}$ (2) | H_{0}$:\text{}{\mathit{\gamma}}_{2}$$={\mathit{\gamma}}_{3}$(3) | ${\mathit{\theta}}_{0}$ (4) | ${\mathit{\theta}}_{1}$ (5) | H_{0}$:\text{}{\mathit{\theta}}_{0}$$={\mathit{\theta}}_{1}$(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 | |||||
---|---|---|---|---|---|---|

β_{non} | β_{ann} − β_{non} | p-Value | β_{non} | β_{ann} − β_{non} | 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) |

_{ann}equals β

_{non}” and the alternative hypothesis is “β

_{ann}is different from β

_{non}”.

Portfolio | Value Weighted | Equal Weighted | ||||||
---|---|---|---|---|---|---|---|---|

α_{0} | γ_{2} | γ_{3} | R-Squared | α_{0} | γ_{2} | γ_{3} | 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) | ||||||
---|---|---|---|---|---|---|---|---|

${\mathit{\alpha}}_{0}^{\mathit{N}}$ (1) | ${\mathit{\gamma}}_{0}^{\mathit{N}}$ (2) | Avg. R-squared (3) | ${\mathit{\alpha}}_{0}^{\mathit{A}}$ (4) | ${\mathit{\gamma}}_{0}^{\mathit{A}}$ (5) | Avg. R-squared (6) | ${\mathit{\alpha}}_{0}^{\mathit{A}}$$-{\mathit{\alpha}}_{0}^{\mathit{N}}$ | ${\mathit{\gamma}}_{0}^{\mathit{A}}$$-{\mathit{\gamma}}_{0}^{\mathit{N}}$ | |

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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## Share and Cite

**MDPI and ACS Style**

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

**AMA Style**

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 Style**

Nguyen, 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