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1、AHIGHRISK-LOWBETABUSINESS?BETAESTIMATIONINTHEINTERNATIONALTRANSPORTINDUSTRYStephenX.H.GongaTowhomcorrespondenceshouldbeaddressed.Phone:852-27667411;fax:852-23302704;e-mail:STLXHG@POLYU.EDU.HK.,MichaelFirthb,KevinCullinanea,Teng-feiWangaaDepartmentofShippinga
2、ndTransportLogistics,TheHongKongPolytechnicUniversity,HongKongbDepartmentofAccountancy,TheHongKongPolytechnicUniversity,HongKongAbstractThewaterandairtransportindustriesareperceivedasrisk-laden,cyclicalbusinessessufferingfromhighfinancialandoperatingleverage
3、.Contradictingthiscommonperception,however,existingstudieshavedocumentedrelativelylowbetarisksforthesecuritiesoftheseindustrysectors.Onthebasisofthetheoreticaldeterminantsofbeta,wearguethatthereportedlowbetarisklevelsmaynotberepresentativeoftheindustries’tru
4、ebetarisk,andarenotrobusttodifferentestimationprocedures.Ouranalysesusingalternativeestimationproceduresrevealthattheindustrybetaestimatesareindeedsensitivetodifferentestimationdesigns.Inaddition,wefindthatthebetaestimatesreportedinpreviousstudiesareconfound
5、edbyproblemsinthesampleselection.Byobtainingamorerepresentativesampleofindustryfirmsandbyimplementinganumberofdifferentestimationprocedures,weproducearangeofindustrybetaestimates.Overall,ourresultsleadustoconcludethatthequalitativeconclusionaboutbetariskforw
6、aterandairtransportationsecuritiesvarieswiththeestimationprocedureandthattheindustries’betariskmaynotbestableovertime.Keywords:Systematicrisk,assetpricing,costofcapital,internationaltransport401.INTRODUCTIONThesecuritiesmarkethasanextremelyimportantroletopla
7、yinamarketeconomybecauseithelpstodirectscarceeconomicresourcestotheirmostproductiveuses.Investorsdecidewhethertobuyorsellasecurityonthebasisoftheirperceptionoftherisk-returntrade-off;theyrequirehighreturnforasecuritythathashighinvestmentrisk.Inmodernfinance,
8、therisk(i.e.systematicrisk,orbeta)ofanindividualsecurityforareasonablywell-diversifiedinvestorismeasuredintermsofitsmarginalcontributiontotheportfolioriskofallthesecuritiestheinvestorholds,since
