Full-Information Industry Betas
指出排除跨行业经营企业会导致行业贝塔估计偏高，并提出一种全信息方法，利用这些企业的信息来修正估计，结果发现修正后的贝塔值显著低于传统纯玩法估计。
The process of estimating an industry cost of capital is complicated by the fact that many firms operate in multiple industries. Conglomerates are typically excluded from a pure-play industry analysis since their operations span more than one line of business. We argue that excluding these firms introduces and upward bias into industry beta estimates. This is because the betas of large-market-capitalization firms tend to be lower than the betas of small-capitalization firms. Betas are estimated for 66 industries using both a pure-play and a full-information approach. The full-information approach incorporates industry-specific information contained in the beats of conglomerates into the industry beta estimation process. Our results show that full-information beta estimates are substantially smaller than their pure-play counterparts.