Time‐varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis
用1974-1992年澳大利亚行业组合的月度数据，探索时变贝塔的估计、建模和资产定价检验，发现监管/放松管制/归集制度、市场回报水平和无风险利率波动率能部分解释贝塔变化，但CAPM的适用性证据不一。
The central focus of this paper is to provide an initial exploratory examination of ex post time‐varying beta estimation, modeling and asset pricing tests. In particular, these issues are investigated using a sample of monthly data on Australian industry portfolios over the nineteen‐year period 1974 to 1992. While primarily illustrative in nature, the industry betas are modeled, estimated and tested with reasonable success in terms of regimes related to periods of regulation/deregulation/imputation; the level of market returns; and a measure of volatility on the risk‐free rate of interest. However, univariate and multivariate tests reported in the paper provided mixed evidence concerning the applicability of a time‐varying beta CAPM, that incorporates these variables.