THE STOCK MARKET PERCEPTION OF INDUSTRY RISK THROUGH THE UTILISATION OF A GENERAL MULTIFACTOR MODEL

The aim of this paper is to apply a multifactor model to analyze the determinants of the risk--return relationship of U.S. listed water transportation stocks and then compare them with the corresponding determinants of other transport industries such as air transportation, rail transportation, trucking, and non-transport industries such as utilities and real estate over the period from July 1985 to June 1995. The analysis is done by estimating the sensitivities of a set of predetermined micro and macro economic factors to the cross-sectional differences in the returns of the companies in each industry. The set of predetermined factors consists of a variety of micro and macro economic variables utilized in previous research. The relationship between the aforementioned factors and industry returns is established by employing the Seemingly Unrelated Regression Model (SURM). Findings are discussed.

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  • Corporate Authors:

    Instituti Editoriali e Poligrafici Internazionali

    Via Giosue Carducci 60, Ghezzano
    La Fontina,   Italy  56010
  • Authors:
    • Kavussanos, M G
    • Marcoulis, Stelios N
  • Publication Date: 2000-2

Language

  • English

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Filing Info

  • Accession Number: 00794464
  • Record Type: Publication
  • Files: TRIS
  • Created Date: Jun 6 2000 12:00AM