文章基本信息

标题：Equity Beta for Regulated Energy Businesses in Australia: A Revisit
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作者：Thach Ngoc Pham ; Duc Hong Vo
期刊名称：International Journal of Energy Economics and Policy
电子版ISSN：2146-4553
出版年度：2017
卷号：7
期号：6
页码：11-18
语种：English
出版社：EconJournals
摘要：This paper aims to estimate the equity beta – a key input of the Capital Asset Pricing Model, for the energy businesses in Australia in the 11-year period from 2005 to 2015. Various methods are used in this paper including Quantile Regression. Listed companies in the energy industry are considered at individual and portfolio levels. Findings from this paper are both consistent and contrast with prior related studies: (i) energy sector in Australia face a relatively low risk level compared to the market; (ii) OLS results are higher than LAD; and (iii) QR vary across different percentiles.
关键词：Equity Beta; Quantile regression; Australia.