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Equity Beta for Regulated Energy Businesses in Australia: A Revisit

Author

Listed:
  • Thach Ngoc Pham

    (Ho Chi Minh City Open University, Vietnam)

  • Duc Hong Vo

    (Ho Chi Minh City Open University, Vietnam)

Abstract

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.

Suggested Citation

  • Thach Ngoc Pham & Duc Hong Vo, 2017. "Equity Beta for Regulated Energy Businesses in Australia: A Revisit," International Journal of Energy Economics and Policy, Econjournals, vol. 7(6), pages 11-18.
    • Handle: RePEc:eco:journ2:2017-06-2
    as

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    References listed on IDEAS

    as
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    5. Alfonso Carfora & Monica Ronghi & Giuseppe Scandurra, 2017. "The effect of Climate Finance on Greenhouse Gas Emission: A Quantile Regression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 185-199.
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    Cited by:

    1. Tung Dang-Thanh Nguyen & Anh The Vo & Duc Hong Vo, 2019. "The Determinants Of Systematic Risk In Vietnam," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 15-36, June.

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    More about this item

    Keywords

    Equity Beta; Quantile regression; Australia;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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