Long-Run Stock Price Performance after IPOs: What do Tests for Stochastic Dominance Tell Us?
Journal
Applied Economics Letters
Journal Issue
10
Pages
15-19
Date Issued
2003
Author(s)
Abstract
The stability of global industry betas is analysed over the twenty-year period 1975 to 1994. In addition, the impact of the October 1987 international stock market crash on these betas is investigated. Generally, a considerable variation in betas is found. In terms of the effect of the 1987 stock market crash on beta risk, it is found that the magnitude of the effect of the crash varied markedly across industries.
SDGs
Type
journal article