This paper explores the impact on industry betas of changes to the industry weights in the market index against which betas are defined. The exploratory analysis in the paper suggests that the effect can be substantial This phenomenon has implications for the way in which betas are estimated...

This paper compares the revenues resulting from the Officer model, which is generally used by Australian regulatory bodies, the simplified Brennan-Lally model, which is used by the New Zealand regulatory body, the Sharpe-Lintner-Mossin model, which is widely used in other regulatory regimes, and...