Lally (1998) shows that when the “market” portfolio against which equity betas are measured constitutes a share portfolio, which is the usual case, then equity betas are sensitive to market as well as firm specific leverage. This paper explores the application of this idea to the widespread...

This paper derives the relationship between a stock's beta and its weighting in the portfolio against which its beta is calculated. Contrary to intuition the effect of this market weight is in general very substantial. We then suggest an alternative to the conventional measure of abnormal...

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...