CONSUMPTION VERSUS MARKET BETAS OF AUSTRALIAN INDUSTRY PORTFOLIOS

This paper provides an empirical comparison of consumption and market betas for to 23 Australian industry portfolios, using quarterly Austra lian data. The results reveal that there is very little sensitivity of returns to consumption growth where consumption growth is measured co ntemporaneously. However, when a lagged relationship is examined, the consumption sensitivities become much stronger. Nevertheless the consu mption betas remain considerably less significant than their market be ta counterparts.