Relationship between CAPM-βand market changes in the Japanese liner shipping industry

摘要: In the past few decades, market environment of liner shipping industry has changed. The most important changes are in power and regulation, such as Shipping Act 1984 Ocean Reform 1998 United States. We estimate draw time-varying systematic risk β Japanese by using Kalman filters relate estimated path to during 1980–2006. To interpret industry, we focus on two points. first is that introduction policies for promoting competition increases β, second an increase due cooperation concentration among firms reduces β. Our results support point suggest increasing trend 1980–1990 reflects regulatory change industry. On other hand, trends 1990–1998 decreasing, which seems be consistent with suggesting that...