MACROECONOMIC EFFECTS ON SYSTEMATIC RISK IN EUROPE. THE CASE OF CYCLICAL V. NON-CYCLICAL COMPANIES

This study explores macroeconomic and industry-level effects on corporate systematic risk (or beta) for European cyclical and noncyclical companies. We document the extent to which stock market betas fluctuate over time for both industry groups. In addition, we analyze the fundamental determinants of systematic risk. We find evidence that, although noncyclical industries market betas have a lower magnitude, after controlling for firms fundamental strength, macroeconomic conditions and different institutional environments, both types of industries are affected in the same manner by the variables incorporated in our study.