International Scholarly Research Notices

Research Article

An Empirical Modelling of New Zealand Hospitality and Tourism Stock Returns

Table 5

Time series estimates of factor sensitivity.

(a) Model 1: using 90-day bank bill rate as discount rate proxy (n = 162)


Firm	AIA	AIR	MCK	NZE	RBD	SKC	THL

Expected returns	0.684	−1.427	0.179	1.170	0.287	0.489	−0.283
dlog mkt	0.887	1.173	0.523	0.210	0.632	1.108	1.518
dlog ms	−0.088	−0.052	0.084	−0.045	0.052	−0.010	−0.211
Change in bbr	0.082	6.541	7.089	5.216	−0.748	−2.207	6.880
dlog Ta	0.017	−0.039	−0.001	0.109	−0.022	0.016	−0.004
Adjusted	0.29	0.15	0.09	0.01	0.08	0.40	0.34

(b) Model 2: using term premium as discount rate proxy (n = 162)


Firm	AIA	AIR	MCK	NZE	RBD	SKC	THL

Expected returns	0.686	−1.507	0.080	1.048	0.309	0.531	−0.366
dlog mkt	0.885	1.217	0.577	0.275	0.620	1.086	1.564
dlog ms	−0.092	−0.063	0.088	0.023	0.036	−0.026	−0.223
Change in tmp	0.349	−1.488	−3.053	−7.974	1.687	2.183	−1.453
dlog Ta	0.017	−0.039	−0.003	0.103	−0.021	0.018	−0.004
Adjusted	0.29	0.14	0.06	0.02	0.09	0.40	0.32

(c) Model 3: using official cash rate as discount rate proxy (n = 162)


Firm	AIA	AIR	MCK	NZE	RBD	SKC	THL

Expected returns	0.676	−1.432	0.142	1.070	0.283	0.505	−0.305
dlog mkt	0.891	1.171	0.541	0.270	0.635	1.100	1.527
dlog ms	−0.096	−0.006	0.097	−0.124	0.042	−0.009	−0.182
Change in ocr	−0.835	8.278	4.877	−6.262	−1.509	−0.935	6.469
dlog Ta	0.017	−0.035	0.002	0.107	−0.023	0.016	−0.0002
Adjusted	0.29	0.16	0.07	0.01	0.09	0.40	0.34