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Systematic risk and the role and measurement of equity beta: a report to the AER consumer reference group

In this report, Sapere provided an overview of issues that arise in the estimation of beta, with particular reference to the Australian electricity and gas sectors that are supervised by the Australian Energy Regulator (AER). The list of issues is unlikely to be exhaustive, but it is, hopefully, representative of the major themes that arise in practice. Sapere’s aim is to provide an independent perspective on beta estimation issues relevant to the AER and the Consumer Reference Group (CRG).