The paper presents an investigation of the equity beta risk of 23 Australian industry portfolios over the period 1974 to 1992. A comparison of domestic and international market model betas, favours the domestic risk measures, although the international counterparts are generally statistically significant relative to a world market index. Furthermore, the international betas seem to display greater instability than the domestic beta estimates. Tests are made to determine whether business cycles, both domestic and international, impact upon stock returns, via changes in the estimated domestic beta. Generally, it is found that business cycles are important and that the US business cycle has a much larger impact on the equity betas of industry portfolios, than does the Australian business cycle. Finally, it is found that interactions between the business cycles of Australia and the United States, have an impact on the beta risk for many industries.