In recent years, Canadian and US pork industries have undergone significant restructuring and substantial consolidation. The objectives of this study are to determine whether the risk-return relationship for Schneider, Maple Leaf, Smithfield and IBP, which are four large pork processing companies in North America, varies over the period January 1990 to November 2000. In addition, this study will determine which factors affect the risk-return relationship for these companies and measure associated changes to systematic and nonsystematic risk. These objectives are met using a single index model with a fundamental beta and time-varying parameters. Economic and/or market factors hypothesized to affect the risk-return relationship include the hog-feed grain price ratio, the real value of pork exports, exchange rates, the implementation of the Uruguay Round Agreement on Agriculture (URAA), removal of Manitoba Pork Marketing single-desk selling status, the Maple Leaf and Smithfield bidding war for Schneider and subsequent Schneider merger with Smithfield, the Maple Leaf merger with a subsidary of McCain, the announcement of the Maple Leaf pork processing facility in Brandon and the Maple Leaf merger with Landmark Feeds. (Abstract shortened by UMI.)