The impact of the structural attributes of industries on the cost of capital to constituent firms is examined within the framework of the Capital Asset Pricing Model (CAPM). The relationship between industry structure and systematic risk which the CAPM posits as the sole determinant of security returns is investigated using regression methodology. The results show that industry characteristics such as capital intensity, capital to labour ratio and entry barriers such as advertising have a significant influence on systematic risk and, hence, on the cost of capital to firms.