QUANTIFICATION OF THE SYSTEMATIC RISK IN INDUSTRIES

• Authors: Majdúchová Helena , Siváková Bernadeta , Rybárová Daniela , Šagátová Slavka
• Languages of publication: EN

Abstracts

EN

The aim of this paper is to verify systematic risk possibility in an alternative way using the accounting data. The verification is based on the Brimble-Hodgson accounting model, which we tested on a sample of EU-15 companies within ten years in total and separately for each concerned industry. We developed our own model using accounting data due to the more general model applicability, and tested the model on the same sample of a company. We obtained data for the analysis from the Datastream database. The Brimble-Hodgson accounting model could explain 28 – 77% of the variability of systematic risk, and our accounting model explained 21 – 75% of the variability of systematic risk, depending on the sector. The result is to identify determinants affecting systematic risk to individual industries, and formulation of industry-based accounting models, which can be applied in practice.

Keywords

EN

CAPITAL ASSET PRICING MODEL; BETA COEFFICIENT; SYSTEMATIC RISK; ACCOUNTING MODEL

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2017
• Volume: 65
• Issue: 7
• Pages: 602 – 617

Contributors

author

Majdúchová Helena

• University of Economics in Bratislava, Faculty of Business Management, Department of Business Economy, Dolnozemská cesta 1, 852 35 Bratislava, Slovak Republic

author

Siváková Bernadeta

author

Rybárová Daniela

author

Šagátová Slavka