Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk

Gonedes, Nicholas J.

doi:10.2307/2329643

Cited by 220 publications

(122 citation statements)

References 24 publications

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“…It is a stylized fact of empirical finance that the intercept and slope coefficients, commonly referred to as betas (β), are not stable over time, with evidence on beta instability dating back to the early 1970s (Blume, 1971(Blume, , 1975Gonedes, 1973;Meyers, 1973;Baesel, 1974;Bos and Newbold, 1984;Black et al, 1992; and Gonzalez-Rivera, 1997). Additionally, there is evidence that betas are less stable for individual securities than they are for portfolios: and that as the size of the portfolio increases, betas' stability also increases, reflecting the effects of diversification (Alexander and Chervany, 1980).…”

Section: Methodsmentioning

confidence: 99%

Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM

2014

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The full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. AbstractThis paper addresses a core issue for the regulated utility: what are the risks taken by investors in organizations that supply a product whose supply is regulated? Prior research on returns of regulated water supply and distribution companies in the United Kingdom concluded that regulation interacts significantly with equity returns and that the systematic risk and hence required returns of water utilities equity were low and decreasing over time (Buckland and Fraser, 2001). The current research analyses the returns on securities issued by regulated water companies in the differently-regulated economies of the UK and the USA, using data from 1980 to 2010. Mirroring the results from the 1990s, the evidence suggests that UK regulators have chronically overestimated the systematic risks borne by investors in water utilities, resulting in lax pressure on permitted returns and higher prices than are needed to provoke efficient supply. The analysis also confirms that there are striking differences between the regulatory risks and patterns of returns for private sector water utilities in the USA and the UK.

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Section: Methodsmentioning

confidence: 99%

Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM

2014

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“…EAT divided by quarterly EBIT percentage change (Brigham & Weston, 1990); beta or systematic risk, measured by its sensitivity of a stock to market movements (Elton & Gruber, 1995) or the systematic-risk measure of relative security or portfolio to market risk (Hartono, 1998), using the 60-month returns as suggested by Gonedes (1973). However, because the data are already available in PDBE UGM Yogyakarta, the beta sources were taken from PDBE UGM .…”

Section: ( )mentioning

confidence: 99%

On the causality analysis of the correlation between financial leverage and systematic risk: evidence from Indonesian Stock Exchange

Qizam

2017

Investment Management and Financial Innovations

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This research is aimed at analyzing the causality puzzle on the correlation between financial leverage and systematic risk (beta). Financial leverage and beta are usually considered as two proxies of risk derived from different domains: one ends at financial decision outcome, and the other points to market. Cross-sectionally, this result does not support the moderating-variable impact of size on the relation between financial leverage and systematic risk. On the other hand, however, the moderating-variable impact of industry and operating leverage (to some extent) on the relation between financial leverage and systematic risk were well documented. Inter-temporally, financial leverage is significantly and symmetrically related to beta, not moderated by size and operating leverage. This means that the two variables show bidirectional causality. This study contributes to the new insight that financial leverage and beta are the two variables with bidirectional causality, showing that in the long run, risks from fundamental (financial/micro-economy) and from market (macro-economy) are tightly linked to each other inter-temporally.

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“…Vários Outros estudos não encontraram relação significativa entre informações contábeis e betas de mercado, como os de Breen e Lerner (1973), Elgers (1980), Gonedes (1973), Lev (1974), Saint Pierre e Bahri (2006. Estudos posteriores ao de Ball e Brown (1969) que detectaram a existência de relação entre variáveis contábeis e e foram os de Beaver et al (1970), Hamada (1972), Pettit e Westerfield (1972), Rosenberg e Mckibben (1973) , Lev e Kunitzky (1974), Beaver e Manegold (1975), Thompson (1976), Bowman (1979), Hill e Stone (1980), Mandelker e Rhee (1984), Ismail e Kim (1989) Karels e Sackley (1993), Ball et al (1993), Laveren et al (1997), Dechow (1994), Almisher e Kish (2000), Brimble e Hodgson (2007), Ecker et al (2009) …”

Section: Revisão Bibliográficaunclassified

“…O Lucro líquido é a variável mais comumente encontrada nos estudos já publicados, como os de Ball e Brown (1969), Beaver et al (1970) e Gonedes (1973), como possível explicativa do risco de mercado, assim como sua variabilidade, presente nos estudos de Beaver et al (1970), Bildersee (1975), Elgers (1980) e Laveren et al (1997). Como o lucro líquido é uma variável que compõe o retorno obtido pela empresa, espera-se que variáveis de lucro líquido e β C do lucro líquido apresentem relação com o β M .…”

Section: Variáveis De Rentabilidadeunclassified

Accounting Information and Market Beta

Amorim¹,

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Pimenta

2014

RUC

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Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk

Cited by 220 publications

References 24 publications

Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM

Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM

On the causality analysis of the correlation between financial leverage and systematic risk: evidence from Indonesian Stock Exchange

Accounting Information and Market Beta

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