Accounting and Market Risk Measures of Polish Energy Companies

Abstract

Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and political situation in the world. Energy companies are usually large capital companies whose shares are listed on the stock market. The mentioned risk factors may shape the risk level of these companies. The study aims to examine the relationship between market and accounting risk measures for Polish energy companies listed on the Warsaw Stock Exchange. This paper uses market and accounting betas in the conventional and downside approach. In addition to market measures of total risk, it also examines the variability of ROA for energy companies. The study of the relationship between market risk measures and accounting risk measures was based on Pearson’s correlation coefficient, standard linear regression, and quantile regression. The relationship between market and accounting measures of total and systematic risk was identified. Moreover, quantile regressions revealed that the slope for accounting variables varies across the quantiles. Our research shows that for energy companies not listed on the capital markets, for which no market risk measures can be derived, accounting betas and downside accounting can be useful tools in risk analysis. The contribution of the article to the risk analysis of energy companies is the use of unpopular accounting beta factors and a new modification of these coefficients for downside risk.

Evolution of Energy Companies’ Non-Financial Disclosures: A Model of Non-Financial Reports in the Energy Sector

“…Although many different issues in N-FRs have been addressed by researchers, there are still few publications on the N-FR practices of companies in the energy sector. Recently, various aspects of non-financial disclosures in the energy industry have been explored by [30][31][32][33][34][35][36]. For example, Pätäri et al [31] looked at how companies in the energy industry invest in CSR, and what the impact is of those investments on corporate financial performance (CFP) (and vice versa).…”

“…The relationship between the ESG disclosures and goodwill of companies in the energy sector was analyzed by Constantinescu [33]. In their turn, Rutkowska-Ziarko and Markowski studied the downside risk of Polish energy companies using accounting and market metrics [36].…”

Untitled

“…De forma similar, Támara et al (2017) aseveraron la utilidad de los Betas contables para las empresas que no tienen data histórica en el precio de su acción o que tienen mucho ruido. En este contexto, la medida contable de riesgo total y sistemático tiene un impacto significativo sobre las medidas de riesgo de mercado para empresas y el modelo de Beta contable se presenta como una alternativa poderosa al CAPM (Rutkowska y Markowski, 2022;Faiteh y Aasri, 2022).…”

Capital Asset Pricing Model (CAPM) applied to the corporate sector of Ecuador

“…Si se considera que una organización está expuesta a riesgo debido a la incertidumbre en el mercado (Rutkowska y Markowski, 2022), un portafolio bien diversificado permite más oportunidades de inversión y mejores rendimientos. Un portafolio óptimo se logra combinando acciones diversificadas de manera apropiada, para maximizar el rendimiento esperado y reducir el riesgo.…”