Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange

Rutkowska-Ziarko, Anna

doi:10.3390/risks10010014

Cited by 9 publications

(8 citation statements)

References 49 publications

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Section: Discussionmentioning

confidence: 99%

“…The paper also uses sensitivity measures relating to the accounting profitability ratios, in line with the Hill and Stone concept. The downside accounting beta was determined by the modification of the Harlow and Rao formula for accounting data proposed by Rutkowska-Ziarko [14].…”

Section: Systematicmentioning

confidence: 99%

“…Similar research was conducted on the Frankfurt Stock Exchange. It was pointed out that the accounting measure of total and systematic risk has a significant impact on market risk measures for companies included in DAX, MDAX, and SDAX [14]. There is little research in the literature on the impact of accounting measures of risk on market risk measures, in particular those based on the downside risk.…”

Section: Introductionmentioning

confidence: 99%

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Accounting and Market Risk Measures of Polish Energy Companies

Rutkowska-Ziarko

Markowski

2022

Energies

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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.

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Section: Discussionmentioning

confidence: 99%

Section: Systematicmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Accounting and Market Risk Measures of Polish Energy Companies

Rutkowska-Ziarko

Markowski

2022

Energies

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“…For the purpose of this study, beta was selected as a proxy, which represents systematic risk. The selection of this proxy is in line with prior research performed by Green & Zhao (2021) and Rutkowska-Ziarko (2022). Where beta is applied for the estimation of systematic risk, two different types of beta values can be calculated: leveraged beta and unleveraged beta.…”

Section: Estimating Systematic Risk In Stock Marketsmentioning

confidence: 92%

Viability of Risk-return Trade-off within a South African Context

Robbetze

Swanepoel

2022

JAI

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Research aims: This study aimed to determine whether systematic risk and return are related to each other. It answered the research question: Is it realistic for investors to expect high returns when their investments are associated with more riskiness?Design/Methodology/Approach: Quantitative analysis was applied through a correlational research design. Secondary data were collected from the Integrated Real-time Equity System (IRESS). The Statistical Package for Social Sciences (SPSS) was utilised to measure a Pearson correlation coefficient and execute multiple regression analysis. This was done to test for the relationship between financial measurements of systematic risk and return, of sampled entities.Research findings: This research found that measures of systematic risk and return are not necessarily related when empirically analysed for sampled entities.Theoretical contribution/Originality: This paper indicated that the principle of the modern portfolio theory (MPT) should not be accepted as general truth. It should not be assumed that risk and return are linearly related in all financial markets under all economic circumstances. This premise is contrary to general financial management practice, where the MPT is universally accepted and even forms the basis of other financial theories.Research limitation: The use of the IRESS database posed a limitation in terms of sampling, as the database was frequently unable to present a complete set of data needed for statistical testing. Consequently, only 33 companies were sampled, as IRESS only made a complete set of required data available for these entities.

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“…Again, (Dehuan & Jin, 2008; Rutkowska-Ziarko, 2022) affirmed that accounting and market ratios have explanatory power for stock performance. (Abdullah & Tursoy, 2021;Fatmasari et al, 2021;Rutkowska-Ziarko, 2022) They assessed the correlation between capital structure and firm performance with accounting and stock market proxies. (Roberta , Orla, Gülnur, 2013; Rutkowska-Ziarko, 2022) They have accepted a significant tie between operating performance and stock performance.…”

Section: Introductionmentioning

confidence: 99%

Capital Structure and Firm Performance: Evidence From 2021 Best-Performed Stocks in Nigeria

Nwannunu¹

2022

IJRIAS

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The researcher used an eight-firm sample drawn randomly from a population of ten to study the relationship between capital structure and stock performance of the companies that traded the best-performing stocks on the Nigerian stock exchange in 2021. The study used a four-year panel data collection (2018–2021). For hypothesis testing, the study used EXCEL-generated research statistics and the least-squares dummy variables (LSDV) regression in SPSS. The findings show a statistically significant positive correlation between corporate capital structure and stock performance (ROA and R.O.E.). The study recommended employing larger samples of the best-performing equities over two or more years.

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Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange

Cited by 9 publications

References 49 publications

Accounting and Market Risk Measures of Polish Energy Companies

Accounting and Market Risk Measures of Polish Energy Companies

Viability of Risk-return Trade-off within a South African Context

Capital Structure and Firm Performance: Evidence From 2021 Best-Performed Stocks in Nigeria

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