The development of downside accounting beta as a measure of risk

Rutkowska-Ziarko, Anna; Pyke, Christopher

doi:10.18559/ebr.2017.4.4

Cited by 12 publications

(7 citation statements)

References 21 publications

(23 reference statements)

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“…This view was not substantiated due to lack of correlation between growth and ROE. The negative association between ROE and systematic risk is in contrast to the positive relationship evidenced by Melicher (1974) and Rowe and Kim (2010). It appears that persistent low ROE is a significant risk factor.…”

Section: Regression Analysismentioning

confidence: 63%

“…However, a low ROE persisting for some time can also increase the risk of the firm. Melicher (1974) and Rowe and Kim (2010) evidenced positive relationship between ROE and systematic risk. This study expects ROE will have significant association with systematic risk.…”

Section: Earning Variability (Ev)mentioning

confidence: 90%

“…A considerable body of literature has investigated the relationship between market determined risk measures and accounting determined risk measures in the developed and emerging markets (Beaver et al, 2005(Beaver et al, , 2010(Beaver et al, , 2012bBrimble & Hodgson, 2007;Rutkowska & Pyke, 2017). However, in the Indian stock market, researchers have focused on the relationship between the accounting variables and the stock return rather than the systematic risk (Mishra et al, 2011).…”

Section: Introductionmentioning

confidence: 99%

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Systematic Risk and Accounting Determinants: An Empirical Assessment in the Indian Stock Market

Parthasarathy¹

2019

OMEE

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This study explores the contemporaneous association between market determined risk measures and accounting determined risk measures using the large liquid non-financial stocks in the Indian stock market in the recent 2012-2017 period. Two measures of systematic risk and seven accounting determined risk measures are chosen based on prior research. This study uses three regression techniques, namely Ordinary Least Squares (OLS), stepwise regression and robust regression, to identify the influential accounting variables for the systematic risk measured by market beta. The results evidence that there is a high degree of contemporaneous association between market determined and accounting determined risk measures, with nearly 30% of the cross sectional variance in systematic risk explained by accounting determined risk measures. The results suggest that the accounting variables can be used in the predictive models of future risk, leading to superior decision making at the level of individual decision maker.

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Section: Regression Analysismentioning

confidence: 63%

Section: Earning Variability (Ev)mentioning

confidence: 90%

Section: Introductionmentioning

confidence: 99%

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Systematic Risk and Accounting Determinants: An Empirical Assessment in the Indian Stock Market

Parthasarathy¹

2019

OMEE

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“…The impact of accounting measures of risk on market measures of risk was found in previous studies on the Warsaw Stock Exchange. It was identified for Polish food, construction, and IT companies, as well as companies composing some of the WSE indices (WIG-20, WIG-40, and WIG-80) [9][10][11][12][13]. Similar research was conducted on the Frankfurt Stock Exchange.…”

Section: Introductionmentioning

confidence: 99%

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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“…Guy [18] presents a portfolio construction based on the assessment of the values of the upside and downside betas. Rutkowska-Ziarko and Pyke [38] introduce the downside accounting beta suggesting to use it for the measurement of the systemic risk. Altigan et al [1] claim that the downside beta valuation is not sufficient for the asset pricing on international markets contrary to the results for the US equity market.…”

Section: Introductionmentioning

confidence: 99%

The Downside and Upside Beta Valuation in the Variance-Gamma Model

Иванов

2021

ijaa

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The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variancegamma, gamma distributed and deterministic returns. The returns are assumed to be dependent. We derive analytical formulas for the downside and upside betas in the discussed framework. The established formulas depend on the values of a number of special mathematical functions including the values of the generalized hypergeometric ones.

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The development of downside accounting beta as a measure of risk

Cited by 12 publications

References 21 publications

Systematic Risk and Accounting Determinants: An Empirical Assessment in the Indian Stock Market

Systematic Risk and Accounting Determinants: An Empirical Assessment in the Indian Stock Market

Accounting and Market Risk Measures of Polish Energy Companies

The Downside and Upside Beta Valuation in the Variance-Gamma Model

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