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A Note of Accounting-Based and Market-Based Estimates of Systematic Risk

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  • Gonedes, Nicholas J.

Abstract

In Gonedes [5], the results of an empirical analysis of accounting-based and market-based estimates of systematic risk were presented. These results suggested that there is, in general, a “statistically significant†relationship between accounting-based and market-based estimates of systematic risk at the level of individual securities, if the accounting-based estimates are conditional upon first-differences or scaled first-differences of the accounting numbers. The differencing transformation seemed to induce relatively better specified models for the accounting numbers.

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  • Gonedes, Nicholas J., 1975. "A Note of Accounting-Based and Market-Based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(2), pages 355-365, June.
  • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:02:p:355-365_01
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    Cited by:

    1. Stein, Jeremy C, 1996. "Rational Capital Budgeting in an Irrational World," The Journal of Business, University of Chicago Press, vol. 69(4), pages 429-455, October.
    2. J. Sarmiento-Sabogal & M. Sadeghi, 2015. "Estimating the cost of equity for private firms using accounting fundamentals," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 288-301, January.
    3. Cosset, Jean-Claude & Lampron, Laurent, 1982. "Rentabilité, risque et diversification internationale des banques à charte canadiennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 58(4), pages 477-492, décembre.

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