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The Relationship Between Accounting Variables and Systematic Risk and the Prediction of Systematic Risk

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  • A. D. Castagna
  • Z. P. Matolcsy

    (Department of Finance, University of New South Wales and Department of Financial and Quantitative Studies, Kuring-gai College of Advanced Education. The authors acknowledge the helpful comments of George Foster and Joe Winsen, and the programming assistance of Clarke Gerber. The financial support of the Special Projects Grant of the Commerce Faculty, University of New South Wales, is gratefully acknowledged. All errors and omission are the responsibility of the authors.)

Abstract

This paper conducts several tests of association between accounting information and the systematic risks of firm's equities. It also evaluates several models of the prediction of systematic risk from past rate-of-return information.

Suggested Citation

  • A. D. Castagna & Z. P. Matolcsy, 1978. "The Relationship Between Accounting Variables and Systematic Risk and the Prediction of Systematic Risk," Australian Journal of Management, Australian School of Business, vol. 3(2), pages 113-126, October.
    • Handle: RePEc:sae:ausman:v:3:y:1978:i:2:p:113-126
    DOI: 10.1177/031289627800300201
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    References listed on IDEAS

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    1. Beaver, William & Manegold, James, 1975. "The Association between Market-Determined and Accounting-Determined Measures of Systematic Risk: Some Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(2), pages 231-284, June.
    2. Gonedes, Nicholas J., 1973. "Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 407-443, June.
    3. Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 24(1), pages 13-31, March.
    4. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Vasicek, Oldrich A, 1973. "A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas," Journal of Finance, American Finance Association, vol. 28(5), pages 1233-1239, December.
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    Cited by:

    1. Thomas J. Cook & Michael S. Rozeff, 1984. "Coskewness, Dividend Yield And Capital Asset Pricing," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 231-241, September.
    2. el Alaoui, AbdelKader Ouatik & Bacha, Obiyathulla Ismath & Masih, Mansur & Asutay, Mehmet, 2016. "Shari’ah screening, market risk and contagion: A multi-country analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 93-112.

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