IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v26y2003i2p179-189.html
   My bibliography  Save this article

Systematic Risk and Revenue Volatility

Author

Listed:
  • Harry F. Griffin
  • Michael T. Dugan

Abstract

We introduce the degree of economic leverage (DEL) as an extension of the existing method of decomposing beta and assess its incremental explanatory power through empirical testing. The DEL is defined as the percentage change in the firm's sales resulting from a unit percentage change attributable to an exogenous economic disturbance. The exogenous economic disturbance employed is the ratio of long-term T-bond rates to short-term T-bill rates. The evidence supports the DEL's role in explaining systematic risk at both the industry and portfolio levels. However, we find mixed results at the firm level. 2003 The Southern Finance Association and the Southwestern Finance Association.

Suggested Citation

  • Harry F. Griffin & Michael T. Dugan, 2003. "Systematic Risk and Revenue Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 179-189.
  • Handle: RePEc:bla:jfnres:v:26:y:2003:i:2:p:179-189
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1475-6803.00053
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sarmiento-Sabogal, Julio & Sadeghi, Mehdi, 2014. "Unlevered betas and the cost of equity capital: An empirical approach," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 90-105.
    2. Jimmy Saravia & Carlos Garcia & Paula Almonacid, 2016. "The Determinants of Systematic Risk: A Firm Lifecycle Perspective," DOCUMENTOS DE TRABAJO CIEF 015299, UNIVERSIDAD EAFIT.
    3. Kei Ikeda, 2017. "Impact of Japanese Banks' Strategic Stockholdings on their Cost of Capital," Bank of Japan Working Paper Series 17-E-4, Bank of Japan.
    4. Arnab Bhattacharjee & Chris Higson & Sean Holly, 2015. "Operating Leverage over the Business Cycle," Cambridge Working Papers in Economics 1535, Faculty of Economics, University of Cambridge.
    5. Robert E. Houmes & John B. MacArthur & Harriet Stranahan, 2012. "The operating leverage impact on systematic risk within a context of choice: An analysis of the US trucking industry," Managerial Finance, Emerald Group Publishing, vol. 38(12), pages 1184-1202, October.
    6. Tobias Schlueter & Soenke Sievers, 2014. "Determinants of market beta: the impacts of firm-specific accounting figures and market conditions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 535-570, April.
    7. Calmès, Christian & Théoret, Raymond, 2013. "Market-oriented banking, financial stability and macro-prudential indicators of leverage," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 13-34.
    8. Christian Calmès & Raymond Théoret, 2012. "The procyclicality of Basel III leverage: Elasticity-based indicators and the Kalman filter," RePAd Working Paper Series UQO-DSA-wp012012, Département des sciences administratives, UQO.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:26:y:2003:i:2:p:179-189. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.