BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Słoński Tomasz (Uniwersytet Ekonomiczny we Wrocławiu)
Title
Accounting Beta Calculation Based Upon Warsaw Stock Exchange Sub-Indexes
Wykorzystanie subindeksów sektorowych do obliczeń współczynnika beta na podstawie danych księgowych
Source
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2009, nr 17, s. 593-601, tab., bibliogr. 9 poz.
Keyword
Pomiar ryzyka, Raporty księgowe, Współczynnik Beta, Stopa zwrotu
Risk measures, Accounting reports, Beta factor, Rate of return
Note
streszcz., summ..
Company
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
Abstract
W artykule została poddana analizie możliwość wykorzystania danych księgowych do pomiaru ryzyka rynkowego w przedsiębiorstwie. Analiza danych pozwala na uzyskanie odpowiedzi, czy współczynnik beta obliczonych na podstawie księgowych stanowi dobre przybliżenia tzw. rynkowego współczynnika beta. W artykule został zaprezentowany model wykorzystujący stopy zwrotu subindeksów Giełdy Papierów Wartościowych w Warszawie. W modelu stopy zwrotu spółek zostały zestawione ze stopami zwrotu z indeksu. (abstrakt oryginalny)

This article examines whether market risk can be measured on the basis of accounting data. A beta coefficient that is determined on the basis of accounting data is called accounting beta. This procedure is of particular importance for companies not listed on a stock exchange, since it enables them to assess market risks based on accounting data. This article is an attempt to verify the thesis that accounting beta is a satisfactory approximation of market beta. The author created a model that can be applied to determine accounting beta for companies listed on the Warsaw Stock Exchange (WSE). The level of risk for those companies is estimated by way of comparison with a pre-defined reference portfolio. The assumptions for the model were selected after an analysis of recommendations from professional publications. Also the accounting beta for compa nies were compared with market beta to try and detect a mutual relationship between those two beta coefficients. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Szczecin University Main Library
Bibliography
Show
  1. Ball R., Brown P.: Portfolio Theory and Accounting Theory. Journal of Accounting Research 7, 1969.
  2. Beaver W., Manegold J.: The Association between Market-Determined and Accounting- Determined Measures of Systematic Risk: Some Further Evidence. Journal of Financial and Quantitative Analysis, June 1975.
  3. Zarzadzanie inwestycjami, Ed. P.L. Bernstein, A. Damodaran. Wyd. K.E. Liber, Warszawa 1999.
  4. Brigham E., Gapenski L.: Zarządzanie finansami. PWE, Warszawa 2000.
  5. Damodaran A.: Investment valuation. John Wiley& Sons, New York 2002.
  6. King B.: Market and Industry Factors in Stock Price Behavior Journal of Business vol. 39, 1966.
  7. Myers S.C.: A Reexamination of Market and Industry Factors in Stock Price Behavior. Journal of Finance vol. 28, June 1973.
  8. Pereiro L.E.: The practice of investment valuation in emerging markets. Journal of Multinational Financial Management, April 2006.
  9. Thompson D.J.: Sources of Systematic Risk in Common Stocks. Journal of Business, April 1976.
Cited by
Show
ISSN
1640-6818
1733-2842
Language
eng
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu