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ACCOUNTING DETERMINED AND MARKET DETERMNED RISK MEASURES: SOME TESTS OF ASSOCIATION AND PREDICTIVE ABILITY

ACCOUNTING DETERMINED AND MARKET DETERMNED RISK MEASURES: SOME TESTS OF ASSOCIATION AND... This paper examines the degree of association between certain measures of risk that commonly feature in the accounting literature, and the β coefficient, the risk measure given by the capital asset pricing model. Tests were applied to a subset of New Zealand listed public company securities. A weak association was found. Tests of the predictive ability of an accounting based regression model showed that its performance was inferior to other commonly assumed predictive models. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

ACCOUNTING DETERMINED AND MARKET DETERMNED RISK MEASURES: SOME TESTS OF ASSOCIATION AND PREDICTIVE ABILITY

Goh, P. L.; Emanuel, D. M.
Accounting & Finance , Volume 21 (1) – May 1, 1981
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References (12)

Publisher
Wiley
Copyright
© 1981 Accounting and Finance Association of Australia and New Zealand
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/j.1467-629X.1981.tb00024.x
Publisher site
See Article on Publisher Site

Abstract

This paper examines the degree of association between certain measures of risk that commonly feature in the accounting literature, and the β coefficient, the risk measure given by the capital asset pricing model. Tests were applied to a subset of New Zealand listed public company securities. A weak association was found. Tests of the predictive ability of an accounting based regression model showed that its performance was inferior to other commonly assumed predictive models.

Journal

Accounting & Finance – Wiley

Published: May 1, 1981

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