DOES STOCK MARKET BETA CORRELATE WITH DISCLOSED ACCOUNTING INFORMATION? A PANEL DATA ESTIMATION

作者：Menendez Plans Carlota^*; Orgaz Neus; Prior Diego

来源：Academia-Revista Latinoamericana de Administracion, 2012, (49): 1-16.

• Market risk
• accounting information
• value relevance
• efficiency and productivity
• macroeconomic indicators

An empirical study has been undertaken to analyze the existing relationship between stock market beta and all of the published accounting information, incorporating productivity indices and macroeconomic information. Regression analysis with panel data estimations is applied to a sample of 69 Spanish capital market firms between 1992 and 2004. The results show that there is a connection between the independent variables and risk, but that this differs according to the market portfolio used and the sample analyzed. For the overall sample, the best model was obtained when the market beta was estimated from the index that contains the greatest number of shares, the IGBM (Madrid Stock Exchange General Index). Macroeconomic indicators and indicators of productivity are also significant variables of the systematic risk of the Spanish market.

• 出版日期2012