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A study on the relationship between firm systematic risk and accounting variables
Chiou, Chei Chang
Robert Su, K.
Lin, Chu Chia
Chiou, Chei Chang
degree of total leverage
degree of operating leverage
degree of financial leverage
|Issue Date: ||2016-05-10 18:54:41 (UTC+8)|
|Abstract: || 本研究旨在探討公司系統性風險與會計變數之關聯性。影響公司系統性風險之因素應包括公司內部因素與公司外部總體經濟因素，但過去文獻並未完全涵蓋到，致使其模式解釋力皆不高。為彌補過去文獻之不足，本研究先以理論推導方式將公司內部與外部因素納入系統性風險模式中，再以實證資料驗證之。|
This thesis examines the relationship between firm systematic risk and accounting variables. Potential determinants of firm systematic risk theoretically include accounting and macroeconomic variables, but prior research only explored part of them and most models yielded low explanatory power. This research analytically derives and empirically verifies a model of firm systematic risk.
The analytical results suggest that determinants of systematic risk at least include earnings, the degree of operating leverage, the degree of financial leverage, book value, dividend, market-portfolio return, risk-free return and other macroeconomic variables. Three main propositions are therefore derived as follows.
1. When a firm's prior year earnings and current year sales growth are both positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its degree of total leverage, defined as the product of degree of operating leverage and degree of financial leverage, has a positive effect on its systematic risk.
2. When a firm's prior year earnings is positive, if its current book value, cash dividend, and earnings all have a positive effect on its stock price, then its current cash dividend has a positive effect on its systematic risk.
3. When a firm's current year sales growth is positive (negative), its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
Three hypotheses are then tested empirically. First, a firm's degree of total leverage has a positive effect on its systematic risk; and its degree of operating leverage and degree of financial leverage both have a positive (or both negative) effect on its systematic risk. Second, a firm's cash dividend has a positive effect on its systematic risk. Third, if a firm's sales growth is positive (negative) without any change in its systematic risk or earnings, then its degree of operating leverage is positively (negatively) related with its degree of financial leverage.
The empirical results provide partial support for the above hypotheses. First, the degree of total leverage, degree of financial leverage, and cash dividend each has a positive effect on the systematic risk. Therefore, a firm can reduce its systematic risk by lowering its degree of total leverage, degree of financial leverage and the cash dividend. Second, macroeconomic factors such as the market-portfolio return, inflation and GNP growth have a negative effect on the systematic risk. Hence, a firm attempting to control its systematic risk should consider the changes of macroeconomics besides the leverage and dividend policy. Finally, a firm with growing sales takes a high degree of operating leverage and financial leverage, but a firm does not necessarily take a high (low) degree of operating leverage and a low (high) degree of financial leverage as target when its sales are declining. In other words, these two leverages have no offset relationship.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#A2010000057|
|Data Type: ||thesis|
|Appears in Collections:||[會計學系] 學位論文|
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