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Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk

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  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. William P. Dukes & Oswald D. Bowlin, 1993. "Valuation of Closely-Held Firms: Another Look," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 2(3), pages 189-202, Summer.
  3. Terry S. Walter, 1984. "Australian Takeovers: Capital Market Efficiency and Shareholder Risk and Return," Australian Journal of Management, Australian School of Business, vol. 9(1), pages 63-118, June.
  4. Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
  5. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  6. William P. Dukes, 2001. "Where Do We Stand on Closely-Held Firm Valuation?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 6(1), pages 129-155, Spring.
  7. Groh, Alexander P. & Gottschalg, Oliver, 2009. "The opportunity cost of capital of US buyouts," IESE Research Papers D/780, IESE Business School.
  8. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
  9. A. D. Castagna & Z. P. Matolcsy, 1978. "The Relationship Between Accounting Variables and Systematic Risk and the Prediction of Systematic Risk," Australian Journal of Management, Australian School of Business, vol. 3(2), pages 113-126, October.
  10. Chu, Chien Chi & Chang, Chiao Yi & Zhou, Rui Jie, 2021. "The nonlinear connection between 52-week high and announcement effect of insider trading — Evidence from mainland China and Taiwan," Economic Modelling, Elsevier, vol. 94(C), pages 1043-1057.
  11. Abdul Rahman & Lawrence Kryzanowski & Ah Boon Sim, 1987. "Systematic Risk In A Purely Random Market Model: Some Empirical Evidence For Individual Public Utilities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 143-152, June.
  12. Stein, Jeremy C, 1996. "Rational Capital Budgeting in an Irrational World," The Journal of Business, University of Chicago Press, vol. 69(4), pages 429-455, October.
  13. N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
  14. Ray Ball & Philip Brown & R. R. Officer, 1976. "Asset Pricing in the Australian Industrial Equity Market," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 1-32, April.
  15. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
  16. Gordon M. Bodnar & M.H. Franco Wong, 2000. "Estimating Exchange Rate Exposures: Some "Weighty" Issues," NBER Working Papers 7497, National Bureau of Economic Research, Inc.
  17. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
  18. J. Sarmiento-Sabogal & M. Sadeghi, 2015. "Estimating the cost of equity for private firms using accounting fundamentals," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 288-301, January.
  19. Gordon V. Karels & William H. Sackley, 1993. "The Relationship Between Market And Accounting Betas For Commercial Banks," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 59-72, March.
  20. Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
  21. Nicolas Krauss & Ingo Walter, 2009. "Can Microfinance Reduce Portfolio Volatility?," Economic Development and Cultural Change, University of Chicago Press, vol. 58(1), pages 85-110, October.
  22. Kyre Dane Lahtinen & Chris M. Lawrey & Kenneth J. Hunsader, 2018. "Beta dispersion and portfolio returns," Journal of Asset Management, Palgrave Macmillan, vol. 19(3), pages 156-161, May.
  23. Pereiro, Luis E., 2001. "The valuation of closely-held companies in Latin America," Emerging Markets Review, Elsevier, vol. 2(4), pages 330-370, December.
  24. Berkowitz, Michael K., 1998. "Estimating the market risk for nontraded securities: An application to Canadian public utilities," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 171-179.
  25. Atif Ellahie, 2021. "Earnings beta," Review of Accounting Studies, Springer, vol. 26(1), pages 81-122, March.
  26. Philip Brown & Frank J. Finn & Phillip Hancock, 1977. "Dividend Changes, Earnings Reports, And Share Prices: Some Australian Findings," Australian Journal of Management, Australian School of Business, vol. 2(2), pages 127-147, October.
  27. Carl F. Luft & Bruce D. Fielitz, 1986. "An Empirical Test Of The Commodity Option Pricing Model Using Ginnie Mae Call Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 137-151, June.
  28. Terrence J. Shevlin, 1981. "Measuring Abnormal Performance on the Australian Securities Market," Australian Journal of Management, Australian School of Business, vol. 6(1), pages 67-108, June.
  29. Ray Ball & Philip Brown & Frank J. Finn, 1977. "Share Capitalization Changes, Information, And the Australian Equity Market," Australian Journal of Management, Australian School of Business, vol. 2(2), pages 105-125, October.
  30. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
  31. Schäffner, Daniel, 2007. "Bestimmung des Ausgangsniveaus der Kosten und des kalkulatorischen Eigenkapitalzinssatzes für eine Anreizregulierung des Energiesektors," WIK Discussion Papers 293, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
  32. K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
  33. Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
  34. Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009. "Predicting Betas: Two new methods," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  35. William S. Hopwood & Thomas F. Schaefer, 1988. "Incremental information content of earnings†and nonearnings†based financial ratios," Contemporary Accounting Research, John Wiley & Sons, vol. 5(1), pages 318-342, September.
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