SYSTEMATIC RISK DETERMINANTS
SYSTEMATIC RISK DETERMINANTS

Author(s): Helena Majdúchová, Bernadeta Siváková, Jakub Kintler
Subject(s): Business Economy / Management, Accounting - Business Administration
Published by: Masarykova univerzita nakladatelství
Keywords: return risk; beta coefficient; alternative approaches; panel data; simple linear regression;
Summary/Abstract: In case of the non-tradable companies, the systematic risk cannot be received through the movements of the prices traded on the stock market. Therefore, in practise there are also different approaches for determining the beta coefficient. Based on the relevant researches, the systematic risk reflects both external and internal factors and their identification offers new alternative approaches for its quantification. For example, the accounting information reflects all events and decisions. However, they include not only the systematic risk, but also the specific one. Therefore, it is likely that the accounting information will not be in a perfect correlation with the beta coefficient. Despite of this, the accounting information are considered as the most appropriate approach of defining the overall risk of the company. The aim of the paper is to define the determinants that affect the determination of systematic risk by testing the selected accounting variables.

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