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A Note of Accounting-Based and Market-Based Estimates of Systematic Risk

Published online by Cambridge University Press:  19 October 2009

Nicholas J. Gonedes
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Extract

In Gonedes [5], the results of an empirical analysis of accounting-based and market-based estimates of systematic risk were presented. These results suggested that there is, in general, a “statistically significant” relationship between accounting-based and market-based estimates of systematic risk at the level of individual securities, if the accounting-based estimates are conditional upon first-differences or scaled first-differences of the accounting numbers. The differencing transformation seemed to induce relatively better specified models for the accounting numbers.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 2 , June 1975 , pp. 355 - 365
Copyright
Copyright © School of Business Administration, University of Washington 1975

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References

REFERENCES

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