Economics and Business Review

ISSN 2392-1641
e-ISSN 2450-0097

Poznań University of Economics - Poland

Index Copernicus Journal Master List

Polska Bibliografia Naukowa

BazEkon

Ebsco

Proquest

Creaive Commons

Volume 3 (17) Number 4 pp. 55-65

Anna Rutkowska-Ziarko1, Christopher Pyke2

1. University of Warmia and Mazury in Olsztyn, The Faculty of Economics, Department of Quantitative Methods, Olsztyn, Poland
2
. Lancashire School of Business and Enterprise, University of Central Lancashire, Preston, United Kingdom

The development of downside accounting beta as a measure of risk

Abstract:

This paper develops a new method for measuring market risk called downside accounting beta (DAB). To test the validity of DAB the method is applied to the financial data for 14 food companies listed on the Warsaw Stock Exchange during  a 6-year period. DAB calculates how changes in the profitability of the whole sector affects the profitability of a given company. The paper concludes that when calculating DAB using Return on Assets (ROA) and Return on Equity (ROE) there is a positive correlation with market betas. The practical implication of this research is that investors, owners and managers can use DAB to calculate the systematic risk of companies not listed on stock markets and consequently to identify the levels of risk associated with companies within the sector.
 

pub/2017_4_55.pdf Full text available in in Adobe Acrobat format:
http://www.ebr.edu.pl/volume17/issue4/2017_4_55.pdf
Keywords: downside accounting betas, downside risk, lower partial moments, semi‑variance, capital asset pricing, food company sector

DOI: 10.18559/ebr.2017.4.4

For citation:

MLA Rutkowska-Ziarko, Anna, and Christopher Pyke. "The development of downside accounting beta as a measure of risk." Economics and Business Review EBR 17.4 (2017): 55-65. DOI: 10.18559/ebr.2017.4.4
APA Rutkowska-Ziarko, A., & Pyke, C. (2017). The development of downside accounting beta as a measure of risk. Economics and Business Review EBR 17(4), 55-65 DOI: 10.18559/ebr.2017.4.4
ISO 690 RUTKOWSKA-ZIARKO, Anna, PYKE, Christopher. The development of downside accounting beta as a measure of risk. Economics and Business Review EBR, 2017, 17.4: 55-65. DOI: 10.18559/ebr.2017.4.4