The relationship between firm performance and systematic risk. A fundamental beta approach

• Κύριος συγγραφέας: Κουκής, Ιωάννης
• Άλλοι συγγραφείς: Σόγιακας, Βασίλειος
• Μορφή: Thesis
• Γλώσσα: English
• Έκδοση: 2020
• Θέματα: Capital Asset Pricing Model (CAPM); Systematic risk; Financial indicators; Sentiment; Μοντέλο αποτίμησης περιουσιακών στοιχείων; Συστηματικός κίνδυνος; Χρηματοοικονομικοί δείκτες; Ανάλυση συναισθήματος

In this disseration the relationship between firm’s performance and its systematic risk was at first stage investigated. The systematic risk was captured as an approach of the Capital Asset Pricing Model, which is one of the most important and most commonly used risk measurements. The beta coefficient of the CAPM then represents the systematic risk. In the context of the analysis of the factors influencing the systematic risk, which attribute to firm’s performance, financial indicators were used. These indicators refer to liquidity, size, operational efficiency, financial leverage, market valuation, profitability and business growth. The investigation was based on 1165 companies from 12 sectors and114 industries over the period of 2011up to 2018. Founded on the estimation results, companies’ systematic risk is positively correlated with profitability, size, operating risk, financial leverage, while the systematic risk is negatively correlated with the systematic risk for the previous year. No statistically significant relationship among systematic risk and liquidity was found, while the findings suggest that the systemic risk is negatively correlated with growth. Founded on the sectoral analysis, firm and year-fixed effects in the variability of the systematic risk are observed, while the statistical significance of the estimated coefficients of the finacial indicators demonstrated flactuations across the sectors. In the second stage, this disseration aims to examine the impact of the sentiment scores on the systematic risk. The stock which was regarded in the analysis refers to Apple company, which its systematic risk defines high volatility over time. Founded on the estimated results, the emotion that can be generated from the firm’s news is negatively correlated with the systematic risk.