Managerial Finance: Volume 33 Issue 8

On the relation of systematic risk and accounting variables

Chei‐Chang Chiou, Robert K. Su

This paper seeks to use an analytical approach to examine the relation of systematic risk and accounting variables.

Do macroeconomic factors subsume market anomalies in long investment horizons?

Pin‐Huang Chou, Wen‐Shen Li, S. Ghon Rhee, Jane‐Sue Wang

The main purpose of this study is to examine whether macroeconomic variables could subsume the size and book‐to‐market (BM) anomalies for longer‐return intervals using Tokyo Stock…

Assessing the risk relevance of accounting variables in diverse economic conditions

Mark Brimble, Allan Hodgson

This paper aims to examine the contemporary association between accounting information and a number of measures of systematic (beta) risk that incorporate dynamic market features…

Size, book/market ratio and risk factor returns: evidence from China A‐share market

Jianguo Chen, Kwong Leong Kan, Hamish Anderson

The purpose of this paper is to investigate the risk factors for A‐shares listed on both Shenzhen and Shanghai Stock Exchange in China using variables from Akgun and Gibson.

Stable betas, size, earnings‐to‐price, book‐to‐market and the validity of the capital asset pricing model

Liming Guan, Don R. Hansen, Shannon L. Leikam, J. Shaw

Prior work claims that the CAPM is mis‐specified based on evidence that beta and idiosyncratic variables such as size, book‐to‐market, and price‐earnings ratios combine to explain…