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1 Ekonomický časopis (Journal of Economics)

1 2017

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QUANTIFICATION OF THE SYSTEMATIC RISK IN INDUSTRIES

100%

Majdúchová H. , Siváková B. , Rybárová D. , Šagátová S.

Ekonomický časopis (Journal of Economics)

2017

tom 65

nr 7

602 – 617

The aim of this paper is to verify systematic risk possibility in an alternative way using the accounting data. The verification is based on the Brimble-Hodgson accounting model, which we tested on a sample of EU-15 companies within ten years in total and separately for each concerned industry. We developed our own model using accounting data due to the more general model applicability, and tested the model on the same sample of a company. We obtained data for the analysis from the Datastream database. The Brimble-Hodgson accounting model could explain 28 – 77% of the variability of systematic risk, and our accounting model explained 21 – 75% of the variability of systematic risk, depending on the sector. The result is to identify determinants affecting systematic risk to individual industries, and formulation of industry-based accounting models, which can be applied in practice.