ESTIMATING RISK-RETURN RELATIONSHIPS - AN ANALYSIS OF MEASURES

• 成果类型: Note
• 署名作者: BAUCUS, DA; GOLEC, JH; COOPER, JR
• 署名单位: Clark University
• 刊物名称: STRATEGIC MANAGEMENT JOURNAL
• ISSN/ISSBN: 0143-2095
• DOI: 10.1002/smj.4250140506
• 发表日期: 1993
• 页码: 387-396
• 关键词: FINANCIAL PERFORMANCE; ACCOUNTING RETURNS; RISK; RISK PARADOX; Risk measures

摘要

We show that the risk-return paradox can be partly explained by the choice of accounting risk and return measures. Returns computed with equity or assets from End-of-Period (EOP) annual reports produce negative risk-return associations, while measures calculated using Beginning-of-Period (BOP) equity or assets yield more positive relationships. The likelihood of reporting negative relationships using EOP methods is accentuated by dividing samples at median returns. Below-median firms suffer losses and may appear to have lower and more variable returns than above-median firms, simply because of EOP methods. Our results show that mean and variance measures are unstable and risk-return relationships vary inversely the number of firms reporting mean losses.