作者：Ball, Ray; Sadka, Gil; Tseng, Ayung
作者单位：University of Chicago; University of Texas System; University of Texas Dallas; Indiana University System; Indiana University Bloomington
摘要：We revisit the literature on using accounting earnings to estimate firm-level systematic risk, using macroeconomic indicators rather than listed-firm indexes to measure aggregate risk. Conventional listed-firm indexes reflect an unrepresentative subset of aggregate assets and thus are expected to substantially mismeasure aggregate and systematic risk (J Financ Econ 4, 129-176, Roll 1977). That choice dictates using earnings rather than returns to measure firm-level outcomes. Earnings and macro...
