Corporate risk returns and economic outlook, Australian data

Santacruz, Lujer (2016) Corporate risk returns and economic outlook, Australian data. In: 29th Australasian Finance and Banking Conference (AFBC 2016), 14-16 Dec 2016, Sydney, Australia.

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Abstract

The paper examines the relationship between accounting-based risk and return for Australian listed companies, on an aggregate basis and during economic upturns and downturns. A similar analysis conditioned on economic outlook is carried out for each industry grouping and also for each firm size grouping, recognising that any risk taking strategy would be dependent on the nature of the industry the company belongs to and the size of the firm. A causal regression model of firm risk and lagged return based on the Behavioural Theory of the Firm was utilised. A consistent significant negative relationship between accounting-based risk and return was observed across all industry groupings and firm size groupings except in the case of large companies. The results of the analysis are somewhat inconclusive and largely counterintuitive, consistent with the Bowman paradox on accounting risk-return relationship, but promising paths for research were identified in the paper.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: No evidence of copyright restrictions preventing display of paper.
Faculty / Department / School: Current - Faculty of Business, Education, Law and Arts - School of Commerce
Date Deposited: 22 May 2017 07:28
Last Modified: 14 Jun 2017 04:30
Uncontrolled Keywords: risk and return, corporate risk taking, accounting returns, Bowman paradox
Fields of Research : 14 Economics > 1402 Applied Economics > 140207 Financial Economics
URI: http://eprints.usq.edu.au/id/eprint/30776

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