Asset and systematic risk

Transcription

1 Africn Journl of Business Mngement Vol. 6(9, pp , 7 Mrch, 2012 Avilble online t DOI: /AJBM ISSN Acdemic Journls Full Length Reserch Pper Asset nd systemtic risk Kheder Alghi Deprtment of Accounting, Fculty of Economics, Armeni Stte Agrrin University, Armeni. E-mil: khederlghi@gmil.com. Accepted 12 December, 2011 In finncil ccounting, ssets re economic resources. Anything tngible or intngible tht is cpble of being owned or controlled to produce vlue nd tht is held to hve positive economic vlue is considered n sset. Simply stted, ssets represent ownership of vlue tht cn be converted into csh (lthough csh itself is lso considered n sset. The study nd understnding of risk is of prmount importnce to ny discussion of the vlue of prticulr firm or enterprise. Most of the bsic finncil mngement ddresses risk from the perspective of portfolio or the finncil nd operting chrcteristics of the firm. Systemtic risk nd sset for 58 compnies (2006 to 2009 from Tehrn Stock Exchnge is clculted within 12-month finncil period by using the sttistic softwre progrms of SPSS nd Excel. In this study, sset is considered s n independent vrible, nd systemtic risk (β is considered s dependent vrible. According to the results, sset hs effect on the systemtic risk of listed compnies in Tehrn Stock Exchnge. Key words: Cpitl structure, firm size, systemtic risk, sset, cost of cpitl, rte of return. INTRODUCTION The theory of the firm consists of number of economic theories tht describe the nture of the firm, compny, or corportion, including its existence, behvior, structure, nd reltionship to the mrket. The theory of the firm ims to nswer these questions: i. Existence why do firms emerge, why re not ll trnsctions in the economy medited over the mrket? ii. Boundries why is the boundry between firms nd the mrket locted exctly there s to size nd output vriety? Which trnsctions re performed internlly nd which re negotited on the mrket? iii. Orgniztion why re firms structured in such specific wy, for exmple s to hierrchy or decentrliztion? Wht is the interply of forml nd informl reltionships? iv. Heterogeneity of firm ctions/performnces wht drives different ctions nd performnces of firms? Firms exist s n lterntive system to the mrket-price mechnism when it is more efficient to produce in nonmrket environment. For exmple, in lbor mrket, it might be very difficult or costly for firms or orgniztion to engge in production when they hve to hire nd fire their workers depending on demnd/supply conditions. It might lso be costly for employees to shift compnies everydy looking for better lterntives. Thus, firms engge in long-term contrct with their employees to minimize the cost. The First World Wr period sw chnge of emphsis in economic theory wy from industry-level nlysis which minly included nlyzing mrkets to nlysis t the level of the firm, s it becme incresingly cler tht perfect competition ws no longer n dequte model of how firms behved. Economic theory till then hd focused on trying to understnd mrkets lone nd there hd been little study on understnding why firms or orgniztions exist. Mrkets re minly guided by prices s illustrted by vegetble mrkets where buyer is free to switch sellers in n exchnge. The im of this study is the effect of sset in the systemtic risk of listed compnies in Tehrn Stock Exchnge.

2 Alghi 3505 MATERIALS AND METHODS Systemtic risk per shre by estblishing liner reltionship between the mrket portfolio returns s independent vribles nd shre returns s the dependent vrible is derived. Systemtic risk nd sset for 58 compnies (2006 to 2009 from Tehrn Stock Exchnge is clculted within 12-month finncil period by using the sttistic softwre progrms of SPSS nd Excel. In this study, sset is considered s independent vribles, nd systemtic risk (β is considered s dependent vrible. Reserch hypothesis is s follows: H 0: Asset hs no effect on the systemtic risk of listed compnies in Tehrn stock exchnge. H 1: Asset hs effect on the systemtic risk of listed compnies in Tehrn stock exchnge. While SIG is 0.05, H 0 is rejected. Otherwise there is no dequte reson for rejecting H 0. RESULTS AND DISCUSSION In the finncil ccounting sense of the term, it is not necessry to be ble to leglly enforce the sset's benefit for qulifying resource s being n sset, provided the entity cn control its use by other mens. Asset chrcteristics i. The probble present benefit involves cpcity, singly or in combintion with other ssets, in the cse of profit oriented enterprises, to contribute directly or indirectly to future net csh flows, nd, in the cse of not-for-profit orgniztions, to provide services; ii. The entity cn control ccess to the benefit; iii. The trnsction or event giving rise to the entity's right to, or control of, the benefit hs lredy occurred. It is importnt to understnd tht in n ccounting sense, n sset is not the sme s ownership. Assets re equl to "equity" plus "libilities". The ccounting eqution reltes ssets, libilities, nd owner's equity: Assets = Libilities +Stockholder's Equity (owner's equity The ccounting eqution is the mthemticl structure of the blnce sheet. Assets re listed on the blnce sheet. Similrly, in economics, n sset is ny form in which welth cn be held. Probbly the most ccepted ccounting definition of sset is the one used by the Interntionl Accounting Stndrds Bord. The following is quottion from the IFRS Frmework: "An sset is resource controlled by the enterprise s result of pst events nd from which future economic benefits re expected to flow to the enterprise." Assets re formlly controlled nd mnged within lrger orgniztions vi the use of sset trcking tools. These monitor the purchsing, upgrding, servicing, licensing, disposl, etc., of both physicl nd non-physicl ssets. In compny's blnce sheet, certin divisions re required by generlly ccepted ccounting principles (GAAP, which vry from country to country. Current ssets re csh nd other ssets expected to be converted to csh, sold, or consumed either in yer or in the operting cycle (whichever is longer, without disturbing the norml opertions of business. These ssets re continully turned over in the course of business during norml business ctivity. There re 5 mjor items included into current ssets: i. Csh nd csh equivlents - it is the most liquid sset, which includes currency, deposit ccounts, nd negotible instruments (for exmple, money orders, bnk drfts. ii. Short-term investments include securities bought nd held for sle in the ner future to generte income on short-term price differences (trding securities. iii. Receivbles usully reported s net of llownce for uncollectible ccounts. iv. Inventory trding these ssets is norml business of compny. The inventory vlue reported on the blnce sheet is usully the historicl cost or fir mrket vlue, whichever is lower. This is known s the lower of cost or mrket rule. v. Prepid expenses - these re expenses pid in csh nd recorded s ssets before they re used or consumed ( common exmple is insurnce. See lso djusting entries. The phrse net current ssets (lso clled working cpitl, is often used nd refers to the totl of current ssets less the totl of current libilities - often simply referred to s "investments". Long-term investments re to be held for mny yers nd re not intended to be disposed of in the ner future. This group usully consists of four types of investments: i. Investments in securities such s bonds, common stock, or long-term notes. ii. Investments in fixed ssets not used in opertions (for exmple, lnd held for sle. iii. Investments in specil funds (for exmple, sinking funds or pension funds. Different forms of insurnce my lso be treted s long term investments. Also referred to s property, plnt, nd equipment (PPE, these re purchsed for continued nd long-term use in erning profit in business. This group includes s n sset, lnd, buildings, mchinery, furniture, tools, nd certin wsting resources for exmple, timberlnd nd minerls. They re written off ginst profits over their nticipted life by chrging deprecition expenses (with exception of lnd ssets. Accumulted deprecition is shown in the fce of the blnce sheet or in the notes. These re lso clled cpitl ssets in

3 3506 Afr. J. Bus. Mnge. mngement ccounting. Intngible ssets lck physicl substnce nd usully re very hrd to evlute. They include ptents, copyrights, frnchises, goodwill, trdemrks, trde nmes, etc. These ssets re (ccording to US GAAP mortized to expense over 5 to 40 yers with the exception of goodwill. Tngible ssets re those tht hve physicl substnce nd cn be touched, such s currencies, buildings, rel estte, vehicles, inventories, equipment, nd precious metls. In finncil ccounting, ssets re economic resources. Anything tngible or intngible tht is cpble of being owned or controlled to produce vlue nd tht is held to hve positive economic vlue is considered n sset. Simply stted, ssets represent ownership of vlue tht cn be converted into csh (lthough, csh itself is lso considered n sset. The blnce sheet of firm records the monetry vlue of the ssets owned by the firm. It is money nd other vlubles belonging to n individul or business. Two mjor sset clsses re tngible ssets nd intngible ssets. Tngible ssets contin vrious subclsses, including current ssets nd fixed ssets. Current ssets include inventory, while fixed ssets include such items s buildings nd equipment. Intngible ssets re nonphysicl resources nd rights tht hve vlue to the firm becuse they give the firm some kind of dvntge in the mrket plce. Exmples of intngible ssets re goodwill, copyrights, trdemrks, ptents nd computer progrms, nd finncil ssets, including such items s ccounts receivble, bonds nd stocks. The study nd understnding of risk is of prmount importnce to ny discussion of the vlue of prticulr firm or enterprise. Most of bsic finncil mngement ddresses risk from the perspective of portfolio or the finncil nd operting chrcteristics of the firm. The two re often loosely connected nd interreltionships ignored. Systemtic risk of firm is ccomplished by decomposition of the firm s bet. Finncil theory is predicted on the notion tht the gol of the firm is to mximize vlue nd thus firms configure their blnce sheets to chieve this gol. The selected configurtion of ssets nd libilities determines the totl risk of the firm. Portfolio theory shows us tht the relevnt risk is the systemtic risk s investors re ble to diversify wy the unsystemtic portion of totl risk. Severl uthors, in their study of systemtic risk, hve derived decompositions of bet providing insight into the finncil nd economic fctors ffecting bet. Hmd (1972, Rubenstein (1973 nd Mndelker nd Rhee (1984 hve prtitioned bet into operting risk nd finncil risk. In stock exchnges, informtion bout the systemtic risk of common stock is the most importnt subject. In investment, risk nd return hve key roles. Rte risk is relted to the type of investment. Sving in bnk re with low risk nd prticiption bonds nd common stock re with moderte nd high risks. Systemtic risk is due to risk fctors tht ffect the entire mrket such s investment policy chnges, foreign investment policy, chnge in txtion cluses, shift in socio-economic prmeters, globl security threts nd mesures, etc. Unsystemtic risk is due to fctors specific to n industry or compny like lbor unions, product ctegory, reserch nd development, pricing, mrketing strtegy, etc. If one wnts to determine the common stocks vlue ccording to its systemtic risk, bet coefficient should be used. Brth et l. (2007 show tht firms with higher finncil sttement trnsprency, s mesured by the covrince between ernings nd returns, hve lower expected returns nd systemtic risk. Accounting mesures of firm-level risk hve predictive power for firms' bets with mrket-wide csh flows, nd this predictive power rises from the behvior of firm's csh flows. The systemtic risks of stocks with similr ccounting chrcteristics re primrily driven by the systemtic risks of their fundmentls. In finncil ccounting, ssets re economic resources. Anything tngible or intngible tht is cpble of being owned or controlled to produce vlue nd tht is held to hve positive economic vlue is considered n sset. Simply stted, ssets represent ownership of vlue tht cn be converted into csh (lthough, csh itself is lso considered n sset. The blnce sheet of firm records the monetry vlue of the ssets owned by the firm. It is money nd other vlubles belonging to n individul or business. Two mjor sset clsses re tngible ssets nd intngible ssets. Tngible ssets contin vrious subclsses, including current ssets nd fixed ssets. Current ssets include inventory, while fixed ssets include such items s buildings nd equipment. Intngible ssets re nonphysicl resources nd rights tht hve vlue to the firm becuse they give the firm some kind of dvntge in the mrket plce. Exmples of intngible ssets re goodwill, copyrights, trdemrks, ptents nd computer progrms, nd finncil ssets, including such items s ccounts receivble, bonds nd stocks. Finncil ccountncy finncil ccounting is the field of ccountncy concerned with the preprtion of finncil sttements for decision mkers, such s stockholders, suppliers, bnks, employees, government gencies, owners, nd other stkeholders. Finncil cpitl mintennce cn be mesured in either nominl monetry units or units of constnt purchsing power. The fundmentl need for finncil ccounting is to reduce principl-gent problem by mesuring nd monitoring gents' performnce nd reporting the results to interested users. Finncil ccountncy is used to prepre ccounting informtion for people outside the orgniztion or not involved in the dy-to-dy running of the compny. Mngement ccounting provides ccounting informtion to help mngers mke decisions to mnge the business. In short, finncil ccounting is the process of summrizing finncil dt tken from n orgniztion's ccounting records nd publishing in the form of nnul (or more frequent reports for the benefit of people outside the orgniztion.

4 Alghi 3507 Goodwill is n ccounting concept mening the vlue of n entity over nd bove the vlue of its ssets. The term ws originlly used in ccounting to express the intngible but quntifible "prudent vlue" of n ongoing business beyond its ssets, resulting perhps from the reputtion the firm enjoyed with its clients. Goodwill in finncil sttements rises when compny is purchsed for more thn the fir vlue of the identifible net ssets of the compny. The difference between the purchse price nd the sum of the fir vlue of the net ssets is by definition, the vlue of the "goodwill" of the purchsed compny. The cquiring compny must recognize goodwill s n sset in its finncil sttements nd present it s seprte line item on the blnce sheet, ccording to the current purchse ccounting method. In this sense, goodwill serves s the blncing sum tht llows one firm to provide ccounting informtion regrding its purchse of nother firm for price substntilly different from its book vlue. Goodwill cn be negtive, rising where the net ssets t the dte of cquisition, firly vlued, exceed the cost of cquisition. Negtive goodwill is recognized s gin to the extent tht it exceeds lloctions to certin ssets. Under current ccounting stndrds, it is no longer recognized s n extrordinry item. For exmple, softwre compny my hve net ssets (consisting primrily of miscellneous equipment, nd ssuming no debt vlued t $ 1 million, but the compny's overll vlue (including brnd, customers, intellectul cpitl is vlued t $ 10 million. Anybody buying tht compny would book $ 10 million in totl ssets cquired, comprising $ 1 million physicl ssets, nd $ 9 million in goodwill. In privte compny, goodwill hs no predetermined vlue prior to the cquisition; its mgnitude depends on the two other vribles by definition. A publicly trded compny, by contrst, is subject to constnt process of mrket vlution, so goodwill will lwys be pprent. While business cn invest to increse its reputtion, by dvertising or ssuring tht its products re of high qulity, such expenses cnnot be booked s contributing to goodwill. There is hence disconnect; goodwill from cquisitions cn be booked, since it is derived from mrket or purchse vlution, but similr internl spending cnnot be booked, lthough, it will be recognized by investors who compre compny's mrket vlue with its book vlue. There is distinction between two types of goodwill depending upon the type of business enterprise: institutionl goodwill nd professionl prctice goodwill. Furthermore, goodwill in professionl prctice entity my be ttributed to the prctice itself nd to the professionl prctitioner. A trdemrk, trde mrk, or trde-mrk is distinctive sign or indictor used by n individul, business orgniztion, or other legl entity to identify tht the products or services to consumers with which the trdemrk ppers originte from unique source, nd to distinguish its products or services from those of other entities. A trdemrk is typiclly nme, word, phrse, logo, symbol, design, imge, or combintion of these elements. There is lso rnge of non-conventionl trdemrks comprising mrks which do not fll into these stndrd ctegories, such s those bsed on color, smell, or sound. The owner of registered trdemrk my commence legl proceedings for trdemrk infringement to prevent unuthorized use of tht trdemrk. However, registrtion is not required. The owner of common lw trdemrk my lso file suit, but n unregistered mrk my be protectble only within the geogrphicl re within which it hs been used or in geogrphicl res into which it my be resonbly expected to expnd. A ptent is form of intellectul property. It consists of set of exclusive rights grnted by sovereign stte to n inventor or their ssignee for limited period of time in exchnge for the public disclosure of n invention. The procedure for grnting ptents, the requirements plced on the ptentee, nd the extent of the exclusive rights vry widely between countries ccording to ntionl lws nd interntionl greements. Typiclly, however, ptent ppliction must include one or more clims defining the invention which must meet the relevnt ptentbility requirements such s novelty nd nonobviousness. The exclusive right grnted to ptentee in most countries is the right to prevent others from mking, using, selling, or distributing the ptented invention without permission. A computer progrm (lso softwre, or just progrm is sequence of instructions written to perform specified tsk with computer. A computer requires progrms to function, typiclly executing the progrm's instructions in centrl processor. The progrm hs n executble form tht the computer cn use directly to execute the instructions. The sme progrm in its humnredble source code form, from which executble progrms re derived, enbles progrmmer to study nd develop its lgorithms. Computer source code is often written by computer progrmmers. Source code is written in progrmming lnguge tht usully follows one of two min prdigms: impertive or declrtive progrmming. Source code my be converted into n executble file (sometimes clled n executble progrm or binry by compiler nd lter executed by centrl processing unit. Alterntively, computer progrms my be executed with the id of n interpreter, or my be embedded directly into hrdwre. Computer progrms my be ctegorized long functionl lines: system softwre nd ppliction softwre. Two or more computer progrms my run simultneously on one computer, process known s multitsking. Accounts receivble lso known s debtors, is money owed to business by its clients (customers nd shown on its blnce sheet s n sset. It is one of series of ccounting trnsctions deling with the billing of customer for goods nd services tht the customer hs ordered. In finnce, bond is debt security, in which the uthorized issuer

5 3508 Afr. J. Bus. Mnge. owes the holders debt nd, depending on the terms of the bond, is obliged to py interest (the coupon to use nd/or to repy the principl t lter dte, termed mturity. A bond is forml contrct to repy borrowed money with interest t fixed intervls. Thus bond or fixed income is like lon: the holder of the bond is the lender (creditor, the issuer of the bond is the borrower (debtor, nd the coupon is the interest. Bonds provide the borrower with externl funds to finnce long-term investments, or, in the cse of government bonds, to finnce current expenditure. Certifictes of deposit (CDs or commercil pper re considered to be money mrket instruments nd not bonds. Bonds nd stocks re both securities, but the mjor difference between the two is tht (cpitl stockholders hve n equity stke in the compny (tht is, they re owners, wheres bondholders hve creditor stke in the compny (tht is, they re lenders. Another difference is tht bonds usully hve defined term, or mturity, fter which the bond is redeemed, wheres stocks my be outstnding indefinitely. An exception is consol bond, which is perpetuity (tht is, bond with no mturity. The cpitl stock (or just stock of business entity represents the originl cpitl pid into or invested in the business by its founders. It serves s security for the creditors of business since it cnnot be withdrwn to the detriment of the creditors. Stock is different from the property nd the ssets of business which my fluctute in quntity nd vlue. The csh flows of growth stocks re prticulrly sensitive to temporry movements in ggregte stock prices (driven by movements in the equity risk premium, while the csh flows of vlue stocks re prticulrly sensitive to permnent movements in ggregte stock prices (driven by mrket-wide shocks to csh flows. Thus, the high bets of growth stocks with the mrket's discount-rte shocks, nd of vlue stocks with the mrket's csh-flow shocks, re determined by the cshflow fundmentls of growth nd vlue compnies. Growth stocks re not merely "glmour stocks" whose systemtic risks re purely driven by investor sentiment. More generlly, ccounting mesures of firm-level risk hve predictive power for firms' bets with mrket-wide csh flows, nd this predictive power rises from the behvior of firms' csh flows. The systemtic risks of stocks with similr ccounting chrcteristics re primrily driven by the systemtic risks of their fundmentls. They explin the size nd vlue nomlies in stock returns using n economiclly motivted two-bet model. We brek the CAPM bet of stock with the mrket portfolio into two components, one, reflecting news bout the mrket's future csh flows nd two, reflecting news bout the mrket's discount rtes. Asset pricing theory suggests tht the former should hve higher price of risk; thus bet, like cholesterol, comes in bd' nd good' vrieties. Empiriclly, we find tht vlue stocks nd smll stocks hve considerbly higher csh-flow bets thn growth stocks nd lrge stocks, nd this cn explin their higher verge returns. The poor performnce of the CAPM since 1963 is explined by the fct tht growth stocks nd high-pst-bet stocks hve predominntly good bets with low risk prices. We study the risk of vlue nd growth stocks. We find tht time-vrying risk goes in the right direction in explining the vlue premium. Our inference differs from tht of previous studies becuse we sort conditionl bets on the expected mrket risk premium, insted of on the relized mrket excess return. However, we lso find tht this bet-premium covrince is too smll to explin the observed mgnitude of the vlue premium within the conditionl CAPM. In finnce, the bet (β of stock or portfolio is number describing the reltion of its returns with tht of the finncil mrket s whole. The bet coefficient is key prmeter in the cpitl sset pricing model (CAPM. It mesures the prt of the sset's sttisticl vrince tht cnnot be mitigted by the diversifiction provided by the portfolio of mny risky ssets, becuse it is correlted with the return of the other ssets tht re in the portfolio. Bet cn be estimted for individul compnies using regression nlysis ginst stock mrket index. The formul for the bet of n sset within portfolio is: β = Cov Vr ( r ( r, r p p where r mesures the rte of return of the sset, r p mesures the rte of return of the portfolio, nd Cov(r,r p is the covrince between the rtes of return. The portfolio of interest in the CAPM formultion is the mrket portfolio tht contins ll risky ssets, nd so the r p terms in the formul re replced by r m, the rte of return of the mrket. The bet coefficient ws born out of liner regression nlysis. It is linked to regression nlysis of the returns of portfolio (such s stock index (x-xis in specific period versus the returns of n individul sset (y-xis in specific yer. The regression line is then clled the security chrcteristic line (SCL: SCL : r, t = + β r m, t + ε, t α is clled the sset's lph nd β is clled the sset's bet coefficient. Both coefficients hve n importnt role in modern portfolio theory. The SML grphs the results from the cpitl sset pricing model (CAPM formul. The x-xis represents the risk (bet, nd the y-xis represents the expected return. The mrket risk premium is determined from the slope of the SML. The reltionship between β nd required return is plotted on the security mrket line (SML which shows expected return s function of β. The intercept is the

6 Alghi 3509 Tble 1. Results of regression. Vrible Coefficient Std error T-stt Sig. C Asset E β = ASSET LS // dependent vrible is bet, SMPL Rnge: 1 to 58; number of observtions: 58. nominl risk-free rte vilble for the mrket, while the slope is E(R m R f. The security mrket line cn be regrded s representing single-fctor model of the sset price, where Bet is exposure to chnges in vlue of the Mrket. The eqution of the SML is thus: SML : E( Ri R f = β i ( E( RM R f It is useful tool in determining if n sset being considered for portfolio offers resonble expected return for risk. Individul securities re plotted on the SML grph. If the security's risk versus expected return is plotted bove the SML, it is undervlued since the investor cn expect greter return for the inherent risk. And security plotted below the SML is overvlued since the investor would be ccepting less return for the mount of risk ssumed. This expected return on equity, or equivlently, firm's cost of equity, cn be estimted using the cpitl sset pricing model (CAPM. According to the model, the expected return on equity is function of firm's equity bet (β E which, in turn, is function of both leverge nd sset risk (β A : K E = R + β f E ( R M R F where K E = firm's cost of equity; R F = risk-free rte (the rte of return on "risk free investment", for exmple, U.S. Tresury Bonds; R M = return on the mrket portfolio. To estimte bet, one needs list of returns for the sset nd returns for the index; these returns cn be dily, weekly or ny period. Then one uses stndrd formuls from liner regression. The slope of the fitted line from the liner lest-squres clcultion is the estimted Bet. The y-intercept is the lph. Scholes nd Willims (1977 provided model for estimting bets from no synchronous dt. There is n inconsistency between how bet is interpreted nd how it is clculted. The usul explntion is tht it gives the sset voltility reltive to the mrket voltility. If tht were the cse it should simply be the rtio of these voltilities. In fct, the stndrd estimtion uses the slope of the lest squres regression line - this gives slope which is less thn the voltility rtio. Risks cn be reduced in four min wys: voidnce, diversifiction, hedging nd insurnce by trnsferring risk. Systemtic risk lso clled mrket risk or un-diversifible risk is risk of security tht cnnot be reduced through diversifiction. Prticipnts in the mrket, like hedge funds, cn be the source of n increse in systemic risk nd trnsfer of risk to them my, prdoxiclly, increse the exposure to systemic risk - risk which is common to n entire clss of ssets or libilities. The vlue of investments my decline over given time period simply becuse of economic chnges or other events tht impct lrge portions of the mrket. Asset lloction nd diversifiction cn protect ginst systemtic risk becuse different portions of the mrket tend to under perform t different times. This is lso clled mrket risk. For testing the hypothesis of this study, liner regression technique hs been used nd the results of regression re s shown in Tble 1. According to the results in Tble 1, H 0 is not confirmed becuse SIG = 0.037<0.05. Thus, sset hs effect on the systemtic risk of listed compnies in Tehrn Stock Exchnge. REFERENCES Brth ME, Konchitchki Y, Lndsmn (2007.Cost of Cpitl nd Finncil Sttements Trnsprency. Working Pper, Stnford University. Hmd R (1972. The Effect of Firm s Cpitl Structure on the Systemtic Risk of Common Stocks. J. FinnC., pp Mndelker G, Rhee S (1984. The Impct of the Degrees of operting nd Finncil Leverge on Systemtic Risk of Common Stocks. J. Finnc. Qunt. Anl., pp Rubenstein M (1973. A Men-Vrince Synthesis of Corporte Finncil Theory. J. Finn., pp Scholes M, Willims J (1977. Estimting bets from nonsynchronous dt. J. Finnc. Econ., 5 (3: