Leila Farvizi; Sakineh Sojoodi; Hossein Asgharpour; Jafar Haghighat
Abstract
Previous research have been conducted to establish connections between systematic risk and various accounting and financial variables of companies. Many empirical investigations have employed the classical regression method, which is not without its limitations, notably the need to focus on a limited ...
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Previous research have been conducted to establish connections between systematic risk and various accounting and financial variables of companies. Many empirical investigations have employed the classical regression method, which is not without its limitations, notably the need to focus on a limited number of variables in order to maintain an acceptable level of regression degrees of freedom. In order to address this limitation, the present study employs the Bayesian model averaging method. By analyzing data from 55 companies listed on the Tehran Stock Exchange between 2010 and 2023, this study examines the impact of 58 different financial and accounting variables on the systematic risk of these companies, ultimately identifying the key determinants of systematic risk. The estimation results reveal that, among the investigated variables, five variables exert the greatest influence on systematic risk, with company size ranking first. The average coefficient for this variable is positive. Following closely are asset turnover and operational efficiency, which hold the second and third positions, respectively. The average operating efficiency ratio displays a negative coefficient, while the average asset turnover ratio exhibits a positive coefficient. The fourth determinant is the ratio of long-term debt to equity, which has a positive coefficient. Finally, the fifth explanatory variable is the ratio of the company's market value to the book value of its total assets, exerting a negative effect on systematic risk.
