A comparison of fundamental and historical beta in assessment of systematic risk Evidence from Tehran Security Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Hasan Ghalibaf Asl ¹ , Sahar Salmalian ² , محمود پاکباز کتج ³

1 - Associate prof of financial management, Financial Department, Faculty of management, Alzahra university, Tehran, Iran
2 - MA Student, Financial Department, Faculty of Financial Sciences, kharazmi University, Tehran, Iran.
3 - Master of Financial Management, Department of Finance, Kharazmi University of Iran. (Corresponding Author)

Received: 1970-01-01 Accepted : 1970-01-01 Published : 1970-01-01

Keywords: fundamental beta, historical beta, systematic risk, information accounting,

Abstract :

One of the most important aspects of investing is the risk of that investment. considering systematic and unsystematic risk as total risk, a part of risk that not deleted by diversification is called systematic risk. The purpose of this research is a comparison between two criteria of systematic risk assessment, the fundamental beta and historical beta. before that, the effect of financial statements information on the historical beta is investigated. For this purpose, the data of 33 companies that is selected by sifting method were collected during the period 1386-1395 using econometric methods of time series and pooled data. The results show that among the 7 accounting variables tested in this study (financial leverage, operating leverage, liquidity, fluctuation of earnings per share, percentage of dividend, size, and growth), 3 variables, namely, financial leverage, liquidity and size of firm affected The historical beta, and the historical beta, despite easiness in calculation, has a better performance than fundamental beta

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