Corporate risk returns and economic outlook, Australian data

Paper


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

Corporate risk returns and economic outlook, Australian data

Presentation TypePaper
Authors
AuthorSantacruz, Lujer
Journal or Proceedings TitleProceedings of the 29th Australasian Finance and Banking Conference (AFBC 2016)
ERA Conference ID50275
Year2016
Place of PublicationSydney, Australia
Web Address (URL) of Paperhttps://www.business.unsw.edu.au/about/schools/banking-finance/seminars-conferences/australasian-finance-banking-conference/past-conferences/29th-australasian-finance-and-banking-conference
Conference/Event29th Australasian Finance and Banking Conference (AFBC 2016)
Australasian Finance & Banking Conference
Event Details
29th Australasian Finance and Banking Conference (AFBC 2016)
Event Date
14 to end of 16 Dec 2016
Event Location
Sydney, Australia
Event Details
Australasian Finance & Banking Conference
AFBC
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.

Keywordsrisk and return, corporate risk taking, accounting returns, Bowman paradox
ANZSRC Field of Research 2020380107. Financial economics
Public Notes

No evidence of copyright restrictions preventing display of paper.

Byline AffiliationsSchool of Commerce
Institution of OriginUniversity of Southern Queensland
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https://research.usq.edu.au/item/q3xvw/corporate-risk-returns-and-economic-outlook-australian-data

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