Financial determinants of market risk in companies listed on HOSE in the period of 2009-2013
Abstract
The thesis focus on examine the accounting determinants of market risk of
listed companies on HOSE. The sample includes 94 companies from all 20 sectors.
Data is collected in five year (from 2009 to 2013). We also use some prior studies as
the reference to apprehend about the market risk and analyze the empirical results.
By using quick ratio, debt ratio, asset turnover, ROA, the natural logarithm of
total assets and annual percentage change in EBIT as the proxies for accounting and
beta as a proxy for market risk to estimating the determinants of market risk, we had
come out with some interesting findings. First, not all accounting variables mentioned
in this study determine market risk of companies listed on HOSE. There are only
three over six variables that really influence beta which are liquidity, profitability and
firm size. Although those variables are found to have impact on market risk, they
hardly determine it. Hence, there may be some other factors such as psychology or
macro-economic factors that affect the market risk. In addition, we had come to the
conclusion about the market behavior that investors seemed to pay more attention on
technical analysis than to the financial statement information in making an investment
decision.
Keywords: market risk, systematic risk, accounting determinants, beta, HOSE,
CAPM