The relation between systematic risk and the microeconomic factors of firms.

摘要

The purpose of this paper is to link Systematic Risk and the microeconomic factors of firms. By maximizing a firm's value, assuming that the firm chooses its output quantity as the decision variable, a microeconomic model for Systematic Risk can be developed. 80 firms over 10 industries with stock returns from 1966 to 1985 are used in the estimation. Factors such as quantity and fixed costs are found to be significant.; A linear factor model for Beta is also estimated. The factors are: Labor-to-Capital, Durable or Nondurable Goods, Concentration Ratio, Operating Leverage, Equity-to-Firm Value, Market Share, Firm Size, P/E Ratio and Dividend Yields. It is found that factors with price information (P/E Ratio, Dividend Yields, and Equity-to-Firm Value) give the best prediction of Beta.; Finally, a multivariate test of CAPM is conducted using three different models of Beta (i.e., Constant Beta, the Microeconomic, and the Linear factors), with four different assumptions of Zero-Beta portfolio returns (i.e., constant, a multiple of the Risk Free Rate, the Risk Free Rate Plus a Premium, the Risk Free rate). The results show that CAPM is not rejected at the 1% significance level in all three models.