Disclosure of market risk or accounting measures of risk: an empirical study

Khaled Elmoatasem Abdelghany

25 citations0/0 files storedManagerial Auditing Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk Management in Financial Firms Auditing, Earnings Management, Governance Accounting Theory and Financial Reporting

Abstract

PurposeIn 1997, the Securities and Exchange Commission (SEC) issued Financial Reporting Release No. 48. FFR No. 48 requires that companies disclose both qualitative and quantitative market risk information for risks of loss arising from adverse changes in interest rates, foreign currency rates, commodity prices, and equity prices. This research focuses on the required disclosure of market risk related to equity prices which is commonly known as Beta in the capital asset pricing model (CAPM).Design/methodology/approachA sample of 323 companies listed in NYSE was selected to investigate the relationship between the market risk and the accounting measures of risk in order to determine the accounting variables that should be disclosed as a substitute of market risk, if there is no data, for the companies to fulfill the SEC requirements.FindingsBy identifying the accounting measures most closely associated with market Beta, the financial manager may be able to influence the Beta value by changing the company's structure as summarized in the successful accounting – determined risk measures. Such finding may also be used to estimate a company's Beta value in situations where historical stock market price data is limited or not available. An example of this later circumstance occurs in the case of initial public offer (IPO). Market price data may also be limited in acquisition cases, where the acquisition target is a subsidiary of a larger company.Originality/valueThe results of this study address these finance and accounting practice situations.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 25 citations exist upstream.

References

1992The Cross-Section of Expected Stock Returns 1996Multifactor Explanations of Asset Pricing Anomalies 1968The Information Content of Annual Earnings Announcements 1985Differential Information and Security Market Equilibrium 1970The Association Between Market Determined and Accounting Determined Risk Measures.1997Financial markets and corporate strategy 1996The CAPM is Wanted, Dead or Alive 1995On Equilibrium Pricing under Parameter Uncertainty

Cited by

2009Value‐relevance of foreign‐exchange and interest‐rate derivatives disclosure 2011A Survey on the Usage of Derivatives and Their Effecton Cost of Equity Capital 2011Risk Reporting Incentives: A Cross-Country Study

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.