This thesis examines the relationship between systematic risk and accounting variables for non-traded transportation companies and provides an applicable CAPM framework for estimating the cost of equity capital. I extend previous research by assessing the risk relevance of accounting measures in an international multi-beta asset pricing model. The findings indicate that accounting variables can significantly explain systematic risk in this context. However, the non-significance and the signs of certain variables are contradictory to either theoretical assumptions or previous results. Firm size appears to be a key variable in explaining market betas, though positively correlated to systematic risk. A CAPM-linked framework is used to estimate the cost of equity capital which on average range between 5.5% and 8.7% per annum. It can be shown that they substantially vary across divisions and subsidiaries when broken down to single groups of companies.
Inhaltsverzeichnis (Table of Contents)
- I. Introduction
- II. Background
- A. CAPM and APT - A Review..
- B. The Risk Relevance of Accounting Variables...
- C. The Transportation Sector.....
- III. Empirical Methodology
- A. The Relevant Global Risk Factors....
- B. Estimating beta for Listed Companies..
- C. Relating Accounting Measures to Systematic Risk...
- D. beta and the Cost of Equity Capital of Non-traded Companies……………
- IV. Data
- A. The Sample.....
- B. Global Risk Factors.....
- C. Accounting Variables.
- V. Empirical Results
- A. The Common Risk Factors...
- B. The Significance of Accounting Variables…..
- C. The Estimated betas..
- D. The Expected Cost of Equity Capital...
- E. Evidence from the Field..
- F. Robustness Tests..
- VI. Conclusions
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This thesis investigates the relationship between systematic risk and accounting variables for non-traded transportation companies, and provides a framework for calculating the cost of equity capital.- Estimating beta for non-traded companies using accounting data
- Identifying the risk relevance of accounting variables in a multi-beta asset pricing model
- Analyzing the relationship between firm size and systematic risk
- Developing a CAPM-linked framework to estimate the cost of equity capital
- Assessing the cost of equity capital for transportation companies
Zusammenfassung der Kapitel (Chapter Summaries)
- Chapter I: Introduction This chapter introduces the concept of cost of equity capital and its importance for both investors and companies. It discusses the shortcomings of traditional models like CAPM and APT, which rely on observable market data, making them unsuitable for non-traded companies. The chapter highlights the need for an alternative methodology utilizing accounting data to estimate beta and cost of equity capital for non-traded transportation companies.
- Chapter II: Background This chapter provides a review of previous research on global risk factors and fundamental accounting variables. It discusses the CAPM and APT models, emphasizing their limitations for non-traded companies. The chapter delves into the relevance of accounting variables in explaining stock returns and explores their use in estimating a firm's beta. It highlights the importance of the transportation sector in the global economy, emphasizing its cyclical nature and dependence on fundamental factors.
- Chapter III: Empirical Methodology This chapter outlines the empirical methodology used in the thesis to estimate beta and relate accounting variables to systematic risk. It describes the selection of global risk factors, the methods for estimating beta for listed companies, and the techniques for linking accounting measures to systematic risk. The chapter also presents the approach for estimating beta and the cost of equity capital for non-traded companies.
- Chapter IV: Data This chapter details the data used in the study, including the sample of listed and non-listed European transportation companies, global risk factors, and accounting variables. It provides a thorough description of the data sources and the variables used in the empirical analysis.
- Chapter V: Empirical Results This chapter presents and discusses the empirical results of the study. It analyzes the relationship between global risk factors and systematic risk, explores the significance of accounting variables in explaining beta, and estimates beta and the cost of equity capital for both listed and non-listed transportation companies. The chapter further examines the empirical findings and their implications for the transportation sector.
Schlüsselwörter (Keywords)
The keywords in this thesis include cost of equity capital, CAPM, APT, beta, accounting variables, systematic risk, non-traded companies, transportation sector, global risk factors, multi-beta asset pricing model, firm size, and financial leverage.
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- Dipl.-Ing. oec. Sascha Heller (Author), 2010, Estimating beta and Cost of Equity Capital for Non-traded Transportation Companies, Munich, GRIN Verlag, https://www.grin.com/document/168614
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