Impact of Key Performance Indicator on Systematic Risk! an Empirica! Analysis of Cement Industry
Author(s)
Download Full PDF Pages: 01-11 | Views: 1234 | Downloads: 264 | DOI: 10.5281/zenodo.3445946
Abstract
The risk factor exposure is highly admirable in academic as well as applied perspective. The purpose of this research is to identifying the relationship between key performance indicators (KPI’s) and systematic risk. The methodology has been applied on Cement sector. To test the hypothesis of study, panel data has been used in this research pertains to the period form 2005-2015. The panel data was available from literature and hence panel test (Fixed effect, Random effect and Haussmann test) was applied which showed that most of the KPI’s have a significant relationship with systematic risk (Beta). On the basis of findings of the study, it may be concluded that, systematic risk of the studied sector is prone to be affected by the variations in corporate financial decisions. The findings are very fruitful for investor, CEO, BoD and financial policy makers to maximize the return by decreasing the systematic risk factor.
Keywords
Systematic Risk, KPI’s, Cement Sector, Pakistan Stock Exchange
References
i. Iqbal, M. J., & Shah, S. Z. A. (2012). Determinants of systematic risk. The Journal of Commerce, 4(1), 47-56.
ii. Gu, Z., & Kim, H. (1998). Casino firm’s risk feature and their beta determinants, progress in Tourism and Hospitality Research, 4, 357-365.
iii. Kim, H., Gu, Z., & Mattila, A.S. (2002). Hotel real estate investment trusts’ risk features and beta determinants. Journal of Hospitality & Tourism Research, 26 (2), 138-154
iv. Lee,S.J. and Jang, CS (2006). The systematic risk determinants of US airline industry, Tourism Management No.28, PP. 434-442.
v. Rowe, T., & Kim, J. S. (2010). Analyzing the relationship between systematic risk and financial variables in the casino industry. UNLV Gaming Research & Review Journal, 14(2), 47.
vi. Yan Wang Shoudong Chen Xiu Zhang , (2014),"Measuring systematic financial risk and analyzing influential factors: an extreme value approach", China Finance Review International, Vol. 4 Iss 4 pp. 385 – 398
vii. Adhikari, N. (2014). Managers’ views on dividend policy of Nepalese enterprises, NRB Economic Review, 26 (1), 90-120.
viii. Iqbal. J. & Brooks. R. (2007). A Test of CAPM on the Karachi Stock Exchange. Inter-national Journal of Business. 12(4). 430-444.
ix. Logue, L., & Merville, J. (1972). Financial policy and market expectations. Financial Management, 1(3), 37-44.
x. Beaver, H., Kettler, P., & Scholes, M. (1970). The association between market determined and accounting determined risk measures. The Accounting Review, 45 (3), 654-682.
xi. Logue, L., & Merville, J. (1972). Financial policy and market expectations. Financial Management, 1(3), 37-44.
xii. Jensen, M. C. (1984). Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76, 323-329.
xiii. Moyer, R. C., & Chatfield, R. (1983). Market power and systematic risk. Journal of Economics and Business, 35 (I), 123-130.
xiv. Modigliani, F., & Miller, M. (1958 June). The expected cost of equity capital, corporation finance, and the theory of investment. American Economic Review, 261−297.
xv. Schemer, P. S., & Mathison, T. J. (1996). Investment strategies for REIT investors. Real Estate Review, 26 (I), 5-10.
xvi. Hong, G. and Sarkar, S.(2007). Equity Systematic Risk (Beta) and Its Determinants. Contemporary Accounting Research, Vol. 24 No. 2, pp. 423-66.
xvii. Borde, S. F., Chambliss, K., & Madura, J. (1994). Explaining variation in risk across insurance companies. Journal of Financial Services Research, 8(3), 177– 191.
xviii. Eldomiat, I.T. et al,.(2009). The Fundamental Determinants of Systematic Risk and Financial Transparency in the DFM General Indux. Middle Eastern finance and Economics.No.5.
xix. Shah, Atul, k. (1996). Systematic risk in banking and financial markets. Journal of Financial Regulation and Compliance, VOL.5, No. 1, pp. 35-48.
xx. Baker, G.P., Kennedy, R.E., 2002. Survivorship and the economic grim reaper. Journal of Law,
a. Economics, and Organization 18, 324-361.
xxi. Mohammadi, et al., (2015) The impact of the systematic risk and the financial leverage on the portfolio returns in Tehran stock market. Indian Journal of Fundamental and Applied Life Sciences, Vol. 5 (S2) pp. 388-393.
xxii. Darmayanti, N., (2015) The effect of systematic risk model of fundamental and stock company study food and beverage firm listing in Indonesia stock exchange (BEI) Year 2008-2012. Research Journal of Finance and Accounting. Vol. 6, No, 9.
xxiii. Gupta, N., & Gurjar S.A, (2014), A Study of Systematic Risk with reference of Selected Companies. Indian Journal of Applied Research. Vol. 4, No. 6.
xxiv. McKIBBEN, W. "Econometric Forecasting of Common Stock Investment Returns: A New Methodology Using Fundamental Operating Data." Journal of Finance (May 1972).
xxv. Allen, F. Babus, A. Carletti, E. (2010) “ Financial Connection And Systematic Risk” NBER working paper No.16177.
xxvi. Hong, G., & Sarkar, S. (2007). Equity systematic risk (beta) and its determinants. Contemporary Accounting Research, 24(2), 423-466.
xxvii. Anderson, J. C., & Frankle, A. W. (1980). Voluntary social reporting: An iso-beta portfolio analysis. Accounting Review, 467-479.
xxviii. Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. the Journal of Business, 34(4), 411-433.
xxix. Ahmad, A., & Jha, M. K. (2008). Status of petroleum sector in Pakistan: A review. Oil and gas business.
xxx. Ahmad, E. (2000). Risk, Uncertainty and Returns at the Karachi Stock Exchange Eatzaz Ahmad and Badar uz Zaman. Lahore Journal of Economics, 5(2), 108.
xxxi. Chung, K. H., & Pruitt, S. W. (1994). A simple approximation of Tobin's q. Financial management, 70-74.
Cite this Article: