Accounting Beta as an Indicator of Risk Measurement: The Case of the Casablanca Stock Exchange
Abstract
:1. Introduction
2. Literature Review
 ${R}_{f}$ = riskfree rate, usually 10year government bonds or AAArated bonds;
 ${R}_{m}$ = market return; and
 $\beta $ = sensitivity coefficient of the stock in relation to the market. It is calculated by:$$\beta i=\frac{COV\left(Rit,Rmt\right)}{VAR\left(Rmt\right)}$$
 ${R}_{\mathrm{E}}$: accounting return of the company; and
 ${R}_{\mathrm{IMm}}$: accounting return of the market.
3. Data and Methodology
4. Result and Discussion
4.1. Descriptive Statistics
4.2. Correlation of Variables
4.3. Multicollinearity Test
4.4. Specification Test
4.5. Hausman Test
4.6. Regression Result
4.7. Testing the Validity of the Model
4.7.1. Test of Normality of Residuals
4.7.2. Autocorrelation Test of Residuals
4.7.3. Testing the Heteroscedasticity of Residuals
5. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
References
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Variables  Method of Calculation  Description 

Beta Market  $\frac{COV\left(Rit,Rmt\right)}{VAR\left(Rmt\right)}$  Rit represents the return on the stock. Rmt represents the market return. 
Beta ROE  $\frac{COV\left(ROE,RIM\mathrm{m}\right)}{VAR\left(RIM\mathrm{m}\right)}$  ROE represents the firm’s return on equity. RIMm represents the return on the total pool.
$$Rim=\frac{{{\displaystyle \sum}}_{i=1}^{n}ROE}{n}$$

Beta ROA  $\frac{COV\left(ROA,RIM\mathrm{m}\right)}{VAR\left(RIM\mathrm{m}\right)}$  ROA represents the firm’s return on assets. RIMm represents the return on assets of the total pool.
$$Rim=\frac{{{\displaystyle \sum}}_{i=1}^{n}ROA}{n}$$

Beta Net Income 
$$\frac{COV\left(NI,RIM\mathrm{m}\right)}{VAR\left(RIM\mathrm{m}\right)}$$
 NI represents the net income of the firm. RIMm represents the net income of the total pool.
$$Rim=\frac{{{\displaystyle \sum}}_{i=1}^{n}NI}{n}$$

Variables  Obs  Mean  Std. Dev.  Min  Max 

Beta Market  245  0.4485  1.302632  −2.346392  2.811751 
Beta ROE  245  0.5738783  0.8256249  −1.870892  2.598368 
Beta Net Income  245  0.7294162  1.175039  −2.806337  2.846289 
Beta ROA  245  0.3438026  1.223904  −2.672103  2.669721 
Beta Market  Beta ROE  Beta Net Income  Beta ROA  

Beta Market  1.0000  
Beta ROE  0.2528  1.0000  
Beta Net Income  0.2003  0.8560  1.0000  
Beta ROA  0.7427  0.1668  0.1207  1.0000 
VIF  Tolerance Value  

Beta ROE  3.80  0.263179 
Beta Net Income  3.75  0.266766 
Beta ROA  1.03  0.970351 
Mean VIF  2.86 
Beta Market  Coef.  Std. Err.  t  P > t  95% Conf.  Interval 

Beta ROE  0.4974502 ***  0.1472762  3.38  0.001  0.2069726  0.7879277 
Beta Net Income  −1.695572  0.1089882  −1.56  0.121  −0.3845182  0.0454037 
Beta ROA  0.6396429 ***  0.050505  12.66  0.000  0.5400303  0.7392555 
Constant  0.0667911  0.0638401  1.05  0.297  −0.0591228  0.1927049 
R^{2}  0.5548  
F (3193)  72.84  
Prob > F  0.0000 
Obs  Chi2  Prob  

Residue  245  5.97  0.0506 
F (148)  Prob > F  

Residue  0.143  0.7067 
Chi2  Prob  

Residue  255.85  0.0000 
Beta Market  Coef.  Robust Std. Err.  t  P > t  95% Conf.  Interval 

Beta ROE  0.2921178 **  0.1269072  2.30  0.021  0.0433843  0.5408513 
Beta Net Income  −0.045159  0.0899463  −0.50  0.616  −0.2214505  0.1311326 
Beta ROA  0.72874 ***  0.0535891  13.60  0.000  0.6237073  0.8337726 
Constant  0.0632569  0.0818937  0.77  0.440  −0.0972518  0.2237656 
R^{2}  0.5677 
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Faiteh, A.; Aasri, M.R. Accounting Beta as an Indicator of Risk Measurement: The Case of the Casablanca Stock Exchange. Risks 2022, 10, 149. https://doi.org/10.3390/risks10080149
Faiteh A, Aasri MR. Accounting Beta as an Indicator of Risk Measurement: The Case of the Casablanca Stock Exchange. Risks. 2022; 10(8):149. https://doi.org/10.3390/risks10080149
Chicago/Turabian StyleFaiteh, Anouar, and Mohammed Rachid Aasri. 2022. "Accounting Beta as an Indicator of Risk Measurement: The Case of the Casablanca Stock Exchange" Risks 10, no. 8: 149. https://doi.org/10.3390/risks10080149