Systematic risk and revenue volatility

Harry F. Griffin, Michael Timothy Dugan

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

We introduce the degree of economic leverage (DEL) as an extension of the existing method of decomposing beta and assess its incremental explanatory power through empirical testing. The DEL is defined as the percentage change in the firm's sales resulting from a unit percentage change attributable to an exogenous economic disturbance. The exogenous economic disturbance employed is the ratio of long-term T-bond rates to short-term T-bill rates. The evidence supports the DEL's role in explaining systematic risk at both the industry and portfolio levels. However, we find mixed results at the firm level.

Original languageEnglish (US)
Pages (from-to)179-189
Number of pages11
JournalJournal of Financial Research
Volume26
Issue number2
DOIs
StatePublished - Jun 1 2003
Externally publishedYes

Fingerprint

Economics
Systematic risk
Revenue
Leverage
Industry
Incremental
Testing

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this

Systematic risk and revenue volatility. / Griffin, Harry F.; Dugan, Michael Timothy.

In: Journal of Financial Research, Vol. 26, No. 2, 01.06.2003, p. 179-189.

Research output: Contribution to journalArticle

Griffin, Harry F. ; Dugan, Michael Timothy. / Systematic risk and revenue volatility. In: Journal of Financial Research. 2003 ; Vol. 26, No. 2. pp. 179-189.
@article{e2b7e813ef2846ae96e00d5b07e9f94e,
title = "Systematic risk and revenue volatility",
abstract = "We introduce the degree of economic leverage (DEL) as an extension of the existing method of decomposing beta and assess its incremental explanatory power through empirical testing. The DEL is defined as the percentage change in the firm's sales resulting from a unit percentage change attributable to an exogenous economic disturbance. The exogenous economic disturbance employed is the ratio of long-term T-bond rates to short-term T-bill rates. The evidence supports the DEL's role in explaining systematic risk at both the industry and portfolio levels. However, we find mixed results at the firm level.",
author = "Griffin, {Harry F.} and Dugan, {Michael Timothy}",
year = "2003",
month = "6",
day = "1",
doi = "10.1111/1475-6803.00053",
language = "English (US)",
volume = "26",
pages = "179--189",
journal = "Journal of Financial Research",
issn = "0270-2592",
publisher = "Wiley-Blackwell",
number = "2",

}

TY - JOUR

T1 - Systematic risk and revenue volatility

AU - Griffin, Harry F.

AU - Dugan, Michael Timothy

PY - 2003/6/1

Y1 - 2003/6/1

N2 - We introduce the degree of economic leverage (DEL) as an extension of the existing method of decomposing beta and assess its incremental explanatory power through empirical testing. The DEL is defined as the percentage change in the firm's sales resulting from a unit percentage change attributable to an exogenous economic disturbance. The exogenous economic disturbance employed is the ratio of long-term T-bond rates to short-term T-bill rates. The evidence supports the DEL's role in explaining systematic risk at both the industry and portfolio levels. However, we find mixed results at the firm level.

AB - We introduce the degree of economic leverage (DEL) as an extension of the existing method of decomposing beta and assess its incremental explanatory power through empirical testing. The DEL is defined as the percentage change in the firm's sales resulting from a unit percentage change attributable to an exogenous economic disturbance. The exogenous economic disturbance employed is the ratio of long-term T-bond rates to short-term T-bill rates. The evidence supports the DEL's role in explaining systematic risk at both the industry and portfolio levels. However, we find mixed results at the firm level.

UR - http://www.scopus.com/inward/record.url?scp=0142069397&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0142069397&partnerID=8YFLogxK

U2 - 10.1111/1475-6803.00053

DO - 10.1111/1475-6803.00053

M3 - Article

AN - SCOPUS:0142069397

VL - 26

SP - 179

EP - 189

JO - Journal of Financial Research

JF - Journal of Financial Research

SN - 0270-2592

IS - 2

ER -