體系的 危險과 레버리지, 成長性, 企業規模의 關係分析 = An Empirical Study on the Relationship between Systematic Risk and Leverage, Growth, and Size of the Firm

다국어 초록 (Multilingual Abstract)

Many empirical researches have been directed to the relationship between financial variables and market based measures of risk(systematic risk). The results of these researches indicate the some financial variables are highly correlated with a market based measure of risk and are useful in the prediction of future systematic risk.
This empirical test is concerned with the relationship between the systematic risk and financial variables such as leverage, growth, and size of the firm. So the purpose of this empirical analysis is to investigate the determinants of systmatic risk in our capital market.
Hyporthesis : The financial leverage, operating leverage, growth(sales growth rate, gross capital growth rate), and firm size(total assets, sales, capital stock) are the positively correlated statistically significant explanatory variables of systematic risk(beta coefficient).
The empirical test has been taken to the 75 randomly selected manufacturing companies in our capital market with the data of 5 years from 1980 to 1984.
For our empirical test, we have assumed the following linear regression model.
Y_i = α_i + β_iX_i + ε_i(i = 1, 2, …, 7)
Y : Systematic risk(beta coefficient)
X_1 : Operating leverage, X_2 : Financial leverage
X_3 : Sales growth rate, X_4 : Gross capital growth rate
X_5 : Total assets, X_6 : Sales, X_7 : Capital stock
As a result of correlation analysis on the randomly constructed portfolio, the correlation coefficients of risk variables with beta are as follows.
As shown below and as a result of linear regression analysis, financial leverage and firm size are turned out to be statistically significant explanatory variables of beta in our capital market. Among these risk variables, capital stock(firm size variable) is the most significant determinants of systematic risk and showed highly positive relationship with beta coefficient.
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목차 (Table of Contents)

• Ⅰ. 序論
• Ⅱ. 理論的 背景과 旣存硏究
• 1. 體系的 危險과 레버리지
• 2. 體系的 危險과 成長性
• 3. 體系的 危險과 企業規模
• Ⅲ. 實證的 分析
• 1. 假設의 設定과 資料의 選定
• 2. 模型의 設定과 變數의 定義
• 3. 回歸分析結果의 分析
• Ⅳ. 結論