Abstract ABSTRACT: The ability of accounting risk measures to aid in explanations and predictions of systematic risk (β) has been studied extensively, and successive studies have reached conflicting conclusions. An element of research design that has varied across studies is the selection of a security market index to serve as a proxy for the unobservable "market portfolio" defined by the underlying capital asset pricing theory. This paper demonstrates empirically that the choice of a market index can have a substantial effect upon the research findings, and offers a partial reconcilation of the apparently contradictory results of earlier studies.
Elgers et al. (Thu,) studied this question.
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