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A study on Relation Between Market Beta and

Accounting Beta: Highly Leveraged Firm Case


Changwan Kim
1)
Abstract
This paper investigates the co-movements of two measures, market
beta and accounting beta, of systematic risk of a firm's return. Unlike
previous studies on the issue, this study traces the changes in the
betas along a firm's history and compare them at individual firm
level for highly leveraged companies. The estimation results suggest
that the two betas do not move together in general. We believe that
the leverage effects and financial distress from debt seriously affect
equity holders' interests and induce an increase in risk measured in
market betas, whereas accounting betas do not immediately reflect the
changes in debt-quity ratios.
1 Introduction
Assessing risk of an asset is one of the most important issues in business. When
financial analysts evaluate capital investment projects or securities, they need to
come up with some estimate of the required rate of return in order to discount
the future returns. The required rate of return should reflect the individual
riskiness of specific projects or securities. Thus, risk measure plays a key role in
constructing the appropriate discount rate. Financial economists have devoted
tremendous efforts in developing theoretical and empirical models for estimating
appropriate risk measures. One branch of empirical studies have searched for the
appropriate empirical counterparts to future returns. Because, obviously, we are
not able to observe them in real life. Main research question in this field is to
compare the risk measures estimated from two different empirical counterparts of
a firm's future returns: stock returns and accounting returns. Set aside the
1) Kim is from Korea Information Strategy Development Institute.
academic interests, this issue also has some meanings in practical financial
researches. When one evaluates a firm's security, he usually refers to the stock
market returns and estimates the market beta of security. However, sometimes
stock market returns are not available for various reasons, for example, the firm
in question is a non-public firm or a regulated firm so that stock price may not
deliver useful information. Then he may have no choice other than seek
accounting statements and estimate an accounting beta. Important matter in this
case is that one must be aware of the informational difference in market beta
and accounting beta.
This study investigates the co-movements of two risk measures of the firms that
underwent highly leveraged public recapitalizations. We believe this is an
interesting case to reveal the informational differences in stock market data and
accounting statements. Financial distress or leverage effect from overwhelming
debt may seriously affect shareholders' interests, which maybe reflected in stock
return. Also, unlike the existing literature, we estimate the possible changes in
risk measures and compare the two risk measures at individual firm level.
Tracing a firm's data delivers more information than cross sectional studies
because individual firm level research may smooth out the noises stemming out
from the differences in business environments each individual firm faces.
The organization of the rest of this study is as follows: Section 2 briefly
introduces CAPM model, reviews previous studies, and presents our motivations.
Section 3 describes our data sampling procedure, estimation model and estimation
strategy and reports the estimation results. Section 4 concludes with some
remarks.
2 Literature Review and Motivation
CAPM (Capital Asset Pricing Model), originally proposed by Nobel Prize winner
William Sharpe, relates ex ante expected return on a security to ex ante
expected return on a market portfolio with the relation,
L[I
S
[ I
F
- o
M
S
L[(I
M
- I
F
)[ (1)
where I

, I
F
, I
M
and o
M
S
are return on security S, risk free return, market
return and a measure of sensitivity of return on security S to the market return
respectively. In words, a security's risk can be decomposed into two parts:
market risk and individual firm specific risk. Firm specific risk may be vanished
away for an investor with a well-diversified portfolio. Therefore, only the market
risk matters and a security's sensitivity to the unavoidable market risk is counted
and priced. Traditionally, the beta has been used as a generic term for the
systematic sensitivity of some measure of a security return to the broad-based
index of that same return. This beta plays a pivotal role in calculating the
discount rate in asset pricing model.
2)

Although the theory relates an expected returns to an expected market returns,
empirical studies use historic return data for actual estimation under the
assumption that past records are the best estimators for future returns. In the
actual estimation of beta, stock return data are used in order to calculate the
market beta. Also, an accounting beta is an accounting analogue to the market
beta under the implicit assumption that accounting returns are generated by a
statistical process structurally similar to the one that generates the stock market
returns.
Textbook on corporate finance relates asset beta as the weighted sum of debt
beta and equity beta.
3)
Naturally, this has led to many studies extending the
knowledge on the two betas both in theoretical and empirical aspects. The
central issues in the empirical works are: first finding appropriate measures of
accounting returns for equation (1), secondly comparing the two betas in order
to seek the possible informational differences. This paper focuses on the
extension of second issue.
2) There are many empirical studies testing the empirical validity of CAPM.
Also APT (Arbitrage Pricing Theory) is developed with a quite different view on
asset pricing. We do not review those literatures because we do not think this
study is about to justify or reject the CAPM itself.
3) More precisely, textbook relationship is as follows.
o
A
[D, (D - L)[o
D
- [L, (D - L)[o
L
. In this expression, A, D, and E
stand for the values of asset, debt, and equity evaluated at market prices, not
book values.
Many studies examine the co-movements of two betas and report mixed results
depending on choices of sample period and accounting measures. Beaver, Kettler,
and Scholes (1970) examine the correlation coefficients of the two betas in
various subperiods and find that correlation coefficients are positive and highly
significant. After their work, many researchers provide more information on this
issue by changing the sample periods and definition of accounting measures.
Gonedes' (1973) study is an example of sensitivity test on the equational form.
He finds a significant relationship between market and accounting betas only
when the accounting based estimates are derived from the first-difference or
scaled first-differences of the return series in a case study of 99 firms during
1946 - 1968 period. In the similar vein, Elgers and Murray (1982) investigate
the choice of market index in calculating account betas and suggest that
accounting betas are sensitive to the choice of index. Also the sensitivity of
correlation to the length of sample period is examined by Beaver and Manegold
(1975). Their study reveals that a longer estimation interval tends to produce a
stronger correlation between accounting and market betas. Karels and Sackley
(1993) find that cross-sectional correlations are sensitive to the length of the
estimation interval for the betas in a case study of banking industry. Lee,
Newbold and Finnerty (1986) compare the forecasts of security beta based
respectively on accounting and market information. They conclude that each of
forecast contains useful information for the prediction of systematic risk.
In sum, previous studies examine the sensitivity of correlation between the two
betas with various sample periods and definitions of accounting measures.
However, it is not impossible to find some common factors in their approaches.
First, previous studies employ OLS estimation method to obtain market and
accounting betas and compared them at industry-level. That is : 1) pairs of risk
measures, market beta and accounting beta, are estimated from firms within an
industry, then two series of betas are constructed by stacking up the individual
betas, finally the comovements of the two beta series are examined, 2) stability
and uniqueness of a firm's beta is assumed in their empirical methodologies. No
researchers, however, have examined the comovements of two betas at individual
firm level. Consequently, all the previous approaches are based on an implicit
assumption that the betas are stable over time.
Accounting data record how a firm has performed in past periods. A firm's
stock price contains various information, including financial statements and
expectations, which could be wrong ex post, on the firm's future performance. It
is possible, at least in theory, that a firm with good current accounting records
can show a poor stock return performance if the firm in question faces a
gloomy future. For this reason, we believe that accounting beta and market beta
deliver different information on firm risks. In other words, financial statements
deliver backward-looking information, whereas information contained in stock
price have forward-looking property. Also, it is well known that a firm's beta
changes over time to the changes in expectation on future cash flows. Many
studies provide evidences on the unstability of beta.
4)
To highlight those two points, we try to find the firms who experienced the
shocks which are supposed to affect seriously market return and have relatively
small effects on accounting performance. This study selects firms that underwent
highly leveraged public recapitalization and traces the changes in the betas a
firm's history. It is generally believed that dramatic increases in debt-equity ratios
induce financial risks because of the higher possibility of default in highly
leveraged firms.
5)
Thus, the equity beta would change due to this financial
distress, whereas we do not expect a dramatic change in accounting beta unless
the firm in question change its business portfolio.
6)
In other words, an
accounting beta reflect business risk and a market beta reflect financial risk in
addition. This study uses time-varying coefficients method to calculate the beta
series for each firm and perform correlation coefficient and cointegration test to
compare the two series at individual firm level.
3 Estimation
This section describes the sample selection procedure, estimation model and
estimation results in our study.
4) There are many papers contribute to this issue following Harvey (1991), and
Ferson and Harvey (1993).
5) See Kaplan and Stein (1993) for the evidence on increases in defaults rates
in LBO debt.
6) Kaplan (1989) reports the improvement in cash flow following an LBO.
However, this does not necessarily means a change in business risk.
Company Name CRSP Perm. Completion Date
FMC 60708 05/29/86
Kroger 16678 12/05/88
Owens 24811 11/06/86
Shoney's 70376 08/04/88
Swank 44345 03/01/88
Table 1: Company Names and Recapitalization Completion Dates
3.1 Sample Selection
Kaplan and Stein (1990) reports an increase in the systematic risk of equity,
market beta in our study, of the twelve firms which undergo highly leveraged
public recapitalization between 1985 and 1988.
7)8)
We choose the twelve firms in
their study and trace the required data for 1960?997 period on annual base.
Restricting our sample to these firms, we expect significant changes in market
betas while relatively small changes in accounting betas during the sample
period. For twelve firms, we exclude Multimedia Corporation since it is not
listed in any of the major stock exchanges. Among the eleven remaining firms,
only five firms have complete data set in their tenures while the other firms
have many missing variables in accounting statements. Table 1 lists the names
of those five companies, CRSP permanent firm numbers, and their
recapitalization completion dates.
One may question the generality of our work, because of rather small number of
firms in our study. It is true that many firms, who underwent MBO or LBO,
experienced debt-equity ratio changes in 1980's. However, most of those firms
7) After the recapitalization, sample firms' debt-equity ratios go over 80%.
8) It is not theoretically explained why firms go public recapitalizations.
However, financial analysts believe that the firms with stable cash flow and
small growth opportunity are the main target of LBO, MBO or recapitalization.
The process of MBO usually goes like this. A firm's insider group, CEO or top
management team, raise fund from junk-bond market or big investors. Then this
management group buy out the firm's shares through stock market. After gained
the control of the firm, fund-contributors take the seats in Board of Directors
and reap the cash inside the firm.
privatized and unlisted from stock market after the buyouts, which prohibit us
from obtaining stock price information. There is no doubt that number of sample
is small in our study may bother us extending the empirical results to general
conclusion on this issue. However, there are very small number of firms
satisfying our research purpose, we have a small playground.
All of the accounting return variables are extracted from COMPUSTAT data
base, whereas individual firm's annual stock returns and the value-weighted
market returns are calculated from the CRSP data base. Risk free returns are
from CRSP bond market data base.
3.2 Estimation Models
Usual market models are employed in estimating market and accounting betas in
our study, following the previous studies in this field. Since our study focuses
on the movements of betas at individual firm, we modify the market model to
allow the betas change over time for each firm.
Market Beta
Annual stock returns over the sample period are used in deriving empirical
estimates of the market beta from the familiar market model:

(r
it
-r
)t
) c
it
-o
L
it
(r
:t
-r
)t
) -n
it
(2)
where
r
it
= rate of return on security i in period t
r
:t
= rate of return on market portfolio (value weighted index in the CRSP)
o
L
it
= market beta for security i in period t
r
it
= risk-free return rate in period t
n
it
= error term for i in period t
Accounting Beta
Annual observations over the same period are used in estimating the accounting
beta using the regression equation:
(I
it
- I
)t
) c
it
- o
A
it
(I
:t
- I
)t
) - U
it
(3)
where
I
it
= accounting return for firm i in period t
I
:t
= market index(weighted average) for accounting returns drawn from
COMPUSTAT
o
A
it
= accounting beta for firm i in period t
I
)t
= risk-free return rate in period t
U
it
= error term for i in period t
To measure the accounting return, we use the following typical earnings return
variables. Note that the numbers in brackets are COMPUSTAT annual data
numbers.
Earnings : Income available to common equity divided by market value of
common equity at the beginning of period : [20
t
/(24 + 25)
t -1
]
Fund Flow : Income available to common equity plus depreciation divided by
market value of common equity at the beginning of period : [(20 + 14)
t
/ (24
+ 25)
t -1
]
Operating Income : Operating earnings after depreciation divided by total
assets: [(13 - 14)
t
/ 6
t -1
]
3.3 Estimation Methods
Empirical estimation is performed in two steps: the first step is to calculate the
betas (market and accounting) at the individual firm levels, and the second step
is to compare the betas for each firm. We employed time-varying coefficient
method for the first step, and calculate correlation coefficient and perform
cointegration test in the second step. For the sensitivity check we redo the same
test over various values of /
0
and /
1
and choices of accounting measures
defined in section 3.2.
Obtaining the beta series
The first step imposes the following simple statistical structure on market model
in order to apply Kalman's time varying coefficients. (We drop the subscript i
for simplicity) In this structure, a time varying coefficient at time t is the sum
of previous value at t - 1 and an error term.
(I
t
- I
)t
) c
t
- o
t
(I
:t
- I
)t
) - U
t
(4)
c
t -1
c
t
-c
t -1
(5)
o
t -1
o
t
- j
t -1
(6)
Rewritten in more compact and general way, measurement equation and
transition equation
9)
are :
j
t
r
`
t
c
t
- n
t
(7)
c
t -1
c
t
-
t -1
(8)
where j
t
I
t
, r
t
(1, (I
:t
- I
)t
)), c
t
(c
t
, o
t
), n
t
U
t
, and

t -1
(c
t -1
, j
t -1
). It is further assumed on the error terms,

;
'

t -1
n
t
,r
t
, I
t -1
N
;
'

;
'

0
0
,
;
'

Q 0
0 /
1
(9)
Q
;
'

1 0
0 1
/
0
(10)
where /
0
and /
1
are constants. We assume a common variance in the transition
equation for simplicity.
In the actual estimation step, we need to impose a structure on the initial state
variables. It is assumed that the initial variables follow a normal distribution,
c
1
N [( ) 0, 1 , I
1,0
[ , where I
1,0
is a 2 by 2 diagonal matrix with 0.001 as
a common argument. Expectation of c
1
equals zero means that a firm's return is
9) See Hamilton (1995) and other textbook for general description of Kalman's
filtering.
not related to the unexpected risk (a risk that can not be avoided through
market portfolio), and expectation of o
1
equals one implies that a firm's return
is perfectly related to the market return or market conditions. Then our
coefficients evolve following the usual Kalman's filtering formula,
c
t,t

c
t,t - 1

- [I
t,t - 1
r
t
(r
`
t
I
t,t - 1
r
t
- /
1
)
- 1
(j
t
- r
`
t
c
t,t - 1
)[ (10)

c

t -1,t
c
t,t
(11)
I
t,t
I
t,t - 1
- [I
t,t - 1
r
t
(r
`
t
I
t,t - 1
r
t
- /
1
)
- 1
r
`
t
I
t,t - 1
[ (12)
I
t -1,t
I
t,t
- Q (13)
In order to check the sensitivity of coeffcients to the parameters /
0
and /
1
, we
calculate the state variables over various values of /
0
and /
1
.
Co-movement Test
In the second stage, we calculate correlation coefficients and perform
cointegration test between the two beta series to test the hypothesis that market
beta and accounting beta move together, that is the two betas contain the similar
information about the firm's return. Following Engle and Granger(1987), the
cointegration tests are performed by two step regressions. The first regression is
:
o
A
t
` - o
L
t
- Z
t
(14)
where, o
A
t
and o
A
t
are accounting beta series and market beta series for a firm
respectively, and Z
t
is a residual term. The equation form is inspired by the
basic text relationship between asset beta and market beta,
o
A
[D, (D - L)[o
D
- [L, (D - L)[o
L
where D and E stand for the market values of debt and equity. In words, asset
beta is a weighted average of the debt beta and the market beta. After obtaining
the residual term, a Dickey-Fuller test is performed on the residual term, Z
t
.
Sensitivity Test
Since our estimation method requires some initial prior on the variances of error

Com. Name
Sensitivity of correlation to
initial values, /
0
and /
1
Sensitivity of correlation to
choice of accounting measures
FMC unstable correlation coefficients unstable correlation coefficients
Kroger unstable correlation coefficients unstable correlation coefficients
Owens stable correlation coefficients unstable correlation coefficients
Swank stable correlation coefficients
insignificant correlation
coefficients
Shoney's stable correlation coefficients
insignificant correlation
coefficients
terms, represented by /
0
and /
1
, it is possible that our estimation results vary
on the size of those initial values. If the estimates are sensitive to the choices
of initial variables, we may say that the estimation results are unstable. We need
to perform sensitivity check on the estimation. For sensitivity test, we vary the
parameter /
0
and /
1
which are the initial variances for the error terms in the
measurement equation and the transition equation respectively. For the same
purpose, we check the responses of correlation to the choice of accounting
measures in the accounting beta estimation.
3.4 Estimation Results
Table 2 : Summary on Estimation Results : Sensitivity Test
Table 2 summarizes the main estimation results in this study. First column in
the tables lists up the company names, second column reports the responses of
correlation coefficients between market and accounting betas to the variation in
initial values, /
0
and /
1
. The last column reports the stability and level of
correlation coefficients to the choice of accounting measures. Appendix provides
the detailed tables on estimation results.
Except for Swank and Shoney's, the correlation coefficients between market betas
and accounting betas show a wide range of values as we change the initial
values of variances, /
0
and /
1
. FMC corporation case shows that the sign of the
correlation coefficients change from negative values to positive values as we
increase /
0
at the higher level of /
1
. When Earnings variables are considered in
the estimation, the coefficient varies from 0.18 to 0.34. Also, the sizes of
correlation coefficients are not big enough to ensure a significant relationship
between two betas. The biggest value is only 0.34. In Kroger corporation case,
we observe the similar patterns. The coefficients generally have negative values
in the cross section of low /
0
and high /
1
regardless of choice of accounting
return variable. However, the signs of the coefficients turn to positive values as
we increase /
0
and decrease /
1
. The most dramatic changes in the size of
coefficients occur when Operating Income is employed as the return variable.
The coefficients varies from 0.12 to 0.16, which are not believed to be a
significant level. Owens Corning case shows a little different kinds of unstability
in correlation coefficients. The size of the coefficients are relatively high and
stable over the whole range of initial variances when Earnings and Fund Flow
variables are used in accounting beta equation. The values stay around 0.8 level
as we change the initial variances. However, this stability collapses when
Operating Income is put in the accounting beta equation. The sign changes as
we move from low /
1
and high /
0
zone to high /
1
and low /
0
region. Also,
the level of correlation coefficients are poorly low: smallest value is 0.47 and
biggest is only 0.24. We obtain the similar results when the unit root test is
employed. For the above three firms, we may confidently conclude that the
relation between the two betas are unstable and sensitive to the choice of initial
variables and accounting measures.
For Swank and Shoney's, we have a fairly stable relationship over the whole
range of initial variances. In Swank Corporation case, the size of correlation
coefficients do not show significant variation across the level of /
0
and /
1
.
However, the size of correlation coefficients vary as we change the measures of
accounting return. The value drops from 0.68 to 0.30 as we switch the
accounting measure Operating Income to Earnings. Shoney's estimation results
follow the similar patterns. The correlation coefficients are stable to the value of
initial variance within each accounting measures, however, the level of
coefficients are sensitive to the choice of accounting measures. Our results are
robust regardless of whether we use the correlation coefficient method or the
unit root test.
For our sample firms, we do not find the hard evidences supporting the
co-movement between two betas. Either correlations are sensitive to the initial
priors or to the choice of accounting measures. Therefore, we can conclude that
market beta and accounting beta do not always yield the same measure of
riskiness of capital although in past years the two betas have been treated as
similar measures.
One more implication of this result is that the market beta, which is estimated
from stock return series, may reflect the variations in risk from debt-equity ratio
changes, whereas the accounting beta, which is estimated from accounting
returns, do not or at least not immediately measure the changes in financial risk.
Although this study does not intend to attack the Modiglian-Miller theorem, our
finding can serve as a small reference to the empirical meanings of the theorem.
4 Concluding Remarks
Many financial economists have examined the co-movements of two measures,
market beta and accounting beta, of a firm's systematic risk in order to seek the
appropriate empirical counterpart. The existing literature in this field generally
have focused on cross sectional similarities and sought informational differences
of the two measures. Unlike the previous studies, this paper investigates the
co-movements of the two betas along a firm's history by applying time-varying
coefficient method. Time series data of highly leveraged firms are analyzed for
emphasizing the effects of financial distress and leverage effects on stock return.
We believe that individual firm level data have more information because each
firm is unique in real world and using individual firm level data has advantages
in controlling .

Our estimation results suggest that market beta and accounting beta do not show
co-movement when analyzed at the individual firm level. For all of our sample
firms, the two measures show very weak and fragile correlation. Some apparent
similarities disappear when we modify the estimation model specification or
change the definition of accounting returns. Estimation results suggest that the
leverage effects and financial distress from high debt-equity ratio cause the
difference in movements of two risk measures. We hope that the results of this
study may extend the understandings in debt pricing and evaluation of a firm
when appropriate stock return data are not available.
Although this study provides some implications on this issue, it has room to be
improved in several ways. First, the estimation results in this study are based on
a rather small number of firms that experienced significant debt-equity ratio
changes. This study applies the debt-equity structure model to relate the stock
return and accounting statements. We do not believe that this leverage effects are
the only source which causes the information differences in stock return and
financial data. Thus, more serious and general theoretical models on connecting
stock price and financial data are in need. Secondly, more challenging question
would be to identify when the two risk measures show similarity and
dissimilarity. We still do not have theory and hard evidences on this issue.
However, our on-going work, which are not reported in this paper, on
equity-only firms cases suggests that a firm with stable cash flow and financial
structure show a relatively high correlation between the two measures. We think
that this finding could serve as a starting point toward the second question.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.25 0.18 0.13 0.094 0.066 0.043 0.024 0.0081 -0.0057 -0.018
0.02 0.3 0.25 0.21 0.18 0.15 0.13 0.11 0.094 0.079 0.066
0.03 0.31 0.28 0.25 0.22 0.2 0.18 0.16 0.15 0.13 0.12
0.04 0.32 0.29 0.27 0.25 0.23 0.21 0.19 0.18 0.17 0.15
0.05 0.33 0.3 0.28 0.26 0.25 0.23 0.22 0.2 0.19 0.18
0.06 0.33 0.31 0.29 0.28 0.26 0.25 0.23 0.22 0.21 0.2
0.07 0.33 0.32 0.3 0.29 0.27 0.26 0.25 0.24 0.22 0.21
0.08 0.33 0.32 0.31 0.29 0.28 0.27 0.26 0.25 0.24 0.23
0.09 0.33 0.32 0.31 0.3 0.29 0.28 0.27 0.26 0.25 0.24
0.1 0.34 0.32 0.31 0.3 0.29 0.28 0.27 0.26 0.25 0.25
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -1.8 -1.9 -2 -2.1 -2.1 -2.2 -2.2 -2.2 -2.2 -2.3
0.02 -1.8 -1.8 -1.9 -1.9 -2 -2 -2.1 -2.1 -2.1 -2.2
0.03 -1.8 -1.8 -1.8 -1.9 -1.9 -2 -2 -2 -2.1 -2.1
0.04 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -2 -2 -2 -2
0.05 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
0.06 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
0.07 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2
0.08 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2
0.09 -1.8 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2
0.1 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
Appendix
Tables in the appendix report the correlation coefficients between accounting and market betas
and the Dickey-Fuller t values of unit root test in equation (14). Note that six tables are
reported for each firm because we employed three different accounting measures for calculating
accounting beta and performed two different tests in order to compare the betas.
Table 1 : Correlation coefficients w/ Earnings : FMC Corp
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
Table 2 : Dickey-Fuller t-value w/ Earnings : FMC Corp
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.037 -0.02 -0.053 -0.074 -0.089 -0.099 -0.11 -0.11 -0.12 -0.12
0.02 0.079 0.028 -0.005 -0.029 -0.047 -0.061 -0.072 -0.081 -0.089 -0.095
0.03 0.1 0.056 0.026 0.002 -0.016 -0.03 -0.043 -0.053 -0.062 -0.069
0.04 0.12 0.076 0.047 0.025 0.0077 -0.0069 -0.019 -0.03 -0.039 -0.047
0.05 0.13 0.09 0.064 0.043 0.026 0.012 -0.000 -0.011 -0.02 -0.028
0.06 0.14 0.1 0.077 0.057 0.041 0.028 0.016 0.0053 -0.0038 -0.012
0.07 0.14 0.11 0.088 0.07 0.054 0.041 0.029 0.019 0.01 0.0021
0.08 0.15 0.12 0.098 0.08 0.065 0.053 0.041 0.031 0.023 0.015
0.09 0.16 0.13 0.11 0.09 0.075 0.063 0.052 0.042 0.034 0.026
0.1 0.16 0.13 0.11 0.098 0.084 0.072 0.062 0.052 0.044 0.036
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -1.9 -1.9 -2 -2.1 -2.1 -2.2 -2.3 -2.3 -2.4 -2.4
0.02 -1.7 -1.7 -1.8 -1.8 -1.9 -1.9 -1.9 -2 -2 -2.1
0.03 -1.7 -1.6 -1.7 -1.7 -1.7 -1.8 -1.8 -1.8 -1.9 -1.9
0.04 -1.6 -1.6 -1.6 -1.6 -1.7 -1.7 -1.7 -1.7 -1.8 -1.8
0.05 -1.6 -1.6 -1.6 -1.6 -1.6 -1.6 -1.6 -1.7 -1.7 -1.7
0.06 -1.6 -1.5 -1.5 -1.6 -1.6 -1.6 -1.6 -1.6 -1.6 -1.7
0.07 -1.5 -1.5 -1.5 -1.5 -1.5 -1.6 -1.6 -1.6 -1.6 -1.6
0.08 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.6 -1.6 -1.6
0.09 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.6
0.1 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5
Table 3 : Correlation Coefficients w/ Operating Income : FMC Corp
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
Table 4 : Dickey-Fuller t-value w/ Operating Income : FMC Corp
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.084 0.025 -.016 -.046 -.070 -.090 -.11 -.12 -.13 -.14
0.02 0.12 0.083 0.051 0.025 0.0029 -.016 0.032 -.047 -.059 -.070
0.03 0.13 0.11 0.082 0.061 0.041 0.025 0.0095 -.0040 -.016 -.027
0.04 0.13 0.12 0.099 0.081 0.065 0.05 0.037 0.024 0.013 0.0023
0.05 0.14 0.12 0.11 0.095 0.081 0.068 0.055 0.044 0.034 0.024
0.06 0.14 0.13 0.12 0.1 0.092 0.08 0.069 0.059 0.049 0.04
0.07 0.14 0.13 0.12 0.11 0.099 0.089 0.079 0.07 0.061 0.053
0.08 0.13 0.13 0.12 0.11 0.1 0.096 0.087 0.079 0.07 0.063
0.09 0.13 0.13 0.12 0.12 0.11 0.1 0.093 0.085 0.078 0.071
0.1 0.13 0.13 0.13 0.12 0.11 0.1 0.098 0.091 0.084 0.077
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -2.8 -3.1 -3.2 -3.3 -3.3 -3.4 -3.4 -3.4 -3.4 -3.4
0.02 -2.6 -2.9 -3 -3.1 -3.2 -3.2 -3.3 -3.3 -3.3 -3.4
0.03 -2.5 -2.7 -2.9 -3 -3.1 -3.1 -3.2 -3.2 -3.3 -3.3
0.04 -2.4 -2.7 -2.8 -2.9 -3 -3 -3.1 -3.1 -3.2 -3.2
0.05 -2.4 -2.6 -2.7 -2.8 -2.9 -3 -3 -3.1 -3.1 -3.2
0.06 -2.3 -2.6 -2.7 -2.8 -2.9 -2.9 -3 -3 -3.1 -3.1
0.07 -2.3 -2.5 -2.7 -2.8 -2.8 -2.9 -3 -3 -3.1 -3.1
0.08 -2.3 -2.5 -2.6 -2.7 -2.8 -2.9 -2.9 -3 -3 -3.1
0.09 -2.3 -2.5 -2.6 -2.7 -2.8 -2.8 -2.9 -2.9 -3 -3
0.1 -2.3 -2.4 -2.6 -2.7 -2.7 -2.8 -2.9 -2.9 -3 -3
Table 5 : Correlation coeffients w/ Fund Flow : FMC Corp
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
Table 6 : Dickey-Fuller t-value w/ Fund Flow : FMC Corp
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.25 0.18 0.13 0.094 0.066 0.043 0.024 0.0081 -0.0057 -0.018
0.02 0.3 0.25 0.21 0.18 0.15 0.13 0.11 0.094 0.079 0.066
0.03 0.31 0.28 0.25 0.22 0.2 0.18 0.16 0.15 0.13 0.12
0.04 0.32 0.29 0.27 0.25 0.23 0.21 0.19 0.18 0.17 0.15
0.05 0.33 0.3 0.28 0.26 0.25 0.23 0.22 0.2 0.19 0.18
0.06 0.33 0.31 0.29 0.28 0.26 0.25 0.23 0.22 0.21 0.2
0.07 0.33 0.32 0.3 0.29 0.27 0.26 0.25 0.24 0.22 0.21
0.08 0.33 0.32 0.31 0.29 0.28 0.27 0.26 0.25 0.24 0.23
0.09 0.33 0.32 0.31 0.3 0.29 0.28 0.27 0.26 0.25 0.24
0.1 0.34 0.32 0.31 0.3 0.29 0.28 0.27 0.26 0.25 0.25
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -1.8 -1.9 -2 -2.1 -2.1 -2.2 -2.2 -2.2 -2.2 -2.3
0.02 -1.8 -1.8 -1.9 -1.9 -2 -2 -2.1 -2.1 -2.1 -2.2
0.03 -1.8 -1.8 -1.8 -1.9 -1.9 -2 -2 -2 -2.1 -2.1
0.04 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -2 -2 -2 -2
0.05 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
0.06 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
0.07 -1.8 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2
0.08 -1.8 -1.8 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2
0.09 -1.8 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2
0.1 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
Table 7 : Correlation coefficients w/ Earnings : Kroger
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
Table 8 : Dickey-Fuller t-value w/ Earnings : Kroger
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.037 -0.02 -0.053 -0.074 -0.089 -0.099 -0.11 -0.11 -..12 -..12
0.02 0.079 0.028 -0.005 -0.029 -0.047 -0.061 -0.072 -0.081 -0.089 -0.095
0.03 0.1 0.056 0.026 0.0025 -0.016 -0.03 -0.043 -0.053 -0.062 -0.069
0.04 0.12 0.076 0.047 0.025 0.0077 -0.0069 -0.019 -0.03 -0.039 -0.047
0.05 0.13 0.09 0.064 0.043 0.026 0.012 -0.00023 -0.011 -0.02 -0.028
0.06 0.14 0.1 0.077 0.057 0.041 0.028 0.016 0.0053 -0.0038 -0.012
0.07 0.14 0.11 0.088 0.07 0.054 0.041 0.029 0.019 0.01 0.0021
0.08 0.15 0.12 0.098 0.08 0.065 0.053 0.041 0.031 0.023 0.015
0.09 0.16 0.13 0.11 0.09 0.075 0.063 0.052 0.042 0.034 0.026
0.1 0.16 0.13 0.11 0.098 0.084 0.072 0.062 0.052 0.044 0.036
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -1.9 -1.9 -2 -2.1 -2.1 -2.2 -2.3 -2.3 -2.4 -2.4
0.02 -1.7 -1.7 -1.8 -1.8 -1.9 -1.9 -1.9 -2 -2 -2.1
0.03 -1.7 -1.6 -1.7 -1.7 -1.7 -1.8 -1.8 -1.8 -1.9 -1.9
0.04 -1.6 -1.6 -1.6 -1.6 -1.7 -1.7 -1.7 -1.7 -1.8 -1.8
0.05 -1.6 -1.6 -1.6 -1.6 -1.6 -1.6 -1.6 -1.7 -1.7 -1.7
0.06 -1.6 -1.5 -1.5 -1.6 -1.6 -1.6 -1.6 -1.6 -1.6 -1.7
0.07 -1.5 -1.5 -1.5 -1.5 -1.5 -1.6 -1.6 -1.6 -1.6 -1.6
0.08 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.6 -1.6 -1.6
0.09 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.6
0.1 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5
Table 9 : Correlation coefficients w/ Operating Income : Kroger
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
Table 10 : Dickey-Fuller t-value w/ Operating Income : Kroger
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.084 0.025 0.016 -0.046 -0.07 -0.09 -0.11 -0.12 -0.13 -..14
0.02 0.12 0.083 0.051 0.025 0.0029 -0.016 -0.032 -0.47 -0.059 -0.07
0.03 0.13 0.11 0.082 0.061 0.041 0.025 0.0095 -0.004 -0.016 -0.027
0.04 0.13 0.12 0.099 0.081 0.065 0.05 0.037 0.024 0.013 0.0023
0.05 0.14 0.12 0.11 0.095 0.081 0.068 0.055 0.044 0.034 0.024
0.06 0.14 0.13 0.12 0.1 0.092 0.08 0.069 0.059 0.049 0.04
0.07 0.14 0.13 0.12 0.11 0.099 0.089 0.079 0.07 0.061 0.053
0.08 0.13 0.13 0.12 0.11 0.1 0.096 0.087 0.079 0.07 0.063
0.09 0.13 0.13 0.12 0.12 0.11 0.1 0.093 0.085 0.078 0.071
0.1 0.13 0.13 0.13 0.12 0.11 0.1 0.098 0.091 0.084 0.077
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -2.8 -3.1 -3.2 -3.3 -3.3 -3.4 -3.4 -3.4 -3.4 -3.4
0.02 -2.6 -2.9 -3 -3.1 -3.2 -3.2 -3.3 -3.3 -3.3 -3.4
0.03 -2.5 -2.7 -2.9 -3 -3.1 -3.1 -3.2 -3.2 -3.3 -3.3
0.04 -2.4 -2.7 -2.8 -2.9 -3 -3 -3.1 -3.1 -3.2 -3.2
0.05 -2.4 -2.6 -2.7 -2.8 -2.9 -3 -3 -3.1 -3.1 -3.2
0.06 -2.3 -2.6 -2.7 -2.8 -2.9 -2.9 -3 -3 -3.1 -3.1
0.07 -2.3 -2.5 -2.7 -2.8 -2.8 -2.9 -3 -3 -3.1 -3.1
0.08 -2.3 -2.5 -2.6 -2.7 -2.8 -2.9 -2.9 -3 -3 -3.1
0.09 -2.3 -2.5 -2.6 -2.7 -2.8 -2.8 -2.9 -2.9 -3 -3
0.1 -2.3 -2.4 -2.6 -2.7 -2.7 -2.8 -2.9 -2.9 -3 -3
Table 11 : Correlation coefficients w/ Fund Flow : Kroger
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
Table 12 : Dickey-Fuller t-value w/ Fund Flow Kroger
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.82 0.81 0.81 0.81 0.81 0.81 0.8 0.8 0.8 0.8
0.02 0.82 0.82 0.81 0.81 0.81 0.81 0.81 0.8 0.8 0.8
0.03 0.82 0.82 0.81 0.81 0.81 0.81 0.81 0.8 0.8 0.8
0.04 0.82 0.82 0.81 0.81 0.81 0.81 0.8 0.8 0.8 0.8
0.05 0.82 0.82 0.81 0.81 0.81 0.8 0.8 0.8 0.8 0.8
0.06 0.82 0.81 0.81 0.81 0.81 0.8 0.8 0.8 0.8 0.8
0.07 0.82 0.81 0.81 0.81 0.8 0.8 0.8 0.8 0.8 0.79
0.08 0.81 0.81 0.81 0.81 0.8 0.8 0.8 0.8 0.79 0.79
0.09 0.81 0.81 0.81 0.8 0.8 0.8 0.8 0.79 0.79 0.79
0.1 0.81 0.81 0.8 0.8 0.8 0.8 0.79 0.79 0.79 0.79
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -2 -1.9 -1.9 -2 -2 -2.1 -2.2 -2.2 -2.3 -2.4
0.02 -2.1 -2 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2 -2
0.03 -2.2 -2 -2 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9 -1.9
0.04 -2.2 -2.1 -2 -1.9 -1.9 -1.9 -1.9 -1.8 -1.8 -1.8
0.05 -2.2 -2.1 -2 -1.9 -1.9 -1.9 -1.8 -1.8 -1.8 -1.8
0.06 -2.2 -2.1 -2 -2 -1.9 -1.9 -1.8 -1.8 -1.8 -1.8
0.07 -2.2 -2.1 -2 -2 -1.9 -1.9 -1.8 -1.8 -1.8 -1.8
0.08 -2.2 -2.1 -2 -2 -1.9 -1.9 -1.8 -1.8 -1.8 -1.8
0.09 -2.2 -2.1 -2 -2 -1.9 -1.9 -1.8 -1.8 -1.8 -1.8
0.1 -2.2 -2.1 -2 -2 -1.9 -1.9 -1.8 -1.8 -1.8 -1.8
Table 13 : Correlation coefficients w/ Earnings : Owens
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
Table 14 : Dickey-Fuller t-value w/ Earnings : Owens
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -.062 0.054 0.11 0.14 0.17 0.19 0.2 0.22 0.23 0.24
0.02 -.14 0.024 0.11 0.16 0.2 0.23 0.25 0.27 0.28 0.3
0.03 -.21 -.022 0.085 0.15 0.2 0.24 0.27 0.29 0.31 0.32
0.04 -.27 -.070 0.053 0.13 0.19 0.23 0.27 0.29 0.32 0.33
0.05 -.32 -.12 0.018 0.11 0.18 0.22 0.26 0.29 0.32 0.34
0.06 -.36 -.16 -.018 0.083 0.16 0.21 0.25 0.29 0.31 0.34
0.07 -.39 -.20 -.055 0.054 0.13 0.19 0.24 0.28 0.31 0.33
0.08 -.43 -.24 -.090 0.024 0.11 0.17 0.23 0.27 0.3 0.33
0.09 -.45 -.28 -.12 -.0062 0.085 0.15 0.21 0.25 0.29 0.32
0.1 -.47 -.31 -.16 -.036 0.059 0.13 0.19 0.24 0.28 0.31
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.02 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.03 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.04 -2.9 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.05 -3 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.06 -3 -2.9 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.07 -3.1 -2.9 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.08 -3.2 -2.9 -2.8 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.09 -3.2 -3 -2.8 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
0.1 -3.3 -3 -2.9 -2.8 -2.7 -2.7 -2.7 -2.7 -2.7 -2.7
Table 15 : Correlation coefficients w/ Operating Income : Owens
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
Table 16 : Dickey-Fuller t-value w/ Operating Income : Owens
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.88 0.87 0.87 0.86 0.86 0.85 0.85 0.85 0.84 0.84
0.02 0.88 0.88 0.87 0.87 0.87 0.87 0.86 0.86 0.86 0.86
0.03 0.88 0.88 0.88 0.87 0.87 0.87 0.87 0.87 0.87 0.86
0.04 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87 0.87 0.87
0.05 0.88 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87 0.87
0.06 0.89 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87 0.87
0.07 0.89 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87 0.87
0.08 0.89 0.88 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87
0.09 0.89 0.88 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87
0.1 0.89 0.88 0.88 0.88 0.88 0.88 0.87 0.87 0.87 0.87
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.02 -4.3 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.03 -4.2 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.04 -4.2 -4.3 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.05 -4.1 -4.3 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.06 -4.1 -4.3 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.07 -4.1 -4.2 -4.3 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.08 -4 -4.2 -4.3 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4 -4.4
0.09 -4 -4.2 -4.3 -4.4 -4.4 -4.4 -4.4 -4.5 -4.5 -4.5
0.1 -4 -4.2 -4.3 -4.4 -4.4 -4.4 -4.4 -4.5 -4.5 -4.5
Table 17 : Correlation coefficients w/ Fund Flow : Owens
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
Table 18 : Dickey-Fuller t-value w/ Fund Flow: Owens
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.89 0.89 0.89 0.89 0.88 0.88 0.87 0.87 0.86 0.86
0.02 0.88 0.89 0.89 0.89 0.89 0.89 0.89 0.89 0.88 0.88
0.03 0.87 0.88 0.89 0.89 0.89 0.89 0.89 0.89 0.89 0.89
0.04 0.86 0.88 0.88 0.89 0.89 0.89 0.89 0.89 0.89 0.89
0.05 0.85 0.87 0.88 0.88 0.89 0.89 0.89 0.89 0.89 0.89
0.06 0.85 0.87 0.87 0.88 0.88 0.89 0.89 0.89 0.89 0.89
0.07 0.84 0.86 0.87 0.88 0.88 0.88 0.89 0.89 0.89 0.89
0.08 0.84 0.86 0.87 0.87 0.88 0.88 0.88 0.89 0.89 0.89
0.09 0.84 0.85 0.86 0.87 0.88 0.88 0.88 0.88 0.89 0.89
0.1 0.83 0.85 0.86 0.87 0.87 0.88 0.88 0.88 0.88 0.89
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -3.9 -4 -4 -3.9 -3.8 -3.8 -3.7 -3.7 -3.6 -3.6
0.02 -3.6 -3.9 -4 -4 -4 -4 -4 -3.9 -3.9 -3.9
0.03 -3.5 -3.8 -3.9 -4 -4.1 -4.1 -4.1 -4.1 -4.1 -4
0.04 -3.3 -3.7 -3.9 -4 -4 -4.1 -4.1 -4.1 -4.1 -4.1
0.05 -3.3 -3.6 -3.8 -3.9 -4 -4.1 -4.1 -4.1 -4.2 -4.2
0.06 -3.2 -3.5 -3.7 -3.9 -4 -4 -4.1 -4.1 -4.2 -4.2
0.07 -3.2 -3.4 -3.6 -3.8 -3.9 -4 -4.1 -4.1 -4.2 -4.2
0.08 -3.1 -3.4 -3.6 -3.8 -3.9 -4 -4 -4.1 -4.2 -4.2
0.09 -3.1 -3.4 -3.6 -3.7 -3.8 -3.9 -4 -4.1 -4.1 -4.2
0.1 -3.1 -3.3 -3.5 -3.7 -3.8 -3.9 -4 -4.1 -4.1 -4.2
Table 19 : Correlation coefficients w/ Earnings : Shoney's
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
Table 20 : Dickey-Fuller t-value w/ Earnings : Shoney's
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.51 0.5 0.49 0.48 0.46 0.45 0.44 0.43 0.43 0.42
0.02 0.49 0.5 0.49 0.48 0.48 0.47 0.46 0.46 0.45 0.44
0.03 0.48 0.48 0.48 0.48 0.47 0.47 0.47 0.46 0.46 0.45
0.04 0.46 0.47 0.47 0.47 0.47 0.46 0.46 0.46 0.45 0.45
0.05 0.45 0.46 0.46 0.46 0.46 0.45 0.45 0.45 0.45 0.44
0.06 0.44 0.44 0.45 0.45 0.45 0.45 0.44 0.44 0.44 0.44
0.07 0.43 0.43 0.43 0.44 0.44 0.44 0.43 0.43 0.43 0.43
0.08 0.41 0.42 0.42 0.42 0.42 0.43 0.42 0.42 0.42 0.42
0.09 0.4 0.41 0.41 0.41 0.41 0.42 0.42 0.41 0.41 0.41
0.1 0.39 0.4 0.4 0.4 0.41 0.41 0.41 0.41 0.41 0.4
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -2.2 -2.2 -2.3 -2.3 -2.4 -2.4 -2.4 -2.4 -2.4 -2.5
0.02 -2.1 -2.1 -2.2 -2.2 -2.3 -2.3 -2.3 -2.3 -2.3 -2.4
0.03 -2 -2.1 -2.1 -2.2 -2.2 -2.2 -2.2 -2.3 -2.3 -2.3
0.04 -2 -2 -2.1 -2.1 -2.1 -2.2 -2.2 -2.2 -2.2 -2.2
0.05 -2 -2 -2 -2.1 -2.1 -2.1 -2.1 -2.2 -2.2 -2.2
0.06 -2 -2 -2 -2 -2.1 -2.1 -2.1 -2.1 -2.1 -2.2
0.07 -1.9 -2 -2 -2 -2 -2 -2.1 -2.1 -2.1 -2.1
0.08 -1.9 -1.9 -2 -2 -2 -2 -2 -2.1 -2.1 -2.1
0.09 -1.9 -1.9 -1.9 -2 -2 -2 -2 -2 -2.1 -2.1
0.1 -1.9 -1.9 -1.9 -1.9 -1.9 -2 -2 -2 -2 -2
Table 21 : Correlation coefficients w/ Operating Income : Shoney's
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
Table 22 : Dickey-Fuller t-value w/ Operating Income : Shoney's
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.9 0.9 0.9 0.89 0.89 0.88 0.88 0.87 0.87 0.86
0.02 0.9 0.9 0.9 0.9 0.9 0.9 0.89 0.89 0.89 0.89
0.03 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.89
0.04 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9
0.05 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9
0.06 0.88 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9
0.07 0.88 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.9
0.08 0.88 0.89 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9
0.09 0.88 0.89 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9
0.1 0.88 0.89 0.89 0.9 0.9 0.9 0.9 0.9 0.9 0.9
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -3.4 -3.3 -3.2 -3.1 -3.1 -3 -3 -3 -3 -2.9
0.02 -3.3 -3.4 -3.4 -3.3 -3.3 -3.2 -3.2 -3.2 -3.1 -3.1
0.03 -3.3 -3.4 -3.4 -3.4 -3.4 -3.3 -3.3 -3.3 -3.2 -3.2
0.04 -3.2 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.3 -3.3 -3.3
0.05 -3.2 -3.3 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4
0.06 -3.1 -3.3 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4
0.07 -3.1 -3.3 -3.3 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4
0.08 -3.1 -3.2 -3.3 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4 -3.4
0.09 -3 -3.2 -3.3 -3.4 -3.4 -3.4 -3.4 -3.5 -3.5 -3.5
0.1 -3 -3.2 -3.3 -3.4 -3.4 -3.4 -3.4 -3.5 -3.5 -3.5
Table 23 : Correlation coefficients w/ Fund Flow : Shoney's
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
Table 24 : Dickey-Fuller t-value w/ Fund Flow : Shoney's
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.37 0.35 0.34 0.34 0.33 0.33 0.33 0.32 0.32 0.32
0.02 0.37 0.35 0.34 0.33 0.32 0.32 0.31 0.31 0.31 0.3
0.03 0.35 0.34 0.33 0.32 0.32 0.31 0.3 0.3 0.3 0.29
0.04 0.34 0.33 0.32 0.31 0.31 0.3 0.3 0.29 0.29 0.28
0.05 0.32 0.32 0.31 0.31 0.3 0.29 0.29 0.29 0.28 0.28
0.06 0.31 0.31 0.3 0.3 0.29 0.29 0.28 0.28 0.28 0.27
0.07 0.3 0.3 0.29 0.29 0.28 0.28 0.28 0.27 0.27 0.27
0.08 0.29 0.29 0.28 0.28 0.28 0.27 0.27 0.27 0.26 0.26
0.09 0.27 0.28 0.27 0.27 0.27 0.27 0.26 0.26 0.26 0.25
0.1 0.26 0.27 0.27 0.26 0.26 0.26 0.26 0.25 0.25 0.25
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -.99 -.84 -.83 -.87 -.94 -1.0 -1.1 -1.2 -1.2 -1.3
0.02 -1.2 -.95 -.85 -.81 -.79 -.79 -.81 -.83 -.86 -.89
0.03 -1.2 -1.1 -.93 -.86 -.81 -.79 -.77 -.77 -.77 -.78
0.04 -1.3 -1.1 -1.0 -.92 -.86 -.82 -.79 -.77 -.76 -.76
0.05 -1.3 -1.2 -1.1 -.97 -.91 -.86 -.82 -.80 -.78 -.76
0.06 -1.4 -1.2 -1.1 -1.0 -.95 -.90 -.86 -.83 -.80 -.78
0.07 -1.4 -1.2 -1.1 -1.0 -.98 -.93 -.89 -.85 -.83 -.80
0.08 -1.4 -1.3 -1.2 -1.1 -1.0 -.96 -.92 -.88 -.85 -.83
0.09 -1.4 -1.3 -1.2 -1.1 -1.0 -.99 -.94 -.91 -.87 -.85
0.1 -1.4 -1.3 -1.2 -1.1 -1.1 -1.0 -.96 -.93 -.89 -.87
Table 25 : Correlation coefficients w/ Earnings : Swank
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Earnings variable is used in the estimation of accounting betas.
Table 26 : Dickey-Fuller t-value w/ Earnings : Swank
Note: /
0
, /
1
are initial variances for measurement and transition equations.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.67 0.67 0.67 0.66 0.66 0.65 0.65 0.64 0.64 0.63
0.02 0.67 0.68 0.68 0.67 0.67 0.67 0.67 0.67 0.66 0.66
0.03 0.67 0.68 0.68 0.68 0.68 0.68 0.67 0.67 0.67 0.67
0.04 0.66 0.68 0.68 0.68 0.68 0.68 0.68 0.68 0.67 0.67
0.05 0.66 0.68 0.68 0.68 0.68 0.68 0.68 0.68 0.68 0.67
0.06 0.65 0.67 0.68 0.68 0.68 0.68 0.68 0.68 0.68 0.68
0.07 0.63 0.67 0.68 0.68 0.68 0.68 0.68 0.68 0.68 0.67
0.08 0.62 0.67 0.67 0.68 0.68 0.68 0.68 0.68 0.67 0.67
0.09 0.61 0.66 0.67 0.68 0.68 0.68 0.67 0.67 0.67 0.67
0.1 0.59 0.65 0.67 0.67 0.67 0.67 0.67 0.67 0.67 0.67
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -3.5 -3.1 -3 -3 -2.9 -2.9 -2.9 -2.9 -2.8 -2.8
0.02 -3.9 -3.4 -3.1 -3 -3 -2.9 -2.9 -2.9 -2.8 -2.8
0.03 -4.3 -3.6 -3.3 -3.1 -3 -2.9 -2.9 -2.9 -2.8 -2.8
0.04 -4.6 -3.8 -3.4 -3.2 -3 -3 -2.9 -2.9 -2.8 -2.8
0.05 -4.9 -3.9 -3.5 -3.2 -3.1 -3 -2.9 -2.9 -2.8 -2.8
0.06 -5 -4.1 -3.6 -3.3 -3.1 -3 -2.9 -2.9 -2.8 -2.8
0.07 -5.1 -4.2 -3.7 -3.4 -3.2 -3.1 -3 -2.9 -2.8 -2.8
0.08 -5.1 -4.3 -3.8 -3.5 -3.2 -3.1 -3 -2.9 -2.8 -2.8
0.09 -5.1 -4.4 -3.9 -3.5 -3.3 -3.1 -3 -2.9 -2.9 -2.8
0.1 -5.1 -4.5 -4 -3.6 -3.4 -3.2 -3.1 -3 -2.9 -2.8
Table 27 : Correlation coefficients w/ Operating Income : Swank
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
Table 28 : Dickey-Fuller t-value w/ Operating Income : Swank
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Operating Income variable is used in the estimation of accounting betas.
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 0.43 0.41 0.39 0.38 0.36 0.35 0.34 0.33 0.32 0.31
0.02 0.47 0.45 0.44 0.43 0.42 0.41 0.4 0.39 0.39 0.38
0.03 0.49 0.48 0.46 0.45 0.45 0.44 0.43 0.43 0.42 0.41
0.04 0.51 0.49 0.48 0.47 0.46 0.46 0.45 0.45 0.44 0.43
0.05 0.53 0.51 0.5 0.49 0.48 0.47 0.46 0.46 0.45 0.45
0.06 0.54 0.52 0.5 0.5 0.49 0.48 0.47 0.47 0.46 0.46
0.07 0.54 0.52 0.51 0.5 0.49 0.49 0.48 0.48 0.47 0.47
0.08 0.55 0.53 0.52 0.51 0.5 0.49 0.49 0.48 0.48 0.47
0.09 0.55 0.53 0.52 0.51 0.5 0.5 0.49 0.49 0.48 0.48
0.1 0.55 0.54 0.52 0.51 0.51 0.5 0.49 0.49 0.48 0.48
/
0
/
1 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1
0.01 -0.2 0 -0.9 -0.8 -0.7 -0.7 -0.7 -0.6 -0.6 -0.6
0.02 0 -0.9 -0.8 -0.7 -0.6 -0.6 -0.5 -0.5 -0.5 -0.4
0.03 -0.8 -0.7 -0.6 -0.6 -0.5 -0.4 -0.4 -0.3 -0.3 -0.3
0.04 -0.6 -0.6 -0.5 -0.4 -0.4 -0.3 -0.3 -0.2 -0.2 -0.1
0.05 -0.4 -0.4 -0.4 -0.3 -0.3 -0.2 -0.2 -0.1 -0.1 0
0.06 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.1 0 0 -0.9
0.07 -0.1 -0.1 -0.1 -0.1 -0.1 0 0 -0.9 -0.9 -0.9
0.08 0 0 0 0 0 -0.9 -0.9 -0.9 -0.8 -0.8
0.09 -0.8 -0.9 -0.9 -0.9 -0.9 -0.9 -0.8 -0.8 -0.8 -0.7
0.1 -0.7 -0.8 -0.8 -0.8 -0.8 -0.8 -0.8 -0.7 -0.7 -0.7
Table 29 : Correlation coeffients w/ Fund Flow : Swank
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.
Table 30 : Dickey-Fuller t-value w/ Fund Flow : Swank
Note: /
0
, /
1
are initial variances for measurement and transition equations.
Note: Fund Flow variable is used in the estimation of accounting betas.

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