The Systematic-Risk Determinants of the European Accommodation and Food Services Industry in the Period 2003-2011

被引：5

作者：

Boz, Gokahn ^{[1
]}

Menendez-Plans, Carlota ^{[2
]}

Orgaz-Guerrero, N. ^{[1
,3
]}

机构：

[1] Univ Autonoma Barcelona, E-08193 Barcelona, Spain

[2] Univ Autonoma Barcelona, Dept Business, E-08193 Barcelona, Spain

[3] Univ Oberta Catalunya, Econ & Business Studies Dept, Catalunya, Spain

来源：

CORNELL HOSPITALITY QUARTERLY | 2015年 / 56卷 / 01期

关键词：

asset pricing; corporate finance; financial accounting; macroeconomic information; HOTEL; EQUITY; VOLATILITY; US; ASSOCIATION; PERFORMANCE; RETURNS; COUNTRY; MARKETS; GROWTH;

D O I：

10.1177/1938965514559047

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

An analysis of factors that affect the discount rates and stock risk of European tourism firms during the period of 2003-2011 finds that macroeconomic variables have the greatest effect. Using the capital asset pricing model (CAPM), the study tests seven macroeconomic variables and seven accounting variables to better understand what most affects a stock price beta. The size of European tourism firms (measured by assets) is the only accounting factor that influences stock risk, while three macroeconomic factors, namely, European gross domestic product growth, exchange rate variation (between the euro and the U.S. dollar), and the profitability of the Dow Jones industrial average, have high explanatory power to predict variation of European companies' stock risk.

引用

页码：41 / 57

页数：17

共 62 条

[1]

Agusman A., 2008, J BANK FINANC, V32, P480

[2]

Arfaoui M., 2010, Journal of Advanced Studies in Finance, V2, P119

[3] Volatility spillover effects in European equity markets [J].