The Relationship between Accounting Earnings Beta and Size of a Company with Systematic Risk in Different Industries: Evidence from the Tehran Stock Exchange

Being aware of the degree of risk in companies, especially systematic risk which can play a significant role in decision making process is one of the most important issues in the capital market. Because it is believed that return on an investment is dependent on systematic risk and systematic risk reflects changes in a share returns in proportion to those in a total share market return. Thus, the main purpose of this study is to investigate informational contents of accounting earnings beta and size of the company in predicting systematic risk. To achieve this purpose 122 companies in 18 industries whose data for 6 years was available (2006-2011) were selected. In general and based on distinguishing industries, the hypotheses were tested by using Spearman and Pearson correlation coefficients, multiple-variable regression, between-testee one -way variance analysis, and Kruskal-Wallis test. The SPSS 20 software package was used to analyze data. Results indicated that without distinguishing industries, the significant relationship exists only between size of the companies and systematic risk, in addition, information content of size is more in predicting risk. Whereas, in distinguishing industries there is a significant relationship between systematic risk and accounting profit beta among three industries and there is a significant relationship between systematic risk and size in five industries. Besides, the information content of accounting profit beta and size of the company to predict systematic risks in distinguished industries was different.