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ON THE RELATIONSHIP BETWEEN FINANCIAL (ACCOUNTING) VARIABLES AND MARKET MEASURES OF RISK AND INVESTMENT PERFORMANCE OF SELECTED U.S. MULTINATIONAL CORPORATIONS (UNITED STATES)
Abstract
This dissertation examines the usefulness of a selected set of financial (accounting) variables within the context of two specific capital market phenomena--systematic risk and investment performance. Multivariate analysis was performed on a selected sample of U.S. multinational firms to test the primary dual hypotheses that financial (accounting) variables reflect underlying risk and performance determinants of U.S. multinational corporations. Univariate analysis was utilzed to test the secondary hypothesis that market risk reflects market performance. Multivariate tests. Linear additive models were adopted to incorporate the selected financial (accounting) variables in simultaneous regression equations relative to estimates of systematic risk and investment performance. Tests of association included prior examination of intercorrelations between independent variables, transformation of return, restriction of entry into the same regression equation for highly correlated variables, formation of portfolios for controlling measurement errors, and tests of normality and for stability of association. Results of these tests indicated that different sets of variables were significantly associated with systematic risk and investment performance. Overall results of this study led to rejection of the null hypothesis of "no association". Univariate tests. Simple regression analysis was utilized to test the relationship between beta and the Treynor measure of performance. Test of the association was intended to offer further evidence on the controversial issue of an inversely-biased relationship between beta and performance. Based upon results of a series of tests, a significant association between the two measures was not confirmed. The secondary null hypothesis of "no association" between beta and performance could not be rejected. Acceptance of the null hypothesis, therefore, established the need for delineation of financial (accounting) variables in evaluation of U.S. multinational firms' performance.
Subject Area
Accounting
Recommended Citation
LEW, ALBERT YEE-HONG, "ON THE RELATIONSHIP BETWEEN FINANCIAL (ACCOUNTING) VARIABLES AND MARKET MEASURES OF RISK AND INVESTMENT PERFORMANCE OF SELECTED U.S. MULTINATIONAL CORPORATIONS (UNITED STATES)" (1984). ETD collection for University of Nebraska-Lincoln. AAI8423808.
https://digitalcommons.unl.edu/dissertations/AAI8423808