Systematic Risk Determinants: A Case of Manufacturing Sector of Pakistan (2009-2014)

Abstract

The current study aims to investigate the antecedents of systematic risk. Liquidity, leverage, operating efficiency, profitability and firm size are used as determinants of systematic risk. For systematic risk proxy of beta is used to measure it. While, descriptive statistics, correlational analysis and common effect model is used to identify the nature of relationship among determinants of systematic risk. Thus, all hypotheses are accepted and one hypothesis is rejected. Hence, study revealed its results with respect to historic investigations.

Key Words: Systematic Risk, Beta, Determinants, Correlation, Common effect model