Publication: El impacto de la relación negativa entre rentabilidad y riesgo medidos contablemente en la rentabilidad de mercado
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2004-07
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Asociación Española de Profesores Universitarios de Contabilidad
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Abstract
En los últimos años ha cobrado importancia el estudio de la "Paradoja de Bowman ", es decir, la correlación negativa existente entre las medidas de rentabilidad y riesgo obtenidas a partir de las cifras contables. No obstante, la investigación se ha centrado más en analizar las causas de esta relación que en explicar cómo pueden coexistir dos tipos distintos de relación rentabilidad-riesgo: negativa para los indicadores contables y positiva para los indicadores de mercado. En este trabajo desarrollamos un modelo matemático que compatibiliza ambas relaciones. Las conclusiones obtenidas en el modelo señalan hacia una relación positiva entre las medidas obtenidas en el mercado de capitales y el riesgo medido con cifras contables, as! como una relación negativa entre las primeras y la rentabilidad calculado contablemente.------------------------------------------------------------------
During the last few years, the importance of the research on Bowman '$ Paradox -the negative relationship between accounting measures of risk and retum- has grown. Nevertheless, research has mostly been focused on studying the causes of the negative accounting relation, instead of explaining how, two different types of risk-retum relationship can coexist: negative for the accounting indicators and positive for the market indicators. In this study, we develop a mathematical model, based on the Residual lncome Valuation Model for making both kinds of relations compatible. Our results show that there exists a positive relationship between the accounting measures of risk and the market measures of risk and retum, bul a negative influence of the accounting profitability on both market variables.
During the last few years, the importance of the research on Bowman '$ Paradox -the negative relationship between accounting measures of risk and retum- has grown. Nevertheless, research has mostly been focused on studying the causes of the negative accounting relation, instead of explaining how, two different types of risk-retum relationship can coexist: negative for the accounting indicators and positive for the market indicators. In this study, we develop a mathematical model, based on the Residual lncome Valuation Model for making both kinds of relations compatible. Our results show that there exists a positive relationship between the accounting measures of risk and the market measures of risk and retum, bul a negative influence of the accounting profitability on both market variables.
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Paradoja de Bowman, Relación rentabilidad-riesgo, Modelo de valoración del resultado residual, Bowman's Paradox, Risk-return relationship, Residual income valuation model
Bibliographic citation
Revista de contabilidad, v. 7, n. 13, julio-diciembre 2004, pp. 113-136