COMPARISON OF FIXED EFFECTS AND RANDOM EFFECTS PANEL MODELS FOR THE ESTIMATION OF ACCOUNTING BETA COEFFICIENT

Abstract

The accounting beta coefficient is a financial indicator used to measure the volatility of a company in the market, which allows
incorporating the idiosyncrasies of closely held companies. The following paper proposes the application of a market risk
measurement methodology based on the use of the accounting beta coefficient. In order to meet the objective, the research was
carried out from a quantitative approach, using an exploratory research design. The study analyses a total of 2351 unlisted
companies in the Colombian service sector. The results of the measurements show that the leverage of the companies is a
determining element in the level of risk of the companies analysed. It can be concluded that accounting beta measured through
ROE is the measure that best captures the risk assumed by shareholders and/or investors