Relation entre le coefficient du risque systématique béta et la structure du capital en contexte ouest africain: cas des sociétés cotées à la bourse ghanéenne

Bara Ndiaye ()
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Bara Ndiaye: UGB - Université Gaston Berger de Saint-Louis Sénégal

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Abstract: This research is applied to the companies listed on Ghana Stock Exchange and it analyses the relationship between the structure of the capital and the level of the market risk. These problem is already studied by researchers who empirically validated the existence of a relation (Hamada, 1972; Hill and Stone, 1980; Mandelker and Rhee, 1984). However these works date of more than three decades and they were made on large stock exchange markets like the NYSE. Under this logic, the implications of the structure of the capital on the systematic risk of the companies listed on the African western markets appear to us to be unknown. To this end, we first test the empirical model of R. Hamada (1972). Then starting from this model, we try to build a thorough model which makes it possible to mitigate limits of the relation of Hamada. We finish by making a comparative analysis of the results from the two models. Our results show a positive relation between the risk of market and the structure of the capital when beta is positive. In the contrary case, the relation becomes negative. The comparative analysis reveals that the model of Hamada over-estimates slightly beta unlevered.

Keywords: beta; beta unlevered; structure of the capital; model of Hamada; GSE (search for similar items in EconPapers)
Date: 2019-12-22
Note: View the original document on HAL open archive server: https://hal.science/hal-02422418
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