Determinants of the Systematic Risk of the Cement Industry of Bangladesh

Abstract

This study looks at how a cement manufacturing company's financial features affect the systemic risk or beta. We collected data regarding the financial performance of all the publicly traded cement manufacturing companies for a six-year period (from 2016 to 2021) to identify the determinants of systematic risk or beta. We used linear regression with panel corrected standard error model. The study evaluated seven performance measures, profitability (Return on Asset), solvency (Equity Ratio), inventory efficiency (Inventory Turnover), asset efficiency (Asset Turnover), liquidity (Cash Ratio), company’s growth (Earnings before Interest and Tax growth) and company’s cash generation capability (Operating Cash Flow to Sales) to see whether these factors had any statistically significant relationship with systematic risk or beta. The study found that solvency, asset efficiency, liquidity are statistically significant determinants of beta at five percent significance level. The Inventory Turnover is statistically significant determinant of beta at ten percent significance level. None of the other variables had any statistically significant relationship with beta.