SİSTEMATİK RİSKİN BELİRLEYİCİLERİ: BORSA ISTANBUL TURİZM ŞİRKETLERİ ÜZERİNDE BİR ARAŞTIRMA

Yıl 2015, Cilt: 24 Sayı: 1, 189 - 202, 30.04.2015

Erdinç Karadeniz , Serkan Yılmaz Kandır , Ömer İskenderoğlu

Öz

Bu çalışmanın amacı, Borsa İstanbul’da (BIST) işlem gören turizm şirketlerinde sistematik risk düzeyini etkileyen değişkenlerin belirlenmesidir. Bu bağlamda, 8 turizm şirketinin 2003-2012 yılları arasındaki finansal verileri üzerinde Genelleştirilmiş Momentler Yöntemiyle analiz gerçekleştirilmiştir. Analiz sonucunda, BIST Turizm şirketlerinde aktif büyüklüğü ile sistematik risk arasında pozitif bir ilişki, aktif devir hızıyla sistematik risk düzeyi arasında ise negatif bir ilişkinin varlığı saptanmıştır. Öte yandan, modeldeki diğer bağımsız değişkenler olan asit test oranı, kaldıraç oranı ve aktif karlılığı ile sistematik risk düzeyi arasında istatistiksel olarak anlamlı bir ilişki belirlenememiştir.

Anahtar Kelimeler

Sistematik Risk, Beta, BIST Turizm Şirketleri

Kaynakça

• Akgüç, Ö. (1998), Finansal Yönetim, İstanbul: Avcıol Basım-Yayın. Akgüç, Ö. (2011), Mali Tablolar Analizi, İstanbul: Avcıol Basım-Yayın. Aksoy A. ve Tanrıöven, C. (2007), Sermaye Piyasası Yatırım Araçları ve Analizi, Ankara: Gazi Kitapevi. Alaghi, K. (2013), “Determinants of Systematic Risk of the Listed Companies in Tehran Stock Exchange”, Journal of Basic and Applied Scientific Research, 3(1): 596-600. Al-Qaisi, K. (2011), “The Economic Determinants of Systematic Risk in the Jordanian Capital Market”, International Journal of Business and Social Science, 2(20): 85-95. Amit, R. ve Livnat, J. (1988), “Diversification, Capital Structure, And Systematic Risk: An Empirical Investigation”, Journal of Accounting,Auditing & Finance, 3(1): 19-43. Andrew, W. ve Schmidgall, R. (1993), Financial Management for the Hospitality Industry, Michigan: AH&MA. Arellano, Manuel ve Bond, S. (1991), “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment”, Review of Economic Studies, 58(2): 277-297. Aydın, N., Başar, M. ve Çoşkun, M. (2010), Finansal Yönetim, Ankara: Detay Yayıncılık. Baltagi, B.H. (2005), Econometric Analysis of Panel Data (Third Edition), UK: John Wiley & Sons. Beaver, William ve Manegold, J. (1975), “The Association Between Market-Determined And Accounting-Determined Measures of Systematic Risk: Some Further Evidence”, Journal of Financial and Quantitative Analysis, 10(2): 231-284. Beaver, W., Kettler, P. ve Scholes, M. (1970), “The Association between Market Determined and Accounting Determined Risk Measures”, The Accounting Review, 45(4): 654-682. Ben-Zion, U. ve Shalit, S.S. (1975), “Size, Leverage, and Dividend Record as Determinants of Equity Risk”, The Journal of Finance, 30(4): 1015-1026. Berk, N. (2010), Finansal Yönetim, İstanbul: Türkmen Kitabevi. Binici, M., Köksal, B. ve Orman, C. (2013), “Stock Return Co-Movement and Systemic Risk in the Turkish Banking System”, Central Bank Review, 13: 41-63. Borde, S.F. (1998), “Risk Diversity Across Restaurants”, Cornell Hotel Quarterly and Restaurant Administration Quarterly, 39(6): 64-69. Bowman, R.G. (1979), “The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables”, The Journal of Finance: 34(3), 617-630. Breen, J. ve Lerner, M. (1973), “Corporate Financial Strategies and Market Measures of Risk and Return”, The Journal of Finance, 28(2): 339-351. Brigham, E. ve Gapenski, L. (1991), Financial Management Theory and Practice, USA: The Dryden Press. Brooks, C. (2008), Introductory Econometrics for Finance (Second Edition), USA: Cambridge University Press. Ceylan, A. ve Korkmaz, T. (1998), Borsada Uygulamalı Portföy Yönetimi, Bursa: Ekin Kitapevi. Ceylan, A. ve Korkmaz, T. (2004), Sermaye Piyasası ve Menkul Değer Analizi, Bursa: Ekin Kitapevi. Chee-Wooi, H. ve Chyn-Hwa, L. (2010), “The Determinants of Systematic Risk Exposures of Airline Industry in East Asia”, World Applied Sciences Journal, 10: 91-98. Civelek, M. ve Durukan, B. (1998), Investments, İzmir: Dokuz Eylül Yayınları. Copeland, T., Koller, T. ve Murrin, J. (1996), Valuation Measuring and Managing The Value of Companies, USA: John Wiley&Sons Inc.. Çabuk, A. ve Lazol, İ. (2008), Mali Tablolar Analizi, Bursa: Ekin Kitapevi. Fisher, L. (1959), “Determinants of Risk Premium on Corporate Bonds”, Journal of Political Economy, 67: 217-237. Grene, William H. (2003), Econometric Analysis (Fifth Edition), USA: Prentice Hall. Gu, Z. ve Kim, H. (1998), “Casino Firm’s Risk Features and Their Beta Determinants”, Progress in Tourism and Hospitality Research, 4: 357-365. Gu, Z. ve Kim, H. (2002), “Determinants of Restaurant Systematic Risk: A Reexamination”, The Journal of Hospitality Financial Management, 10(1): 1-13. Hagin, R. (1979), Modern Portfolio Theory, The Dow-Jones-Irwin Guide, Illinous: Homewood. Hamada, R. S. (1972), “The Effect of the Firm's Capital Structure on the Systematic Risk of Common Stocks”, Journal of Finance, 27(2): 435-452. Hsiao, C. (2003), Analysis of Panel Data (Second Edition), USA: Cambridge University Press. Hung, J. ve Liu, Y. (2005), “An Examination of Factors Influencing Airline Beta Values”, Journal of Air Transport Management, 11: 291–296. Iqbal, M. J. ve Syed Z. A. S. (2012), “Determinants of Systematic Risk”, Journal of Commerce, 4(1), 47-56. Jensen, M. C. (1984), “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”, American Economic Review, 76: 323-329. Jiao, D. (2013), Demand Volatility, Operating Leverage and Systematic Risk in Hospitality Industry (Basılmamış Yüksek Lisans Tezi).Tilburg: Tilburg Üniversitesi, Hollanda. Kamuyu Aydınlatma Platformu (2012), “Şirketler”, http://www.kap.gov.tr/sirketler/ islemgorensirketler/sektorler.aspx (Erişim:21.08.2013). Karadeniz, E. ve İskenderoğlu, Ö. (2011), “İstanbul Menkul Kıymetler Borsası’nda İşlem Gören Turizm İşletmelerinin Aktif Kârlılığını Etkileyen Değişkenlerin Analizi”, Anatolia: Turizm Araştırmaları Dergisi, 22(1): 65-75. Karadeniz, E., Kandır, S. Y. ve Önal, Y. B. (2007), “Seçilmiş Paydaşların SWOT Yöntemiyle Türk Turizm Yatırımlarını Değerlendirmesine Yönelik Bir Pilot Çalışma”, Anatolia: Turizm Araştırmaları Dergisi, 18(2): 195-205. Kaya, A., Güngör, B. ve Özçomak, M. S. (2013), “Politik Risk Yatırımcının Dikkate Alması Gereken Bir Risk midir? Borsa İstanbul Örneği”, 17. Ulusal Finans Sempozyumu, 23-26 Ekim 2013, Muğla, 24-31. Kim, H., Gu, Z., ve Mattila, A.S. (2002), “Hotel Real Estate Investment Trusts’ Risk Features And Beta Determinants”, Journal of Hospitality & Tourism Research, 26(2): 138-154. Lee, C.H. ve Chee, W. H. (2012), “Determinants of Systematic Financial Risk Exposures of Airlines in North America, Europe and Asia”, Journal of Air Transport Management, 24: 31-35. Lee, J. S. ve Soo, C. S. J. (2007), “The Systematic-risk Determinants of the US Airline Industry”, Tourism Management, 28: 434–442. Lee, Seoki (2008), “Examination of Various Financial Risk Measures for Lodging Firms”, Journal of Hospitality & Tourism Research, 32(2): 255-271. Lev, B. ve Kunitzky, S. (1974), “On the Association Between Smoothing Measures and the Risk of Common Stocks”, The Accounting Review, 49(2): 259-270. Lintner, J. (1965), “The Valuation of Risk Assets and The Selection of Risky Investments in Stock Portfolios and Capital Budgets”, The Review Of Economics and Statistics, 47(1): 13-37. Logue, L. ve Merville, J. (1972), “Financial Policy and Market Expectations”, Financial Management, 1(2): 37-44. Mandelker, G. N. ve Rhee S. G. (1984), “The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock”, Journal of Financial and Quantitative Analysis, 19(1): 45-57. Miller, K.D. ve Bromiley, P. (1990), “Strategic Risk and Corporate Performance: An Analysis of Alternative Risk Measures”, The Academy of Management Journal, 33(4): 756-779. Mossin, J. (1966), “Equilibrium in a Capital Asset Market”, Econometrica, 34(4): 768-783. Moyer, R. C. ve Chatfield, R. (1983), “Market Power and Systematic Risk”, Journal of Economics and Business, 35(1): 123-130. Peterson, P. (1994), Financial Management and Analysis, USA: Mc Graw Hill. Rosenberg, B. ve McKibbin, W. (1973), “The Prediction of Systematic and Specific Risk in Common Stocks”, Journal of Business and Quantitative Analysis, 8(3): 317-334. Rowe, T. ve Kim .J (2010), “Analyzing the Relationship Between Systematic Risk and Financial Variables in the Casino Industry”, UNLV Gaming & Research Journal, 12(2): 47-58. Sharpe, W. F. (1963), “A Simplified Model of Portfolio Analysis”, Management Science, 9(2): 277-293. Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19(3): 425-442. Sharpe, W.F., Alexander, G.J. ve Bailey, J.V. (1999), Investments, USA: Prentice-Hall. Sullivan, T. G. (1978), “The Cost of Capital and Market Power of Firms”, Review of Economics and Statistics, 60(2): 209-217. Tanrıöven, C. ve Aksoy, E. E. (2011), “Sistematik Riskin Belirleyicileri: İMKB’de Sektorel Karsılastırma”, Muhasebe ve Finansman Dergisi, 51: 119-138. Thompson II, Donald J. (1976), “Sources of Systematic Risk in Common Stocks”, Journal of Business, 49(2): 173-188. Titman, S. ve Wessels, R. (1988), “The Determinants of Capital Structure Choice”, The Journal of Finance, 43(1): 1-19.