Systematic Risk and Earnings Manipulation: Evidence from PMG/ARDL Model

Abstract

The main objective of this study is to examine the relationship between risk and earnings manipulation. The study examines the relationship between systematic risk and earnings manipulation by using quarterly data of 160 real sector companies traded on Borsa İstanbul (BIST) between 2008Q1 and 2023Q3. The BETA value, also known as market risk for companies, is a systematic risk measure. The BETA value, which is used as a market risk measure, is an important market indicator used to measure the volatility of the stock prices of companies on the stock exchange compared to the entire market. The eight-factor Beneish M_SCORE value was taken as a proxy variable for earnings manipulation. In the study, PMG/ARDL panel method are used to estimate the long-run and short-run dynamic effects of systematic risk on earnings manipulation. The PMG/ARDL approach has a dynamic feature and is capable of producing both long-term and short-term impact results. BETA value has been found to have a significant positive effect on earnings manipulation in the long term. These results confirm that increasing the BETA value, which is a systematic risk indicator for listed companies, plays an important role in earnings manipulation.

Keywords

• Systematic risk
• earnings manipulation
• Beneish model
• real sector

Sistematik Risk ve Kazanç Manipülasyonu: PMG/ARDL Modelinden Elde Edilen Kanıtlar

Abstract

Bu çalışmada risk ve kazanç manipülasyonu arasındaki ilişkinin incelenmesi temel amacı oluşturmaktadır. Çalışmada Borsa İstanbul (BIST) piyasasında işlem gören 160 reel sektör şirketinin 2008Q1-2023Q3 arasındaki çeyreklik verileri kullanılarak sistematik risk ile kazanç manipülasyonu arasındaki ilişki incelenmiştir. Şirketler için piyasa riski olarak da bilinen BETA değeri sistematik risk ölçütüdür. Piyasa risk ölçütü olarak kullanılan BETA değeri, borsadaki şirketlerin hisse senedi fiyatının tüm piyasaya göre oynaklığını ölçmek için kullanılan önemli bir piyasa göstergesidir. Sekiz faktörlü Beneish M_SCORE değeri ise kazanç manipülasyonu için vekil değişken olarak alınmıştır. Çalışmada sistematik riskin kazanç manipülasyonu üzerinde uzun ve kısa dönemli dinamik etkilerin tahmininde PMG/ARDL panel yöntemi kullanılmıştır. Dinamik bir özelliğe sahip olan PMG/ARDL yaklaşımı hem uzun hem de kısa dönemli etki sonuçları üretme özelliğine sahiptir. Yapılan analizlerde ulaşılan bulgularda BETA değerinin uzun dönemde kazanç manipülasyonu üzerinde önemli düzeyde pozitif bir etkiye sahip olduğu görülmüştür. Bu sonuçlar, borsa şirketleri için sistematik bir risk göstergesi olan BETA değerinin artırmasının kazanç manipülasyonu üzerinde önemli bir rol oynadığını doğrulamaktadır.

Keywords

• Sistematik risk
• kazanç manipülasyonu
• beneish modeli
• reel sektör

Ethical Statement

Bu çalışmada yapılan analizler için etik kurul kararı gerekmemektedir.

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