İflas Olasılığı İle Sistematik Risk İlişkisinin İncelenmesi ve Etkin İflas Göstergesi Modellerinin Tespiti: BİST’de Ampirik Bir Uygulama

Year 2014, Volume: 19 Issue: 4, 127 - 142, 01.12.2014

  yrd.doç.dr.ibrahim Bozkurt

Abstract

The aim of this study is to reveal the effect of firms’ bankruptcy probabilities on systematic risks of these firms and determine the efficient models predicting bankruptcy for the firms traded on the ISE. In this study performed by using 127.008 observation of 168 firms traded on ISE, standardized normal distributions of bankruptcy score of 8 models (Altman-Z, Altman-Z’, Altman-Z”, Canada-CA, Ohlson-O, Springate-S, Fulmer-F and Zmijewski-J) are used in order to determine the probabilities of firms’ bankruptcy. 20.664 monthly stock returns of 168 firms are used in order to assess the systematic risks. The relationship between the probabilities of firms’ bankruptcy and systematic risks of theirs is investigated by using panel regression analysis. Results of this study reveal that both high probability of bankruptcy cause an increase in systematic risks and Altman-Z”, Ohlson-O and Springate-S models are most efficient models on the ISE

Keywords

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İFLAS OLASILIĞI İLE SİSTEMATİK RİSK İLİŞKİSİNİN İNCELENMESİ VE ETKİN İFLAS GÖSTERGESİ MODELLERİNİN TESPİTİ: BİST’DE AMPİRİK BİR UYGULAMA

Abstract

Bu çalışma, firma iflas olasılıklarının firmaların sistematik riskleri üzerindeki etkisini ortaya koymayı ve Borsa İstanbul’da işlem gören firmalar için sistematik riskteki değişimi en iyi açıklayan (etkin) modelleri tespit etmeyi amaç edinmiştir. Borsa İstanbul’da işlem gören 168 firmaya ait 127.008 adet gözlemin kullanıldığı çalışmada, firma iflas olasılıklarının belirlenmesinde sekiz farklı model (Altman-Z, Altman-Z’, Altman-Z”, Kanada-CA, Ohlson-O, Springate-S, Fulmer-F ve Zmijewski-J) skorunun standardize normal dağılım değerlerinden yararlanılmıştır. Sistematik risklerin hesaplanmasında ise 168 firmanın toplam 20.664 adet aylık hisse getirisi kullanılmıştır. Firmaların iflas olasılıkları ile sistematik riskleri arasındaki ilişki, panel veri regresyon analizi yöntemi ile incelenmiştir. Çalışma sonucunda, yüksek iflas olasılığının sistematik riski artırdığı ve Altman-Z”, Ohlson-O ve Springate-S iflas modellerinin Borsa İstanbul için etkin model olduğu (sistematik risklerdeki değişimleri daha iyi açıkladığı) tespit edilmiştir

Keywords

İflas Göstergesi Modelleri, Sistematik Risk, Borsa İstanbul, Panel Veri Regresyon Analizi

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