Does Idiosyncratic Risk Have a Significant Impact on Return Probability? A Case Study of Borsa Istanbul 100 Stocks

Yıl 2024, , 451 - 466, 30.06.2024

Salih Çam

https://doi.org/10.18074/ckuiibfd.1364613

Öz

Most asset pricing models ignore idiosyncratic risk, or firm-specific risk, while it is one of the most critical determinants of asset pricing and stock returns. In this paper, we investigate the impact of idiosyncratic risk on the returns of stocks traded on the Borsa Istanbul using six different fixed effect panel tobit and four different fixed effect panel logit regression models. The results of logit models suggest that as idiosyncratic risk increases, probability of positive stock returns also increases. Furthermore, an increase in a stock's market sensitivity has a negative effect on the probability of positive returns, while an increase in the market-to-book ratio, firm size, and market return has positive effects on returns. In all models, the explanatory variables, including idiosyncratic risk, market-to-book ratio, firm size, and market return, have a positive effect on returns, except for the model where negative values of dependent variable are censored at zero.

Anahtar Kelimeler

Idiosyncratic risk, tobit model, logit model, BIST100

Firmaya Riskinin Getiri Olasılıkları Üzerinde Bir Etkisi Var Mı? Borsa İstanbul 100 Hisse Senetleri Üzerine Bir Çalışma

Öz

Çoğu finansal varlık fiyatlama modeli varlık fiyatlamasındaki en önemli belirleyicilerinden biri olmasına rağmen firmaya özgü riski göz ardı etmektedir. Bu çalışmada, Sermaye Varlıkları Fiyatlama Modeli kullanılarak elde edilen firmaya özgü riskin İstanbul Menkul Kıymetler Borsası'nda işlem hisse senetlerinin getirileri üzerindeki etkisi altı farklı sabit etkiler tobit regresyon modeli ve dört farklı sabit etkiler logit regresyon modeli kullanılarak araştırılmıştır. Logit modellerden elde edilen sonuçlar firmaya özgü risk arttıkça pozitif hisse senedi getirisi olasılığının da arttığını göstermektedir. Ayrıca, bir hisse senedinin piyasa duyarlılığındaki bir artış pozitif getiri olasılığı üzerinde negatif bir etkiye sahipken, piyasa-defter değeri oranı, firma büyüklüğü ve piyasa getirisindeki artış getiriler üzerinde pozitif etkilere sahiptir. Sıfırda sansürlenen model hariç, tahmin edilen tobit modellerinin tümünde firmaya özgü risk, piyasa-defter değeri oranı, firma büyüklüğü ve piyasa getirisi hisse senedi getirileri üzerinde pozitif bir etkiye sahiptir.

Anahtar Kelimeler

Firmaya özgü risk, tobit model, logit model, BİST100

Kaynakça

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