Investigating the Effect of Unsystematic Risk on Stock Returns: The Empirical Research on Borsa İstanbul

Öz

Unsystematic risk has a great effect on the investors' decisions. Therefore, the unsystematic risk, which address all firm related risk including managerial risks influence investor demand for a stock and, consequently, its price. In emerging markets such as Borsa Istanbul, company based risk becomes even more significant due to structure of the market. Therefore, identifying the effect of unsystematic risk on returns provides valuable guidance to investors investing in Borsa Istanbul. This study examines the impact of unsystematic risk on stock returns using two methods and four different econometric models. The econometric models were estimated in the analysis, incorporating control variables such as book value-to-market value, beta, and firm size, in addition to unsystematic risk. The empirical results show that a higher level of firm-specific risk has a statistically significant and positive effect on stock returns. The book-to-market ratio and firm size also positively affect returns, while the effect of beta is inconsistent across models. The use of two different non-systematic risk measures and four dependent variables serves as a robustness check and demonstrates that the effect of non-systematic risk on returns is not merely a temporary phenomenon specific to the model structure.

Anahtar Kelimeler

• Unsystematic risk
• stock returns
• panel regression models

Sistematik Olmayan Riskin Pay Senedi Getirileri Üzerindeki Etkisinin Araştırılması: Borsa İstanbul Üzerine Ampirik Bir Araştırma

Öz

Sistematik olmayan risk yatırımcıların yatırım kararı üzerinde doğrudan bir etkiye sahiptir. Firmadan kaynaklı ve yönetimsel riskler yatırımcının pay senedine olan talebini ve dolayısıyla pay senedinin fiyatını belirlemektedir. Özellikle Borsa İstanbul gibi gelişmekte olan piyasalarda firma riski daha önemli hale gelmektedir. Dolaysıyla sistematik olmayan riskin getiri üzerindeki etkisinin ortaya konulması yatırımcılara rehber bilgiler sağlayacaktır. Bu amaçla, bu çalışmada iki farklı yöntem ile elde edilen sistematik olmayan riskin pay getirileri üzerindeki etkisi incelenmiştir. Dört farklı ekonometrik modelin tahmin edildiği analizde sistematik olmayan riske ek olarak defter değeri - piyasa değeri, beta ve firma büyüklüğü gibi bazı kontrol değişkenleri kullanılmıştır. Elde edilen ampirik sonuçlar, daha yüksek firma temelli risk seviyesinin pay getirileri üzerinde istatistiksel olarak anlamlı ve pozitif bir etkiye sahip olduğunu göstermektedir. Defter değeri-piyasa değeri ve firma büyüklüğü getirileri pozitif yönde etkilerken, betanın etkisi modeller arasında tutarsızdır. Analiz sürecinde kullanılan iki farklı sistematik olmayan risk ölçütü ile iki farklı bağımlı değişkenin dahil edilmesi, bir sağlamlık analizi işlevi görmekte ve sistematik olmayan riskin getiriler üzerindeki etkisinin sadece model yapısına özgü geçici bir durum olmadığını göstermektedir.

Anahtar Kelimeler

• Sistematik Olmayan Risk
• Pay Getirisi
• Panel Regresyon Modeli

Kaynakça

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