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

Öz

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

Anahtar Kelimeler

• -

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

Öz

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

Anahtar Kelimeler

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

Kaynakça

1. AKSOY, A. ve TANRIÖVEN, C. (2007). Sermaye Piyasası Yatırım Araçları ve Analizi, Gazi Kitabevi, Ankara.
2. ALTMAN, E. (1968). “Financial Ratios, Discriminant Analysis and The Prediction of Corporate Bankruptcy”, The Journal of Finance, 23(4): 589-609.
3. ALTMAN, E. (1983). Corporate Financial Distress, John Wiley & Sons, New York.
4. ALTMAN, E. (1993). Corporate Financial Distress and Bankruptcy, John Wiley & Sons, Inc., New York.
5. ANJUM, S. (2012). “Business Bankruptcy Prediction Models: A Significant Study of The Altman‟s Z-score Model”, Asian Journal Of Management Research, 3(1).
6. ASQUITH, P., GERTNER, R. ve SHARFSTEIN, D. (1994). “Anatomy of Financial Distress: An Examination of Junk-Bond Issuers”, Quarterly Journal of Economics, 109: 625–658.
7. AYDIN, N., BAŞAR, M. ve COŞKUN, M. (2010). Finansal Yönetim, Detay Yayıncılık, Ankara.
8. BEAVER, W. H. (1966). “Financial Ratios as Predictors of Failure. Journal of Accounting Research”, 4: 71-111.

9. BEAVER, W.H., KETLER, P. ve SCHOLES, M. (1970). “The Association Between Market Determined and Accounting Determined Risk Measures”, The Accounting Review, 45(4): 645-682.
10. BEAVER, W.H., MCNICHOLS, M. ve RHIE, J.W. (2005). “Have Financial Statements Become Less Informative? Evidence From The Ability of Financial Ratios to Predict Bankruptcy”, Review of Accounting Studies, 10(1): 93-122.
11. BHARATH, S. T. ve SHUMWAY, T. (2008). “Forecasting Default with the Merton Distance to Default Model”, Review of Financial Studies, 21(3): 1339-1369.
12. BRADLEY, T. (2007). Essential Statistics for Economics, Business and Management, John Wiley & Sons, Ltd., England.
13. CAMPBELL, J. Y., HILSCHER, J. ve SZILAGYI, J. (2008). ”In Search of Distress Risk”, The Journal of Finance, 63(6): 2899-2939.
14. CANBAŞ, S. ve VURAL G. (2012). Finansal Yönetim, Karahan Kitabevi, Adana.
15. CHAVA, S., ve JARROW, R. (2004). “Bankruptcy Prediction With Industry Effects”, Review of Finance, 8(4): 537-569.
16. CHAVA, S. ve PURNANANDAM, A. (2010). “Is default Risk Negatively Related to Stock Returns?”, Review of Financial Studies, 23(6): 2523-2559.
17. CHEN, N., ve ZHANG, F. (1998). “Risk and Return of Value Stocks”, Journal of Business, 71(4): 501-535.
18. CORREIA, M., RICHARDSON, S. ve TUNA, I. (2012). “Value Investing in Credit Markets”, Review of Accounting Studies, 17: 572-609.
19. DAMBOLENA, I.G. ve KHOURY, S. J. (1980). “Ratio Stability and Corporate Failure”, The Journal of Finance, 35(4): 1017-1026.
20. DENIS, D.J. ve DIANE D. (1995). “Causes of Financial Distress Following Leveraged Recapitalization”, Journal of Financial Economics, 27: 411–418.
21. DICHEV, I. D. (1998). “Is the risk of bankruptcy a systematic risk?”, The Journal of Finance, 53(3): 1131-1147.
22. DICKEY, D.A. ve FULLER, W.A. (1979). “Distribution of The Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366): 427-431.
23. FAMA, E. F. ve FRENCH, K. R. (1992). “The Cross-Section of Expected Stock Returns”, The Journal of Finance, 47: 427-465.
24. FAMA, E. F. ve FRENCH, K. R. (1995). “Size and Book-to-Market Factors in Earnings and Returns”, The Journal of Finance, 50: 131-155.
25. FREES E.W. (2004). Longitudinal and Panel Data: Analysis and Applications in the Social Sciences, Cambridge University Press, New York.
26. FULMER, J.G., MOON, J.E., GAVIN, T,A. ve ERWIN, J.M. (1984). “A Bankruptcy ClassiŞcation Model for Small Firms”, Journal of Commercial Bank Lending, 66(11): 25–37.
27. GREENE, W.H. (2003). Econometric Analysis, Prentice Hall, New Jersey.
28. GRIFFIN, J. M., ve LEMMON, M. L. (2002). “Book-to-market equity, distress risk, and stock returns”, The Journal of Finance, 57(5): 2317-2336.
29. GUJARATI, D.N. (2006). Temel Ekonometri, (Çev.) ŞENESEN Ü. ve ŞENESEN, G.G, Literatür Yayıncılık, İstanbul.
30. HAMADA, R. S. (1972). “The Effect of the Firm‟s Capital Structure on the Systematic Risk of Common Stock”, The Journal of Finance, 27: 437-452.
31. HAUSMAN, J.A. ve TAYLOR, W.E. (1981). “Panel Data and Unobservable Individual Effects”, Econometrica, 49(6): 1377-1398.
32. HILLEGEIST, S. A., KEATING, E. K., CRAM, D. P. ve LUNDSTEDT, K. G. (2004). “Assessing the Probability of Bankruptcy”, Review of Accounting Studies, 9(1): 5-34.
33. HUO, Y.H. (2006). “Bankruptcy Situation Model in Small Business: The Case of Restaurant Firms”, Hospitality Review, 24(2): 49-58.
34. IM, K.S., PESARAN, M.H. ve SHIN, Y. (2003). “Testing For Unit Roots İn Heterogeneous Panels”, Journal of Econometrics, 115(1): 53–74.
35. IMANZADEH, P., JOURI , M.M. ve SEPEHRI ,P. (2011). “A Study of The Application of Springate and Zmijewski Bankruptcy Prediction Models in Firms Accepted in Tehran Stock Exchange”, Australian Journal of Basic and Applied Sciences, 5(11): 1546-1550.
36. JUDGE, G.G., GRIFFITHS, W.E., HILL, R.C., LÜTKEPOHL, H. ve LEE, T.C. (1985). The Theory and Practice of Econometrics, John Wiley & Sons, New York.
37. KEE Ho, Y., XU, Z. ve YAP, M.C. (2004). “R&D Investment and Systematic Risk”, Accounting and Finance, 44: 393-418.
38. KUMAR, R.G. ve KUMAR, K. (2012). “A Comparison of Bankruptcy Models”, International Journal of Marketing, Financial Services & Management Research, 1(4): 76-86.
39. LANG, L. ve STULZ, R. (1992). “Contagion and Competitive Intra-industry Effects of Bankruptcy Announcements”, Journal of Financial Economics, 32: 45-60.
40. LEV, B. (1974). “On the Association between Operating Leverage and Risk”, Journal of Financial and Quantitative Analysis, 9(4): 627-641.
41. LEVIN, A., LIN, C. ve CHU, C.J. (2002). “Unit Root Tests İn Panel Data: Asymptotic And Finite-Sample Properties”, Journal of Econometrics, 108(1): 1–24.
42. MALIK, U.S., AFTAB, M. ve NOREEN, U. (2013). “Distress Risk and Stock Returns in An Emerging Market”, Research Journal of Finance and Accounting, 4(17): 81-85.
43. McALISTER, L., SRINIVASAN, R. ve KIM, M. (2007). “Advertising, Research and Development and Systematic Risk of the Firm”, Journal of Marketing, 71: 35-48.
44. MOGHADAM, A. G., FARD, M. M. G. ve ZADEH, F. N. (2009). “Review of The Prediction Power of Altman and Ohlson Models in Predicting Bankruptcy of Listed Companies in Tehran Stock Exchange”, International Conference on Intellectual Capital Management, 7-8 October 2009.
45. OHLSON, J. A. (1980). “Financial Ratios and The Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, 109-131.
46. OPLER, T. ve TITMAN, S. (1994). “Financial Distress and Corporate Performance”, Journal of Finance, 49: 1015–1040.
47. PIOTROSKI, J. D. (2000). “Value Investing: The Use of Historical Financial Statement Information to Separate Winners From Losers”, Journal of Accounting Research, 38: 1-41.
48. PONGSATAT, S., RAMAGE, J. ve LAWRENCE, H. (2004). “Bankruptcy Prediction for Large and Small Firms in Asia: A Comparison of Ohlson and Altman”, Journal of Accounting and Croporate Governance, 1(2): 1-13.
49. RAHIMIPOOR, A. (2013). “A Comparative Study of Bankruptcy Prediction Models of Fulmer and Toffler in Firms Accepted in Tehran Stock Exchange”, Journal of Novel Applied Sciences, 2(10): 522-527.
50. ROSENBERG, B., REID, K. ve LANSTEIN, R. (1985). “Persuasive Evidence of Market Inefficiency”, Journal of Portfolio Management, 11: 9-17.
51. SARIASLAN, H. ve EROL, C. (2008). Finansal Yönetim, Siyasal Kitabevi, Ankara.
52. SHUMWAY, T. (2001). “Forecasting Bankruptcy More Accurately: A Simple Hazard Model”, The Journal of Business, 74(1), 101-124.
53. SPRINGATE, G. L.V. (1978). Predicting The Possibility of Failure In A Canadian Firm, Unpublished M.B.A. Research Project, Simon Eraser University.
54. STATTMAN, D. (1980). “Book Values and Stock Returns”, The Chicago MBA: A Journal of Selected Papers, 4: 25-45.
55. TANRIÖVEN, C. ve AKSOY, E.E. (2011). “Sistematik Riskin Belirleyicileri: İMKB‟de Sektörel Karşılaştırma”, Muhasebe ve Finansman Dergisi, 51: 119-138.
56. TSAI, C.F., LIN, Y.C., YEN, D.C. ve CHEN, Y.M. (2011). “Predicting Stock Returns by Classifier Ensembles”, Applied Soft Computing, 11(2): 2452-2459.
57. ÜRETEN, A. ve ERCAN, M.K. (2000). Firma Değerinin Tespiti ve Yönetimi, Gazi Kitabevi, Ankara.
58. VASSALOU, M. ve XING, Y. (2004). “Default risk in equity returns”, The Journal of Finance, 59(2): 831-868.
59. ZMIJEWSKI, M. E. (1984). “Methodological Issues Related to The Estimation of Financial Distress Prediction Models”, Journal of Accounting Research, 22: 59-82.