Analyze the relationship between the accounting variables and systematic risk using Istanbul Stock Exchange data

The objective of this study is to analyze the relationship between the accounting variables and systematic risk using Istanbul Stock Exchange data.In the first chapter, the risk and return notions are discussed. After return and risk concepts are explained, the differences between risk and uncertainity are elaborated. Moreover, we attempt to a classification for the in this chapter.In the second portfolio and portfolio management concepts, risks than can be eliminated by means of diversification (unsystematicrisks), risks that affect the whole market (systematicrisks) are explained. Single and multiple index models are elaboreted in this chapter.In the third chapter one the most important models in finance, Capital Asset Pricing Model (CAPM), is explained. The basic assumptions of the model, the concept of riskless security, seperation theorem, the Security Market Line (SML) and beta are also explained in this chapter.Chapter forth presents the literatüre review. Previouswork on the relationship between beta and accounting variables that are on international market sand the studies that used at a fromTurkish markets have been reviewed in this chapter.In Chapter fifth, the relationship between the accounting variables and risk is modeled using Istanbul Stock Exchange data. Twenty nine stocks are included in the sample and their betas are calculated using Daily prices and a multiple regression model. Then, betas obtained from the regression models have been used as dependent variables in a regression model with eight accounting variables which were used as independent variables.