Determinants of affecting level from systematic risk: evidence from BIST 100 companies in Turkey

The main purpose of this paper is to examine the impact of accounting variables on systematic risk of firms. By using data of 58 companies from BIST-100 Index for the period between 2006 and 2015, panel data analysis is employed. The results of the study indicate a statistically significant and positive effect of asset size, asset turnover, previous term equity to total debt and previous term cash ratio on systematic risk. On the other hand, negative influence of profitability, equity to total debt, cash ratio and previous term debt to total assets on systematic risk is detected. Also the study determines that consumer price index, previous term beta and previous term GDP per capita affects the systematic risk negatively and increase the explanatory power of the model significantly.