This dissertation aims to investigate the variation in daily systematic risk
(beta) of individual stocks around firm-specific news in an emerging market. Using
intraday prices of every stock traded on Borsa Istanbul over the period 2005-2013,
we find that there is a statistically significant spike in systematic risk of individual
stocks on earnings announcements days. Betas of individual stocks increase from
0.09 five days before the event date to 0.155 on event date and then returns to their
average level in 11 to 15 days after the announcements. Our findings are different
from the ones in the developed markets where systematic risk increases exactly on
the earnings announcements days and returns to their average level in 2 to 5 days
later. We additionally divide our earnings announcements into the news with good
and bad earnings signs and our findings indicate that betas increase greater around
earnings news with good earnings sign than around news with bad earnings sign. We
further performed a panel regression on individual stocks with different
characteristics around different types of earnings news in various economic
circumstances. Our findings are consistent with a framework of the patterns of time variation in systematic risk around firm-specific newThis dissertation aims to investigate the variation in daily systematic risk
(beta) of individual stocks around firm-specific news in an emerging market. Using
intraday prices of every stock traded on Borsa Istanbul over the period 2005-2013,
we find that there is a statistically significant spike in systematic risk of individual
stocks on earnings announcements days. Betas of individual stocks increase from
0.09 five days before the event date to 0.155 on event date and then returns to their
average level in 11 to 15 days after the announcements. Our findings are different
from the ones in the developed markets where systematic risk increases exactly on
the earnings announcements days and returns to their average level in 2 to 5 days
later. We additionally divide our earnings announcements into the news with good
and bad earnings signs and our findings indicate that betas increase greater around
earnings news with good earnings sign than around news with bad earnings sign. We
further performed a panel regression on individual stocks with different
characteristics around different types of earnings news in various economic
circumstances. Our findings are consistent with a framework of the patterns of time variation in systematic risk around firm-specific new
Bu tezde, gelişmekte olan bir piyasada sistematik riskin firmaya özgü haberlere tepki verip vermediği analiz edilmektedir. Bu kapsamda tezde Borsa İstanbul'da 2005-2013 döneminde işlem gören her bir pay senedinin gün içi 15dk lık fiyat verileri kullanılmıştır. Ampirik bulgular sistematik riskin firmaya özgü haberlere istatistiksel olarak anlamlı bir tepki verdiğini göstermektedir. Sistematik risk karlılık duyuruları açıklanmadan önce 0.09 düzeyindeyken karlılık duyuruları açıklandığında 0.155 seviyelerine yükselmektedir ve 11-15 gün içinde tekrar ortalama seviyesine geri dönmektedir. Bu bulgular gelişmiş ülke bulgularından farklılık göstermektedir. Gelişmiş ülkelerde sistematik risk karlılık haberlerine haberin açıklandığı gün yüksek bir tepki vermektedir ve daha sonra 2 ile 5 gün arasında ortalama seviyesine geri dönmektedir. Bu tezde ayrıca ampirik bulguların tutarlılığının sınanması için firmaya özgü haberler iyi haber-kötü haber olarak ikiye ayrılmıştır ve sistematik riskin firmaya özgü haberlere tepkisinin farklı karakteristik özelliklere göre değişim gösterip göstermediği panel regresyon analizi ile incelenmiştir
