Determinants of systematic risk in the US Restaurant industry

Sung Y. Park and Sang Hyuck Kim
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Sang Hyuck Kim: Gachon University, South Korea

Tourism Economics, 2016, vol. 22, issue 3, 621-628

Abstract: To compare previous studies, this study re-examines the determinants of systematic risk in the restaurant industry. To estimate systematic risk, the authors specify flexible models that take care of serial dependence, autoregressive conditional heteroskedasticity and non-normality of the time series data. Using the estimated systematic risk, they analyse the determinants of risk using a quantile regression approach. The empirical results show that a firm’s liquidity ratio, efficiency ratio, debt leverage ratio and size are the main determinants of systematic risk in the restaurant industry. Moreover, it turns out that the effects of liquidity, debt leverage and efficiency decrease as the considered risk levels increase.

Keywords: quantile regression method; restaurant industry; risk determinant; systematic risk (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:sae:toueco:v:22:y:2016:i:3:p:621-628

DOI: 10.5367/te.2014.0432

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