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Determinants of systematic risk in the US Restaurant industry

Author

Listed:
  • Sung Y. Park

    (Chung-Ang University, South Korea)

  • Sang Hyuck Kim

    (Gachon University, South Korea)

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.

Suggested Citation

  • Sung Y. Park & Sang Hyuck Kim, 2016. "Determinants of systematic risk in the US Restaurant industry," Tourism Economics, , vol. 22(3), pages 621-628, June.
    • Handle: RePEc:sae:toueco:v:22:y:2016:i:3:p:621-628
    DOI: 10.5367/te.2014.0432
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    References listed on IDEAS

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    Cited by:

    1. Madhusmita Bhadra & Doyeon Kim, 2023. "Income elasticity of demand and stock market beta," International Finance, Wiley Blackwell, vol. 26(2), pages 225-240, August.

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