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Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması

Yıl 2019, Sayı: 86, 97 - 113, 31.05.2019

Cemile Özgür

Öz

Bu araştırmada, Borsa İstanbul’da hisseleri işlem gören ve BİST Sınai endeksinin birer üyesi olan yüz adet firma belirlenmiş ve bu firmaların 2012–2017 çeyrek dönemlerine ait hisse senedi getirileri ile finansal oranları arasındaki ilişki incelenmiştir. Bu amaçla, son yirmi yıl içerisinde geliştirilen ve Panel Autoregressive Distributed Lag (Panel-ARDL) olarak adlandırılan model kullanılarak, bağımlı (hisse senedi getirileri) ve bağımsız (finansal oranlar) değişkenlerin gecikmeli değerleri regresyon modeline dahil edilmiş ve oluşturulan panel veri seti analiz edilmiştir. Bu yöntemin geliştirilmesi ile tüm değişkenlerin gecikmeli değerlerinin de hisse senedi getirileri üzerindeki açıklama ve tahmin gücünün araştırılması mümkün kılınmıştır. Bu araştırma ile elde edilen bulgulara göre, hisse senedi getirileri ile cari oran, alacak devir hızı, aktif devir hızı, net kar marjı ve özsermaye/maddi duran varlıklar oranları arasında uzun dönemli; kaldıraç oranı, aktif devir hızı, net kar marjı, alacak devir hızı oranları arasında ise kısa dönemli olmak üzere, hisse senedi getirileri ile finansal oranlar arasında iki farklı türde ilişkinin mevcut olduğu görülmüştür.

Anahtar Kelimeler

Hisse senedi getirileri Finansal oranlar Uzun ve kısa dönemli ilişki Panel veri analizi Panel ARDL BİST

Kaynakça

  • Aberbanell, J. S. & Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. The Accounting Review, 73(1), 19–45.
  • Alexakis, C., Patra, T., & Poshakwale, S. (2010). Predictability of stock returns using financial statement ınformation: Evidence on semi-strong efficiency of emerging greek stock market. Applied Financial Economics, 20(16), 1321–1326.
  • Aktaş, R. & Karan, M. B. (1999). Multivariate statistical modelling for the classification of the shares traded at the IMKB as to their average earnings. Kara Harp Okulu Bilim Dergisi, 3, 44–55.
  • Aktaş, R. & Karan, M. B. (2000). Predicting stock returns using fundamental ınformation and multivariate statistical modelling: An empirical study on ıstanbul stock exchange. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 18(2), 433–449.
  • Beaver, W. H., Lambert, R. A. & Morse, D. (1980). The ınformation content of security prices. Journal of Accounting and Economics, 2, 3–28.
  • Canbaş, S., Düzakın, H. & Kılıç, S. B. (2002). Fundamental and macroeconomic ınformation for common stock valuation: The turkish case. Yapı Kredi Economic Review, 13(1), 55–64.
  • Collins, D. W., Kothari, S. P. & Rayburn, J. D. (1987). Firm Size and the ınformation content of prices with respect to earnings. Journal of Accounting and Economics, 9, 111–38.
  • Cowles, A. & Jones, H. (2002). Some a posteriori probabilities in stock market action. Econometrica, 5(3), 280–294.
  • Dehuan, J. & Jin, Z. (2008). Firm performance and stock returns: An empirical study of the top performing stocks listed on Shanghai stock exchange. Academy of Accounting and Financial Studies Journal, 12(1), 79–85.
  • Demirgüneş, K. (2015). Determinants of target dividend payout ratio: a panel autoregressive distributed lag analysis. International Journal of Economics and Financial Issues, 5(2), 418–426.
  • Ege, İ. ve Bayrakdaroğlu, A. (2009). İMKB şirketlerinin hisse senedi getiri başarılarının lojistik regresyon tekniği ile analizi. Zonguldak Karaelmas University Journal of Social Sciences, 5(10), 139–158.
  • Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 383–417.
  • Fama, E. F.&e French, K. R. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96(2), 246–273.
  • Fama, E. F. & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427–465.
  • Freeman, R. N. (1987). The association between accounting earnings and security returns for large and small firms. Journal of Accounting and Economics, 9, 195–228.
  • Güler, A. ve Özyurt, H. (2011). Merkez bankası bağımsızlığı ve reel ekonomik performans: panel ardl analizi. Ekonomi Bilimleri Dergisi, 3(2), 11–20.
  • Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46, 1251–1272.
  • Holthausen, W. & Larcker, D. (1992). The prediction of stock returns using financial statement ınformation. Journal of Accounting and Economics, 15, 373–411.
  • Im, K. S., Pesaran, M. H. & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53–74.
  • Kao, C. D. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90, 1–44.
  • Kendall, M. & Hill, A. (2002). The analysis of economic time-series-part I: Prices. Journal of the Royal Statistical Society, Series A, 116 (1) (1953), 11–34.
  • Korkmaz, Ö. ve Karaca, S. S. (2013). Firma performansını etkileyen faktörler ve türkiye örneği. Ege Akademik Bakış, 13(2), 169–179.
  • Levin, A., Lin, C. F. & Chu, C. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108, 1–24.
  • Lewellen, J. (2002). Predicting Returns with Financial Ratios. MIT Sloan School of Management Working Paper 4374-02.
  • Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61, 631–652.
  • Martikainen, T. (1989). Modelling stock price behaviour by financial ratios, Rivista di Matematica per le Scienze Economiche e Sociali - Anno 12, Fascicolo 1 (Decisions in Economics and Finance, 12(1)), 119-138.
  • Martinez, I. (1999). Fundamental and macroeconomic ınformation for the security prices valuation: The french case. Managerial Finance, 12, 17–30.
  • Mukherji S., Manjeet, S. D. & Yong, H. K. (1997). A fundamental analysis of korean stock returns. Financial Analysts Journal, 53(3), 75–80.
  • Navas, R. D. (2017). Accounting Fundamentals and Volatility in the Euronext 100 index. Doktora Tezi, Universidade Da Beira Interior, Ciências Sociais e Humanas, 19.05.2018. https://ubibliorum.ubi.pt/bitstream/10400.6/4459/1/Accounting%20Fundamentals%20and%20Volatility%20in%20the%20Euronext%20100%20index%20-%20Definitiva.pdf
  • Ou, J. A. & Penman, S. H. (1989). Accounting measurement, price-earnings ratio, and the ınformation content of security prices. Journal of Accounting Research, 27, 111–144.
  • Öz, B., Ayrıçay, Y. ve Kalkan, G. (2011). Finansal oranlarla hisse senedi getirilerinin tahmini: İMKB 30 endeksi hisse senetleri üzerine diskriminant analizi ile bir uygulama. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 11(3), 51–64.
  • Pesaran, M. H., Shin, Y. & Smith, R. P. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association, 94(446), 621–634.
  • Pesaran, M. H., Shin, Y. & Smith, R. P. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Pontiff, J. & Schall, L. D. (1998). Book-to-market ratios as predictors of market returns. Journal of Financial Economics, 49(2), 141–160.
  • Poterba, J. & Summers, L. (1988). Mean-Reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22, 27–59.
  • Setiono, B. & Strong, N. (1998). Predicting stock returns using financial statement ınformation. Journal of Business Finance and Accounting, 25(5-6), 631–657.
  • Working, H. (2002). A random-difference series for use in the analysis of time series. Journal of the American Statistical Association, 29(185) (1934), 11–24.

A Panel ARDL Application on the Research of the Relationships between Stock Returns and Financial Ratios

Yıl 2019, Sayı: 86, 97 - 113, 31.05.2019

Cemile Özgür

Öz

In this research, one hundred firms that are a member of BIST Industrial Index are selected and the relationship between their stock returns and financial ratios are examined for the quarterly period of 2012-2017. For this purpose, lagged values of dependent (stock returns) and independent (financial ratios) variables are included in a regression model and the panel data is analyzed by employing Panel Autoregressive Distributed Lag (Panel-ARDL) Model that is developed during the last twenty years. The development of this method made it possible to investigate the stock return explanation and forecasting power of lagged values of all variables. According to the results obtained within this research, the existence of two different types of relationships between stock returns and financial ratios; consisting a statistically significant long-term relationship between stock returns and current ratio, accounts receivable turnover rate, asset turnover rate, net profit margin and shareholders’ equity/tangible fixed assets ratio and a statistically significant short-term relationship between stock returns and leverage ratio, asset turnover rate, net profit margin and accounts receivable turnover rate are observed.

Anahtar Kelimeler

Stock returns Financial ratios Long and short term relation Panel data analysis Panel ARDL BIST

Kaynakça

  • Aberbanell, J. S. & Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. The Accounting Review, 73(1), 19–45.
  • Alexakis, C., Patra, T., & Poshakwale, S. (2010). Predictability of stock returns using financial statement ınformation: Evidence on semi-strong efficiency of emerging greek stock market. Applied Financial Economics, 20(16), 1321–1326.
  • Aktaş, R. & Karan, M. B. (1999). Multivariate statistical modelling for the classification of the shares traded at the IMKB as to their average earnings. Kara Harp Okulu Bilim Dergisi, 3, 44–55.
  • Aktaş, R. & Karan, M. B. (2000). Predicting stock returns using fundamental ınformation and multivariate statistical modelling: An empirical study on ıstanbul stock exchange. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 18(2), 433–449.
  • Beaver, W. H., Lambert, R. A. & Morse, D. (1980). The ınformation content of security prices. Journal of Accounting and Economics, 2, 3–28.
  • Canbaş, S., Düzakın, H. & Kılıç, S. B. (2002). Fundamental and macroeconomic ınformation for common stock valuation: The turkish case. Yapı Kredi Economic Review, 13(1), 55–64.
  • Collins, D. W., Kothari, S. P. & Rayburn, J. D. (1987). Firm Size and the ınformation content of prices with respect to earnings. Journal of Accounting and Economics, 9, 111–38.
  • Cowles, A. & Jones, H. (2002). Some a posteriori probabilities in stock market action. Econometrica, 5(3), 280–294.
  • Dehuan, J. & Jin, Z. (2008). Firm performance and stock returns: An empirical study of the top performing stocks listed on Shanghai stock exchange. Academy of Accounting and Financial Studies Journal, 12(1), 79–85.
  • Demirgüneş, K. (2015). Determinants of target dividend payout ratio: a panel autoregressive distributed lag analysis. International Journal of Economics and Financial Issues, 5(2), 418–426.
  • Ege, İ. ve Bayrakdaroğlu, A. (2009). İMKB şirketlerinin hisse senedi getiri başarılarının lojistik regresyon tekniği ile analizi. Zonguldak Karaelmas University Journal of Social Sciences, 5(10), 139–158.
  • Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 383–417.
  • Fama, E. F.&e French, K. R. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96(2), 246–273.
  • Fama, E. F. & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427–465.
  • Freeman, R. N. (1987). The association between accounting earnings and security returns for large and small firms. Journal of Accounting and Economics, 9, 195–228.
  • Güler, A. ve Özyurt, H. (2011). Merkez bankası bağımsızlığı ve reel ekonomik performans: panel ardl analizi. Ekonomi Bilimleri Dergisi, 3(2), 11–20.
  • Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46, 1251–1272.
  • Holthausen, W. & Larcker, D. (1992). The prediction of stock returns using financial statement ınformation. Journal of Accounting and Economics, 15, 373–411.
  • Im, K. S., Pesaran, M. H. & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53–74.
  • Kao, C. D. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90, 1–44.
  • Kendall, M. & Hill, A. (2002). The analysis of economic time-series-part I: Prices. Journal of the Royal Statistical Society, Series A, 116 (1) (1953), 11–34.
  • Korkmaz, Ö. ve Karaca, S. S. (2013). Firma performansını etkileyen faktörler ve türkiye örneği. Ege Akademik Bakış, 13(2), 169–179.
  • Levin, A., Lin, C. F. & Chu, C. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108, 1–24.
  • Lewellen, J. (2002). Predicting Returns with Financial Ratios. MIT Sloan School of Management Working Paper 4374-02.
  • Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61, 631–652.
  • Martikainen, T. (1989). Modelling stock price behaviour by financial ratios, Rivista di Matematica per le Scienze Economiche e Sociali - Anno 12, Fascicolo 1 (Decisions in Economics and Finance, 12(1)), 119-138.
  • Martinez, I. (1999). Fundamental and macroeconomic ınformation for the security prices valuation: The french case. Managerial Finance, 12, 17–30.
  • Mukherji S., Manjeet, S. D. & Yong, H. K. (1997). A fundamental analysis of korean stock returns. Financial Analysts Journal, 53(3), 75–80.
  • Navas, R. D. (2017). Accounting Fundamentals and Volatility in the Euronext 100 index. Doktora Tezi, Universidade Da Beira Interior, Ciências Sociais e Humanas, 19.05.2018. https://ubibliorum.ubi.pt/bitstream/10400.6/4459/1/Accounting%20Fundamentals%20and%20Volatility%20in%20the%20Euronext%20100%20index%20-%20Definitiva.pdf
  • Ou, J. A. & Penman, S. H. (1989). Accounting measurement, price-earnings ratio, and the ınformation content of security prices. Journal of Accounting Research, 27, 111–144.
  • Öz, B., Ayrıçay, Y. ve Kalkan, G. (2011). Finansal oranlarla hisse senedi getirilerinin tahmini: İMKB 30 endeksi hisse senetleri üzerine diskriminant analizi ile bir uygulama. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 11(3), 51–64.
  • Pesaran, M. H., Shin, Y. & Smith, R. P. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association, 94(446), 621–634.
  • Pesaran, M. H., Shin, Y. & Smith, R. P. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Pontiff, J. & Schall, L. D. (1998). Book-to-market ratios as predictors of market returns. Journal of Financial Economics, 49(2), 141–160.
  • Poterba, J. & Summers, L. (1988). Mean-Reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22, 27–59.
  • Setiono, B. & Strong, N. (1998). Predicting stock returns using financial statement ınformation. Journal of Business Finance and Accounting, 25(5-6), 631–657.
  • Working, H. (2002). A random-difference series for use in the analysis of time series. Journal of the American Statistical Association, 29(185) (1934), 11–24.
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Cemile Özgür

Yayımlanma Tarihi 31 Mayıs 2019
Gönderilme Tarihi 11 Ocak 2019
Yayımlandığı Sayı Yıl 2019 Sayı: 86

Kaynak Göster

APA Özgür, C. (2019). Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması. Istanbul Management Journal(86), 97-113.
AMA Özgür C. Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması. Istanbul Management Journal. Mayıs 2019;(86):97-113.
Chicago Özgür, Cemile. “Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması”. Istanbul Management Journal, sy. 86 (Mayıs 2019): 97-113.
EndNote Özgür C (01 Mayıs 2019) Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması. Istanbul Management Journal 86 97–113.
IEEE C. Özgür, “Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması”, Istanbul Management Journal, sy. 86, ss. 97–113, Mayıs 2019.
ISNAD Özgür, Cemile. “Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması”. Istanbul Management Journal 86 (Mayıs 2019), 97-113.
JAMA Özgür C. Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması. Istanbul Management Journal. 2019;:97–113.
MLA Özgür, Cemile. “Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması”. Istanbul Management Journal, sy. 86, 2019, ss. 97-113.
Vancouver Özgür C. Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması. Istanbul Management Journal. 2019(86):97-113.
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