Dengeleme Teorisi’nin Geçerliliğinin Panel Veri Analizi ile Test Edilmesi: BİST’de Ampirik Bir Uygulama

Bu çalışma, firmaların sermaye yapıları ile piyasa değerleri arasındaki ilişkiyi inceleyerek dengeleme teorisinin, BİST’de geçerliliği olan bir teori olup olmadığını test etmeyi amaç edinmiştir. Çalışmada, 2005-2011 yılları arasında hisseleri Borsa İstanbul’da işlem gören 168 firmaya ait toplam 127.008 adet finansal rasyo, 20.664 adet aylık hisse getirisi ile 4.704 adet firma piyasa değeri ve borçlanma oranı kullanılmıştır. Çalışmanın birinci aşamasında, dengeli panel regresyon analizi kullanılarak BİST için etkin iflas göstergesi modeli belirlenmiştir. İkinci aşamada ise etkin model kullanılarak firmalar, her dönem için, iflas riskine sahip olan ve olmayan firmalar olarak iki ana gruba ayrılmış ve gruplarda yer alan firmaların piyasa değerleri ile borçlanma düzeyleri arasındaki ilişki dengesiz panel regresyon analizi ile incelenmiştir. Yapılan analiz sonucunda; her iki grup için de firmaların borçlanma düzeyleri ile piyasa değerleri arasında pozitif bir ilişki bulunmuş ve dengeleme teorisinin BİST’de işlem gören firmalar açısından geçerli bir teori olmadığı ortaya konulmuştur.

Testing the Validity of Trade-Off Theory by Using Panel Regression Analysis: An Empirical Application on ISE

The aim of this study is to test the validity of Trade-Off theory by investigating the relationship between capital structures and market values of firms on ISE. In this study, 127.008 financial ratio, 20.664 monthly stock return, 4.704 market value and debt ratio which are belong to 168 firms traded on ISE between 2005 and 2011 is used. Firstly, efficient model predicting bankruptcy is confirmed by using balanced panel regression analysis for ISE. Secondly, by using efficient model, firms are divided two groups that consist of firms which have or not bankruptcy risk for each period and the relationship market values and debt levels of firms in each group is analyzed by using unbalanced panel regression analysis. The results of the analysis reveal that there is positive relationship between market values and debt levels of firms in terms of both groups. This result implies that Trade-Off theory is not validity on ISE

___

AKGÜÇ, Öztin (1998), Finansal Yönetim, İstanbul: Avcıol Basım Yayın.

ALTMAN, Edward I. (1968), “Financial Ratios, Discriminant Analysis and The Prediction of Corporate Bankruptcy”, The Journal of Finance, 23 (4), 589-609.

ALTMAN, Edward I. (1983), Corporate Financial Distress, USA: John Wiley & Sons.

ALTMAN, Edward I. (1993), Corporate financial distress and bankruptcy, New York: John Wiley & Sons, Inc.

AYDIN, Nurhan, BAŞAR, Mehmet ve Metin COŞKUN (2010), Finansal Yönetim, Ankara: Detay Yayıncılık.

BARBEE William C., MUKHERJI Sandip and Gary A. RAINES (1996), “Do Sales-Price and Debt- Equity Explain Stock Returns Better than Book-Market and Firm Size?”, Financial Analysts Journal, 52(2), 56-60.

BREALEY, Richard A., MYERS, Stewart C. ve Alan J. MARCUS (2001), “Fundamentals of Corporate Finance”. Ü. Bozkurt, T. Arıkan ve H. Doğukanlı (çev.), İşletme Finansının Temelleri, McGraw-Hill Inc.

BRIGHAM, Eugene F. (1996), “Fundamentals of Financial Management”. Ö. Akmut ve H. Sarıaslan (çev.), Finansal Yönetimin Temelleri, Chicago: Dryden Press.

BURCA Nazif (2008), Sermaye Yapısı Ve Hisse Senedi Değeri Arasındaki İlişkinin Değişik Borsalarda Mukayeseli Olarak İncelenmesi, Gazi Üniversitesi Sosyal Bilimler Enstitüsü: Yayımlanmamış Doktora Tezi,

CEYLAN, Ali ve Turhan KORKMAZ (2008), Finansal Yönetim, Bursa: Ekin Basım.

CASSAR, Gavin ve Scott HOLMES (2003), "Capital Structure and Financing of SMEs: Australian Evidence", Accounting & Finance, 43(2), 123-147.

CHAKRABORTY, Indrani (2010), “Capital Structure in an Emerging Stock Market: The Case of India”, Research in International Business and Finance, 24, 295-314.

CHEN, Jean J. (2004), "Determinants of Capital Structure of Chinese-Listed Companies", Journal of Business Research, 57(12), 1341-1351.

COTEİ, Carmen ve Joseph FARHAT (2009), "The Trade-Off Theory and The Pecking Order Theory: Are They Mutually Exclusive?", North American Journal of Finance & Banking Research, 3(3), 1-17.

DE MEDEIROS, Otavio R. ve Cecilio E. DAHER (2004), "Testing Static Tradeoff Against Pecking Order Models of Capital Structure in Brazilian Firms", 4th USP Congress of Management Control and Accounting.

DE MIGUEL, Alberto ve Julio PINDADO (2001), "Determinants of Capital Structure: New Evidence From Spanish Panel Data", Journal of Corporate Finance, 7(1), 77-99.

DELCOURE, Natalya (2007), “The Determinants of Capital Structure in Transitional Economies”, International Review of Economics and Finance, 16, 400-415.

DICKEY, David A. ve Wayne A. FULLER (1979), “Distribution of The Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.

DURAND, David (1962), “Cost of Debt and Equity Funds for Business Trends and Problems of Measurement”, Conference on Research on Business Finance, 215-262.

ERCAN, Metin K. ve Ünsal BAN (2005), Finansal Yönetim, Ankara: Gazi Kitabevi.

FAMA, Eugene ve Kenneth R. FRENCH (2002), “Testing Trade-Off and Pecking Order Predictions About Dividends and Debt”, The Review of Financial Studies, 15(1), 1-33.

FRANK, Murray Z. ve Vidhan K. GOYAL (2008), “Trade-off and Pecking Order Theories of Debt", Handbook of Empirical Corporate Finance, 2, 135-202.

FREES, Edward W. (2004), Longitudinal and Panel Data: Analysis and Applications in the Social Sciences, New York: Cambridge University Press,

FULMER, John G., MOON, James E., GAVIN, Thomas A. ve J. Michael ERWIN (1984), “A Bankruptcy ClassiŞcation Model for Small Firms”, Journal of Commercial Bank Lending, 66 (11), 25–37.

GITMAN, Lawrence (2009), Principles of Managerial Finance, New Jersey: Pearson Prentice Hall.

GIVOLY, D., HAYN C., OFER R. ve O. SARIG (1992), “Taxes And Capital Structure: Evidence From Firm’s Response to The Tax Reform Act of 1986”. Review Financial Studies, 5(2), 331-355.

GRAHAM, John R. ve Campbell R. HARVEY (2001), "The Theory and Practice of Corporate Finance: Evidence From The Field", Journal of Financial Economics, 60(2), 187-243.

GREENE, William H. (2003), Econometric Analysis, New Jersey: Prentice Hall.

GUJARATI, Damodar N. (2006), “Basic Econometrics”. Ü. Şenesen ve G.G. Şenesen (çev.), Temel Ekonometri, McGraw-Hill.

GÜLŞEN, Ahmet Z. ve Özge ÜLKÜTAŞ (2012), “Sermaye Yapısının Belirlenmesinde Finansman Hiyerarşisi Teorisi ve Ödünleşme Teorisi: İMKB Sanayi Endeksinde Yer Alan Firmalar Üzerine Bir Uygulama”, ZKÜ Sosyal Bilimler Dergisi, 8(15), 49-60.

GÜRSOY, Cudi T. (2012), Finansal Yönetim İlkeleri, İstanbul: Beta Basım.

HARVEY, Campbell R., LINS, Karl V. ve Andrew H. ROPER (2004), “The Effect of Capital Structure When Expected Agency Costs Are Extreme”, Journal of Financial Economics, 74, 3–30.

HAUSMAN, Jerry A. ve William E. TAYLOR (1981), “Panel Data and Unobservable Individual Effects”, Econometrica, 49 (6), 1377-1398.

HUANG, Samuel G. ve Frank M. SONG. (2004), "The Determinants of Capital Structure: Evidence From China", China Economic Quarterly-Beijing, 3, 395-414.

ISMAIL, Faizah (2006), A Study of Alternative Capital Structure Theories in the Malaysian Context, University of Nottingham: PhD Thesis.

IM, Kyung S., PESARAN, M. Hashem ve Yongcheol SHIN (2003), “Testing For Unit Roots İn Heterogeneous Panels”, Journal of Econometrics, 115 (1), 53–74.

JUDGE, George G., GRIFFITHS, William E., HILL, R.Carter, LÜTKEPOHL, Helmut ve Tsoung C. LEE (1985), The Theory and Practice of Econometrics. New York: John Wiley & Sons, Second Edition.

KARADENİZ, Erdinç (2008), Türk Konaklama İşletmelerinde Sermaye Yapısını Etkileyen Faktörlerin Analizi, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü: Yayınlanmamış Doktora Tezi.

KRAUS, Alan ve Robert H. LITZENBERGER (1973), "A State‐Preference Model of Optimal Financial Leverage", The Journal of Finance, 28 (4), 911-922.

KULA, Veysel (2001), “Verginin İşletmelerin Sermaye Yapılarına Etkisi”, Maliye Dergisi, 136, 18- 35.

LEVIN, Andrew, LIN, Chien-Fu ve Chia-Shang J. CHU (2002), “Unit Root Tests in Panel Data: Asymptotic And Finite-Sample Properties”, Journal of Econometrics. 108 (1), 1–24.

LONG, Michael ve Ileen MALITZ (1985), “The Investment Financing Nexus: Some Empirical Evidence”, Midland Corporote Finance Journal, 3, 53-59.

MARSH, Paul (1982), "The Choice Between Equity and Debt: An Empirical Study", The Journal of Finance, 37(1), 121-144.

MASULIS, Ronald, W. (1983), ‘’The Impact of Capital Structure Change on Firm Value: Some Estimates’’, The Journal of Finance, XXXVIII, 107-126.

MILLER, Merton (1977), “Debt And Taxes", The Journal of Finance, 32(2), 261-275.

MODIGLIANI, Franco ve Merton MILLER (1958), “The Cost of Capital, Corporation Finance and the Theory Invesment”, The American Economic Review, 48 (3), 261-297.

MODIGLIANI, Franco ve Merton MILLER (1963), “Corporate Income Taxes and the Cost of Capital: A Correction”, The American Economic Review, 53 (3), 433-443.

MYERS, Stewart C. (1984), "The Capital Structure Puzzle", The Journal of Finance, 39(3), 574- 592.

OHLSON, James A. (1980), “Financial Ratios and The Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, 18(1), 109-131.

OKUYAN, H. Aydın ve H. Mehmet TAŞCI (2010), “Sermaye Yapısının Belirleyicileri: Türkiye’deki En Büyük 1000 Sanayi İşletmesinde Bir Uygulama”, BDDK Bankacılık ve Finansal Piyasalar, 4(1), 105-120.

RAJAN Raghuram G. ve Luigi ZINGALES (1995), “What Do We Know About Capital Structure? Some Evidence From International Data”, The Journal of Finance, 50(5), 421–60.

ROSS, Stephen E. (1977), “The Determination of Financial Structure: The Incentive Signalling Approach”, Journal of Economics, 8, 23-40.

SPRINGATE, Gordon L.V. (1978), Predicting The Possibility of Failure In A Canadian Firm, A Discriminant Analysis, Simon Fraser University: PhD Thesis.

TAGGART, Robert A. (1977), “A Model of Corporate Financing Decisions”, The Journal of Finance, 32(5), 1467-1484.

TONG, Guanqun ve Christopher J. GREEN (2005), "Pecking Order or Trade-Off Hypothesis? Evidence on The Capital Structure of Chinese Companies", Applied Economics, 37(19), 2179-2189.

ÜRETEN, Aykan ve Metin K. ERCAN (2000), Firma Değerinin Tespiti ve Yönetimi, Ankara: Gazi Kitabevi.

YILDIZ, Mehmet E., YALAMA, Abdullah ve Güven SEVİL (2009), "Sermaye Yapısı Teorilerinin Geçerliliğinin Test Edilmesi: Panel Veri Analizi Kullanılarak İMKB-İmalat Sektörü Üzerinde Ampirik Bir Uygulama", İktisat İşletme ve Finans, 24(278), 25-45.

ZMIJEWSKI, Mark E. (1984), “Methodological Issues Related to The Estimation of Financial Distress Prediction Models”, Journal of Accounting Research, 22, 59-82.