Determinants of Capital Structure for Publicly Traded Firms in Turkey: Two-Part Fractional Regression Analysis Approach

Öz

This paper evaluates capital structure decisions of public firms in Turkey using a two-part fractional regression model approach. Firstly, a binary response model is estimated to analyse factors that affect an unlevered firm’s decision to issue debt. Secondly, determinants of capital structure for leveraged firms are investigated by employing a fractional regression model. The results show that zero leverage phenomenon is valid in Borsa İstanbul. Therefore, data of leveraged and unleveraged firms should be modelled separately. Besides, factors affecting the initial borrowing decision of an unleveraged firm and factors affecting the leverage ratio of a leveraged firm are not same.

Anahtar Kelimeler

• Determinants of Capital Structure,Zero Leverage Phenomenon,Two-Part Fractional Regression Model

Türkiye’de Halka Açık Firmaların Sermaye Yapısı Belirleyicileri: İki Aşamalı Kesirli Regresyon Analizi Yaklaşımı

Öz

Bu çalışmada, Türkiye'deki halka açık firmaların sermaye yapıları İki-aşamalı Kesirli Regresyon Modeli yaklaşımı kullanarak incelenmiştir. Birinci aşamada kaldıraçsız bir firmanın ilk defa borçlanma kararını etkileyen faktörleri belirlemek için bir ikili-tepki modeli tahmin edilmiştir. İkinci aşamada ise, hâlihazırda kaldıraçlı firmaların sermaye yapısı belirleyicileri kesirli regresyon modeli kullanılarak incelenmiştir. Çalışma sonucunda sıfır kaldıraç olgusunun Borsa İstanbul’da geçerli olduğu görülmüştür. Dolayısı ile sermaye yapısı belirleyicilerini araştıran çalışmalarda kaldıraçsız ve kaldıraçlı firmaların verilerini ayrı ayrı analiz eden iki aşamalı bir yaklaşım kullanılmalıdır. Kaldıraçsız bir firmanın ilk defa borç alma kararını etkileyen faktörler ile kaldıraçlı bir firmanın kaldıraç oranını etkileyen faktörlerin farklılaştığı bulgusuna da ulaşılmıştır.

Anahtar Kelimeler

• Sermaye Yapısı Belirleyicileri,Sıfır Kaldıraç Olgusu,İki-Aşamalı Kesirli Regresyon Modeli

Kaynakça

1. Antoniou, A., Guney, Y., & Paudyal, K. (2008). “The Determinants of Capital Structure: Capital Market-oriented versus Bank-oriented Institutions”, Journal of Financial and Quantitative Analysis, 43(01), 59-92.
2. Arellano, M., & Bond, S. (1991). “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations”, The Review of Economic Studies, 58(2), 277-297.
3. Aydın, A. D., & Çavdar, Ş. Ç. (2018). “Firma Optimal Sermaye Yapısının Belirlenmesi: Borsa İstanbul (BIST) 100 Endeksi Finans Dışı Firmalar Üzerinde Ampirik Bir Çalışma”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 32(3), 845-857.
4. Baltagi, B. (2008). Econometric Analysis of Panel Data, West Sussex: John Wiley & Sons.
5. Baum, C., Caglayan, M., & Rashid, A. (2017). “Capital Structure Adjustments: Do macroeconomic and business risks matter?”, Empirical Economics, 53(4), 1463-1502.
6. Bessler, W., Drobetz, W., Haller, R., & Meier, I. (2013). “The International Zero-leverage Phenomenon”, Journal of Corporate Finance, 23, 196-221.
7. Blundell, R., & Bond, S. (1998). “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models”, Journal of Econometrics, 87(1), 115-143.
8. Bilgin, R. (2018). “Gelişmekte Olan Ülkelerde Sermaye Yapısı Belirleyicileri; Hiyerarşik Lineer Model Yaklaşımı”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36(3), 1-27.

9. Burucu, H., & Öndeş, T. (2016). “Türk İmalat Sanayi Firmalarının Sermaye Yapısını Etkileyen Faktörlerin Analizi”, Çankırı Karatekin Üniversitesi İİBF Dergisi, 6(1), 201-225.
10. Dang, V. A. (2013). “An Empirical Analysis of Zero-leverage Firms: New Evidence from the UK”, International Review of Financial Analysis, 30, 189-202.
11. De Jong, A., Kabir R., & Nguyen T. T. (2008). “Capital Structure Around the World: The Roles of Firm-and Country-specific Determinants”, Journal of Banking and Finance, 32(9), 1954-1969.
12. Demirhan, D. (2009). “Sermaye Yapısını Etkileyen Firmaya Özgü Faktörlerin Analizi: IMKB Hizmet Firmaları Üzerine Bir Uygulama”, Ege Akademik Bakış Dergisi, 9(2), 677-697.
13. El Ghoul, S., Guedhami, O., Kwok, C., & Zheng, X.(2017). “Zero-leverage Puzzle: An International Comparison”, Review of Finance, 22(3), 1063-1120.
14. Fan, J. P.H., Titman, S., & Twite, G. (2012). “An International Comparison of Capital Structure and Debt Maturity Choices”, Journal of Financial and Quantitative Analysis, 47(01), 23-56.
15. Frees, E. (1995). “Assessing Cross-sectional Correlation in Panel Data”, Journal of Econometrics, 69(2), 393-414.
16. Frees, E. (2004). Longitudinal and Panel Data: Analysis and Applications in the Social Sciences, Cambridge University Press.
17. Friedman, M. (1937). “The Use of Ranks to Avoid the Assumption of Normality Implicit in the Analysis of variance”, Journal of the American Statistical Association, 32(200), 675-701.
18. Frank, M., & Goyal, V. (2009). “Capital Structure Decisions: Which Factors are Reliably Important?” Financial Management, 38(1), 1-37.
19. González, V., & González, F. (2008). “Influence of Bank Concentration and Institutions on Capital Structure: New International Evidence”, Journal of Corporate Finance, 14(4), 363-375.
20. Graham, J., & Leary, M. (2011). “A Review of Empirical Capital Structure Research and Directions for the Future”, Annual Review of Financial Economics, 3(1), 309-345. https://doi.org/10.1146/annurev-financial-102710-144821
21. Harris, M., & Raviv, A. (1991). “The Theory of Capital Structure”, The Journal of Finance, 46(1), 297-355.
22. Huang, R., & Ritter, J. (2009). “Testing Theories of Capital Structure and Estimating the Speed of Adjustment”, Journal of Financial and Quantitative Analysis, 44(2), 237-271.
23. Jensen, M. (1986). “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”, The American Economic Review, 76(2), 323-329.
24. Kayo, E., & Kimura, H. (2011). “Hierarchical Determinants of Capital Structure”, Journal of Banking and Finance, 35(2), 358-371.
25. Kieschnick, R., & Moussawi, R. (2018). “Firm Age, Corporate Governance, and Capital Structure Choices”, Journal of Corporate Finance, 48, 597-614.
26. Kısakürek, M., & Aydın, Y. (2013). “İşletmelerde Sermaye Yapısı ile Kârlılık Arasındaki İlişkinin Analizi: 1992-2011 Yılları Arası Finansal Krizler Odaklı BİST’te bir Uygulama”, Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 14(2), 97-121.
27. Köksal, B., & Orman, C. (2015). “Determinants of Capital Structure: Evidence from a Major Developing Economy”, Small Business Economics, 44(2), 255-282.
28. Modigliani, F., & Miller, M. (1958). “The Cost of Capital, Corporation Finance and the Theory of Investment”, The American Economic Review, 48(3), 261-297.
29. Modigliani, F., & Miller, M. (1963). “Corporate Income Taxes and the Cost of Capital: a Correction”, The American Economic Review, 53(3), 433-443.
30. Myers, S., & Majluf, N. (1984). “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”, Journal of Financial Economics, 13(2), 187-221.
31. Ozkan, A. (2001). “Determinants of Capital Structure and Adjustment to Long Run Target: Evidence from UK Company Panel Data”, Journal of Business Finance & Accounting, 28(1‐2), 175-198.
32. Papke, L., & Wooldridge, J. (1996). “Econometric Methods for Fractional Response Variables with an Application to 401 (k) Plan Participation Rates”, Journal of Applied Econometrics, 11(6), 619-632.
33. Papke, L., & Wooldridge, J. (2008). “Panel Data Methods for Fractional Response Variables with an Application to Test Pass Rates”, Journal of Econometrics, 145(1-2), 121-133.
34. Parsons, C., & Titman, S. (2007). “Empirical Capital Structure: A Review”, Foundations and Trends in Finance, 3(1), 1–93.
35. Pesaran, H. (2004). “General Diagnostic Tests for Cross Section Dependence in Panels” https://www.econstor.eu/bitstream/10419/18868/1/cesifo1_wp1229.pdf (02.03.2019)
36. Pesaran, H. (2007). “A Simple Panel Unit Root Test in the Presence of Cross‐section Dependence”, Journal of Applied Econometrics, 22(2), 265-312.
37. Pesaran, H. (2015). “Testing Weak Cross-sectional Dependence in Large Panels”, Econometric Reviews, 34(6-10), 1089-1117.
38. Rajan, R., & Zingales, L. (1995). “What Do We Know About Capital Structure? Some Evidence from International Data”, The Journal of Finance, 50(5), 1421-1460.
39. Ramalho, J., & da Silva, J. V.(2009). “A Two-part Fractional Regression Model for the Financial Leverage Decisions of Micro, Small, Medium and Large Firms”, Quantitative Finance, 9(5), 621-636.
40. Ramalho, E., Ramalho, J., & Murteira, J. (2014). “A Generalized Goodness‐of‐functional Form Test for Binary and Fractional Regression Models”, The Manchester School, 82(4), 488-507.
41. Ramalho, E., Ramalho, J., & Murteira, J. (2011). “Alternative Estimating and Testing Empirical Strategies for Fractional Regression Models”, Journal of Economic Surveys, 25(1), 19-68.
42. Ramalho, J., Rita, R., & da Silva, J. V. (2018). “The Impact of Family Ownership on Capital Structure of Firms: Exploring the Role of Zero-leverage, Size, Location and the Global Financial Crisis”, International Small Business Journal, 36(5), 574-604.
43. Strebulaev, I. (2007). “Do Tests of Capital Structure Theory Mean What They Say?”, The Journal of Finance, 62(4), 1747-1787.
44. Strebulaev, I., & Yang, B. (2013). “The Mystery of Zero-leverage Firms”, Journal of Financial Economics, 109(1), 1-23.
45. Terim, B., Kayalı, C. A. (2009). “Sermaye Yapısını Belirleyici Etmenler: Türkiye’de İmalat Sanayi Örneği”, Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 7(1), 125-154.
46. Toraman, C., & Okuyan, A. (2009). “İşletmelerde Ortaklık Yapısında Yoğunlaşmanın Kaynak Yapısı Üzerindeki Etkisi: İMKB Şirketleri Üzerine bir Uygulama”, Muhasebe ve Finansman Dergisi, (41), 72-81.
47. Venanzi, D., Naccarato, A., & Abate, G. (2014). “Does the Country Effect Matter in the Capital Structure Decisions of European Firms? EFMA 2014 Annual Meeting.
48. Wooldridge, J. (2011). Fractional response models with endogeneous explanatory variables and heterogeneity”, In CHI11 Stata Conference. Stata Users Group. http://fmwww.bc.edu/repec/chic2011/chi11_wooldridge.pdf (02.03.2019)
49. Welch, I. (2011). “Two Common Problems in Capital Structure Research: The Financial‐debt‐to‐asset ratio and Issuing Activity versus Leverage Changes”, International Review of Finance, 11(1), 1-17.