Ar-Ge Yoğunluğu, Tamamlayıcı Varlıklar ve Firma Değeri: Türkiye için Zaman Serisi Bulguları

Öz

Bu çalışmada; 1992.Q1-2019.Q3 dönemini kapsayan zaman serisi verisi kullanılarak Türkiye’de imalat sanayi sektöründe, ar-ge yoğunluğu ile tamamlayıcı varlıkların firma değeri üzerindeki olası etkilerinin araştırılması amaçlanmaktadır. Serilerin durağanlık düzeyleri ADF (1981), ve Zivot ve Andrews (1992) birim kök testleri kullanılarak tespit edilmektedir. Seriler arasındaki uzun dönemli ilişkiler tek yapısal kırılmaya izin veren Gregory ve Hansen (1996) eşbütünleşme testi ile incelenmektedir. Son olarak, aralarında eşbütünleşme ilişkisi tespit edilen değişkenler arasındaki uzun dönemli ilişkileri gösteren katsayıların tahminlemesinde, yapısal kırılmaların kukla değişken olarak analize dâhil edilebildiği Stock ve Watson (1993) tarafından geliştirilen dinamik en küçük kareler yöntemi kullanılmaktadır. Dinamik en küçük kareler tahmincisi sonuçlarına göre; ar-ge yoğunluğu değişkenlerinden “ar-ge harcamaları/ net satışlar” ile tamamlayıcı varlıklara ilişkin değişkenlerin, firma değerine karşı uzun dönem katsayıları istatistiksel olarak anlamlıdır. Kırılma tarihi (2005.Q1) de dahil olmak üzere, bu tarihe kadar, “ar-ge harcamaları/net satışlar” değişkeninin firma değerini pozitif yönde etkilediği görülürken; söz konusu etkileşim kırılma tarihi sonrasında negatife dönmektedir. Tamamlayıcı varlıklara ilişkin değişken ise kırılma tarihine kadar firma değerini negatif yönde etkilerken, söz konusu etkileşim kırılma tarihi sonrasında tersine dönmektedir. Bir diğer arge yoğunluğu değişkeni olan “ar-ge harcamaları/ toplam aktifler” değişkeninin ise gerek kırılma tarihinden önce gerekse de sonra firma değeri üzerinde anlamlı bir etkisi bulunmamaktadır.

Anahtar Kelimeler

• Ar-Ge yoğunluğu
• Firma değeri
• Tamamlayıcı varlıklar
• Zaman serisi analizi
• Borsa İstanbul

R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey

Öz

This paper aims to test the value relevance of R&D intensity and complementary assets on quarterly time-series data regarding the R&D activities of Turkish manufacturing sector (comprising BIST listed manufacturing firms) in the period of 1992.Q1-2019.Q3. The presence of a unit root is tested by Augmented Dickey Fuller (1981) and Zivot and Andrews (1992) tests. Following this, one-break Gregory and Hansen (1996) cointegration test is employed to detect structural break in the cointegrating relationship among series. Finally, the long-run coefficients estimated by Stock and Watson (1993)’s method of DOLS indicate that R&D intensity variable relative to net sales has statistically significant and positive effect on firm value, which then turns negative following the break date. The other R&D intensity variable relative to total assets fails to reveal any significant effect on firm value, both in the pre- and post-break date. Besides, complementary (tangible) assets have statistically significant and negative effect on firm value until the break date and this effect reverses following the break date. The break date of 2005.Q1 can be associated with the time-lag effects of several severe crises that the Turkish economy has experienced between 1999 and 2001.

Anahtar Kelimeler

• R&D intensity
• Firm value
• Complementary assets
• Time series analysis
• Borsa İstanbul

Kaynakça

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