The Role of Financial Ratios in Predicting Stock Returns: An Application of Generalized Method of Moments in Borsa Istanbul

Yıl 2024, Cilt: 9 Sayı: 2, 338 - 347

Gökhan Berk Özbek , Ümit Hasan Gözkonan

Öz

One of the main factors shaping the investment decisions of savers is the financial ratios of companies. Indeed, the efficiency of financial markets and the effect of financial data related to companies on their stock performance have always been subjects of interest in the financial literature. This study investigates the effects of the financial ratios of the top ten companies listed on Borsa Istanbul that operate in the industrial sector on their stock performance. The recent ten quarters of data from the companies were included in the research, and the Generalized Method of Moments (GMM)-based Dynamic Panel Approach was applied as the research method. In the research model, Return on Assets (ROA), Return on Equity (ROE), Return on Invested Capital (ROIC), Debt/Equity Ratio (D/E), and Quick Ratio (QR) were defined as independent variables, while stock return was defined as the dependent variable. As a result of the study, it was determined that the ROA and D/E ratios have a negative effect on stock returns, while the ROE ratio has a positive effect.

Anahtar Kelimeler

Financial Ratios, Stock Returns, Generalized Method of Moments, Borsa Istanbul

Hisse Senedi Getirilerinin Tahmininde Finansal Oranların Rolü: Borsa İstanbul’da Genelleştirilmiş Momentler Yöntemi Uygulaması

Öz

Tasarruf sahiplerinin yatırım kararlarına şekil veren başlıca unsurlardan biri şirketlerin finansal rasyolarıdır. Nitekim finansal piyasaların etkinliği ve şirketlere ilişkin mali verilerin şirketlerin hisse performansları üzerindeki etkileri finansal literatürde her daim ilgi gören araştırma konularından biri olmuştur. Bu çalışmada Borsa İstanbul’da listelenen ve sanayi sektöründe faaliyet gösteren, piyasa değeri bakımından başlıca on şirketin finansal rasyolarının hisse senedi performansları üzerindeki etkileri araştırılmıştır. Şirketlerin son on çeyreklik verileri araştırmaya dahil edilmiş ve araştırma yöntemi olarak Genelleştirilmiş Momentler Metodu (GMM) tabanlı Dinamik Panel Yaklaşımı uygulanmıştır. Araştırma modelinde Aktif Karlılık Oranı (ROA), Özsermaye Karlılık Oranı (ROE), Yatırım Yapılan Sermaye Getirisi (ROIC), Borç/Özsermaye Oranı (D/E) ve Likit Oran (QR) bağımsız değişkenler olarak; hisse senedi getirisi ise bağımlı değişken olarak tanımlanmıştır. Çalışma sonucunda ROA ve D/E rasyolarının hisse senedi getirisi üzerinde negatif yönlü, ROE rasyosunun ise pozitif yönlü bir etkisi olduğu tespit edilmiştir.

Anahtar Kelimeler

Finansal Oranlar, Pay Getirileri, Genelleştirilmiş Momentler Yöntemi, Borsa İstanbul

Kaynakça

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