Görünenden Fazlası: Panel Veri Tekniği ile Firma Değerinin Belirleyicilerinin Analizi

Yıl 2025, Cilt: 7 Sayı: 2, 188 - 219, 31.12.2025

Denizcan Tamer

https://doi.org/10.51541/nicel.1796295

https://izlik.org/JA62WB23CM

Öz

Bu çalışma, Borsa İstanbul (BIST) BIST50 endeksinde işlem gören 41 şirketin 2015-2023 dönemine ait çeyreklik verilerini kullanarak firma değerini belirleyen faktörleri ekonometrik olarak analiz etmektedir. Toplam 1435 gözlemden oluşan dengeli bir panel veri seti üzerinde yürütülen araştırmada, dolar bazında düzeltilmiş piyasa değerinin logaritması bağımlı değişken olarak belirlenmiştir. Modelin açıklayıcı değişkenleri ise aktif kârlılık, aktif devir hızı, cari oran, finansal kaldıraç, toplam yükümlülükler/aktif toplamı, faaliyetlerden net nakit akışı gibi finansal oranların yanı sıra, iflas riskini ölçen Altman Z-skoru, kâr manipülasyonu riskini gösteren Beneish M-skoru ve firma değerlemesine yönelik Tobin’s Q oranını içermektedir.
Analizin metodolojik temelini, panel veri modellerinin temel varsayımlarını test eden diagnostik süreçler oluşturmaktadır. Yapılan testler neticesinde, panel veri setinde birimler arası yatay kesit bağımlılığı, değişen varyans (heteroskedastisite) ve otokorelasyon sorunlarının varlığı tespit edilmiştir. Klasik panel veri tahmincilerinin bu varsayım ihlalleri altında sapmalı ve tutarsız sonuçlar üreteceği gerçeğinden hareketle, bu sorunlara karşı dirençli (robust) bir tahminci olan Driscoll-Kraay (1998) standart hatalarına sahip sabit etkiler (Fixed Effects) modeli tercih edilmiştir. Bu yöntem, ekonometrik modelin güvenilirliğini ve bulguların geçerliliğini artırmaktadır.
Driscoll-Kraay tahmincisinden elde edilen ampirik bulgulara göre, aktif kârlılık oranı, faaliyetlerden sağlanan net nakit akışı ve Tobin’s Q oranı, firma değeri üzerinde istatistiksel olarak anlamlı ve pozitif bir etkiye sahiptir. Toplam yükümlülüklerin varlıklara oranı ise beklentilerle uyumlu olarak firma değerini negatif yönde etkilemektedir. Buna karşın, Altman Z-skorunun negatif, Beneish M-skorunun ise pozitif yönlü anlamlı etkileri, Türkiye gibi gelişmekte olan piyasalarda yatırımcıların iflas ve manipülasyon risklerini rasyonel fiyatlamadığına işaret ederek davranışsal finans dinamiklerinin önemini ortaya koymaktadır. Bu sonuçlar, piyasa etkinliğinin sınırlı olduğu durumlarda standart finansal oranların yanı sıra risk algısı ve bilgi asimetrisi gibi faktörlerin de dikkate alınması gerektiğini göstermektedir.

Anahtar Kelimeler

Firma Değeri , Panel Veri Analizi , Driskoll-Kraay , Finansal Oranlar

More Than Meets the Eye: An Analysis of the Determinants of Firm Value Using Panel Data

https://izlik.org/JA62WB23CM

Öz

This study conducts an econometric analysis to identify the determinants of firm value for 41 companies listed on the Borsa Istanbul (BIST) BIST50 index, using quarterly data from the 2015–2023 period. The research is based on a balanced panel dataset comprising 1,435 observations, with the logarithm of the dollar-adjusted market capitalization serving as the dependent variable. The model's explanatory variables include financial ratios such as return on assets, asset turnover, current ratio, financial leverage, and the total liabilities to total assets ratio. Additionally, it incorporates net cash flow from operations, the Altman Z-score for bankruptcy risk, the Beneish M-score for earnings manipulation risk, and the Tobin’s Q ratio for firm valuation.
The methodological foundation of the analysis consists of diagnostic procedures to test the underlying assumptions of panel data models. The results of these tests revealed the presence of cross-sectional dependence, heteroskedasticity, and autocorrelation within the dataset. Recognizing that conventional panel data estimators would yield biased and inconsistent results under such assumption violations, a robust estimation technique was employed: the Fixed Effects model with Driscoll-Kraay (1998) standard errors. This method was specifically chosen for its robustness to general forms of spatial and temporal dependence, thereby enhancing the reliability of the model and the validity of the findings.
The empirical findings from the Driscoll-Kraay estimator indicate that return on assets, net cash flow from operations, and the Tobin’s Q ratio have a statistically significant and positive effect on firm value. As expected, the total liabilities to assets ratio negatively impacts firm value. However, the analysis also yielded counter-intuitive results: the Altman Z-score was found to have a significant negative effect, while the Beneish M-score had a significant positive effect. These particular findings suggest that in emerging markets such as Turkey, investors may not rationally price bankruptcy and manipulation risks, highlighting the importance of behavioral finance dynamics. Consequently, the results underscore the need to consider factors like risk perception and information asymmetry, in addition to standard financial ratios, in environments with limited market efficiency.

Anahtar Kelimeler

Firm Value , Panel Data Analysis , Driscoll-Kraay , Financial Ratios

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