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

Öz

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

Anahtar Kelimeler

• Trade-Off Theory,Models Predicting Bankruptcy,Capital Structure,Panel Regression Analysis

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

Öz

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.

Anahtar Kelimeler

• Dengeleme Teorisi, İflas Göstergesi Modelleri, Sermaye Yapısı,Panel Veri Regresyon Analizi

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