Publication: A study on financial ratios as a predictor future investment performance of manufacturing firms listed in İstanbul stock exchange
Abstract
Bu çalışma, Markowitz ile başlayan ve 1992'den sonra Fama&French ve diğer araştırmacılar tarafından devam ettirilen çalışmalara dayanarak borsada işlem gören hisse senetleri getirilerinin davranışlarını incelemek amacı ile yapılmıştır. Bu çalışma, İMKB'ye kote olan imalat sektöründeki firmaların finansal rasyoları ve hisse senedi performanslarını inceleyerek, Capital Asset Pricing Model (CAPM'yi) reddetmektedir. Diğer bir deyişle, beta ve ortalama getiri arasında anlamlı ve pozitif bir ilişki bulunamamıştır. Ayrıca çalışma, borsadaki verilerin (1994-2003 tarihleri arasında) kullanılması sonucu elde edilen bulgularla Fama&French'in 3-faktör modelini desteklemektedir. B/ M (Book to Market) rasyosunun tek başına ortalama getirilerdeki sapmaların yaklaşık %28'ini açıklamak için yeterli olduğu gözlemlenmiştir. Bununla birlikte, modeldeki diğer değişkenlerin t değerleri Fama&French (1992) kadar yüksek değildir. Çalışma, tam bir destek sağlamak için yetersiz olmakla beraber, kullanılan datanın gelişmekte olan önemli bir ülke (Türkiye) kaynaklı olması açısından önemli bir çalışma niteliğindedir. Diğer yandan, Fama&French'in orijinal modelinden (1992) sapmalar (çok büyük olmamasına rağmen) gelişmiş ve az gelişmiş pazarlar açısından önemli dinamikleri yakalamak ve ileriki aşamaları açıklamak açısından yararlı olabilir. Bu çalışmada mikro ve makro düzeyde birçok değişken kullanılmasına rağmen, çalışmanın asıl önemi Türkiye pazarı hakkında bilgi vermesinden kaynaklanmaktadır. Çalışma, ayrıca, hisse senetleri davranışları ve nedenleri üzerinde yapılan bitmek tükenmek bilmeyen tartışmalara da katkıda bulunmuş olup, Fama ve French'i de kısmi olarak desteklemektedir. Sonuç olarak bu durum CAPM ve Efficent Market hipotezleri için de ciddi bir tehdit olarak algılanabilir.
The main objective of this study is to contribute to the fruitful debate on stock return behavior beginning with Markowitz and then reaching its maximum after 1992 with Fama & French and many others. By analyzing the stock and operating performances of manufacturing firms listed in ISE (İstanbul Stock Exchange), this study rejects CAPM (Capital Asset Pricing Model), finding no positive and meaningful relation between beta and average returns. Moreover, it provides a partial support to the 3-factor model of the famous article of Fama&French (1992) by utilizing ISE data for the period of 1994-2003. Book to Market ratio alone is sufficient to explain approximately %28 of the deviation in average returns. However, t-values of other variables in the model are not as high as they are in Fama&French (1992). Although this study fails to provide a full support, it is still important as the evidence comes from an important emerging market, Turkey. Furthermore, the deviations (although not major) from the original model of Fama&French (1992) fall into a fruitful area to further explore to capture the important dynamics varying across most developed and poorly developed markets. Although many variables (both at micro and macro level) included in this study, the real importance of it is mainly due to the fact that it provides evidence from Turkey as an important emerging market and also provides partial support for Fama and French (1992) which is at the origin of the endless debate on return behavior and its causes. Thus, it can be treated as another serious attack to CAPM and Efficient Market Hypothesis.
The main objective of this study is to contribute to the fruitful debate on stock return behavior beginning with Markowitz and then reaching its maximum after 1992 with Fama & French and many others. By analyzing the stock and operating performances of manufacturing firms listed in ISE (İstanbul Stock Exchange), this study rejects CAPM (Capital Asset Pricing Model), finding no positive and meaningful relation between beta and average returns. Moreover, it provides a partial support to the 3-factor model of the famous article of Fama&French (1992) by utilizing ISE data for the period of 1994-2003. Book to Market ratio alone is sufficient to explain approximately %28 of the deviation in average returns. However, t-values of other variables in the model are not as high as they are in Fama&French (1992). Although this study fails to provide a full support, it is still important as the evidence comes from an important emerging market, Turkey. Furthermore, the deviations (although not major) from the original model of Fama&French (1992) fall into a fruitful area to further explore to capture the important dynamics varying across most developed and poorly developed markets. Although many variables (both at micro and macro level) included in this study, the real importance of it is mainly due to the fact that it provides evidence from Turkey as an important emerging market and also provides partial support for Fama and French (1992) which is at the origin of the endless debate on return behavior and its causes. Thus, it can be treated as another serious attack to CAPM and Efficient Market Hypothesis.