RELATIONSHIP BETWEEN PROFITABILITY RATIOS AND STOCK PRICES: AN EMPIRICAL ANALYSIS ON BIST-100

Yıl 2017, Cilt: 6 Sayı: 1, 1 - 10, 30.12.2017

Ali Bayrakdaroglu , Cagatay Mirgen , Ezgi Kuyu

https://doi.org/10.17261/Pressacademia.2017.737

Öz

Purpose-
Investors benefit from a large number of information resources in order to
maximize their earnings from financial instruments they have invested. One of
the resources that investors benefit from is financial ratio information which
they obtain by analyzing firms' financial statements. Accordingly, the aim of
this study is to determine if there is a relationship between stock prices and
profitability ratios which take place in financial ratios and also to analyze
if profitability ratios can be directive indicator while investing in stocks
with the aim of maximizing earnings. 

Methodology-
In this research, panel data regression analysis was applied between lagged
stock prices of firms in ISE100 and their profitability ratios including gross
profit margin, operating profit margin, net profit margin, return on asset and
return on equity. Once we had decided that fixed effects model is convenient
for our research, the model was estimated by Driscoll-Kraay Estimator which
produce robust standard errors. 

Findings-
According to result of our analysis, it was determined that there is a positive
linear relationship between firms' net profit margin and their stock
prices. 

Conclusion-
It was concluded that while making investment decisions, taking net profit
margin into consideration can contribute to investors' earnings.

 

Anahtar Kelimeler

Stock Prices, Panel Data Regression, Profitability Ratios, ISE100, Driscoll and Kraay Estimator

Kaynakça

• Aktaş, M. (2008). İstanbul Menkul Kıymetler Borsasında Hisse Senedi Getirileri İle İlişkili Olan Finansal Oranların Araştırılması, İstanbul Üniversitesi İşletme Fakültesi Dergisi, Volume:37, Issue:2, 137-150.
• Aktaş, R., & Ünal , S. (2015). The Relationship Between Financial Efficiency Ratios and Stock Prices: An Empirical Investigation On Insurance Companies Listed In Borsa Istanbul. Journal of Financial Researches and Studies, 7(12), 1-16.
• Akyatan , A. (2016). Bist 100 Endeksine Kote Olan Hisse Senetlerinin Getiri Başarılarının Tahmini Üzerine Bir Çalışma. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 45(2), 120-130.
• Arkan, T. (2016). TheImportance of Financial Ratios in PredictingStockPriceTrends : A Case Study in EmergingMarkets. Finanse, RynkiFinansowe, Ubezpieczenia, 1(79), 13–26. http://doi.org/10.18276/frfu.2016.79-01
• Ayaydın, Hasan-Dağlı, Hüseyin. (2012), “Gelişen Piyasalarda Hisse Senedi Getirisini Etkileyen Makroekonomik Değişkenler Üzerine Bir İnceleme: Panel Veri Analizi”, Atatürk Üniversitesi İİBF Dergisi, Volume.26, Issue.3-4, pp.45-65.
• Aydemir, O. Ögel, S. & Demirtaş, G. (2012). Hisse Senetleri Fiyatlarının Belirlenmesinde Finansal Oranların Rolü, Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2), 277-288.
• Baltagi, B. H., & Wu, P. X. (1999). Unequally Spaced Panel Data Regressions with AR(1) Disturbances. Econometric Theory, 15, 814-823.
• Bhargava, A., Franzini, L., & Narendranathan, W. (1982). Serial Correlation and The Fixed Effects Model. Review of Economic Studies, 49, 533-549.
• Borsa İstanbul, (2016). Faaliyet Raporu, http://www.borsaistanbul.com/docs/default-source/kurumsal-yonetim/borsa-istanbul-2016faaliyet-raporu.pdf?sfvrsn=6
• Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics. Review of Economic Studies, 47, 239-253.
• Cengiz, H., & Püskül, A. Ö. (2016). Hisse Senedi Getirileri ve Karlılık Arasındaki İlişki: Borsa İstanbul Endeksinde İşlem Gören İşletmelerin Analizi. Yalova Sosyal Bilimler Dergisi, 7(12), 295-306.
• Chu, S. F.,&Lim, G. H. (1998). Shareperformanceandprofitefficiency of banks in an oligopolistic market: evidencefromSingapore. Journal of Multinational Financial Management, 8(2–3), 155–168. http://doi.org/10.1016/S1042-444X(98)00025-5
• Çoşkun, M., Kasım, K., & Muhammed, U. (2016). Seçilmiş Makroekonomik Değişkenlerle Hisse Senedi Fiyatları Arasındaki İlişki: Türkiye Üzerine Ampirik Bir İnceleme. Finans Politik & Ekonomik Yorumlar, 53(616), 61-74.
• Demir , Y. (2001). Hisse Senedi Fiyatını Etkileyen İşletme Düzeyindeki Faktörler ve Mali Sektör Üzerine İMKB'de Bir Uygulama. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(2), 109-130.
• Driscoll, J. C., & Kraay, A. C. (1998). Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data. Review of Economics and Statistics, 80(4), 549-560.
• Dücan, E., & Akal, M. (2017). Komşu Ülkelerle Yapılan Dış Ticaretin DYY Girişleri Üzerine Etkisi: Gelişmekte Olan Ülkeler İçin Panel Veri Analiz. Uluslararası Ekonomik Araştırmalar Dergisi, 3(1), 63-80.
• Eka, N., Purnamasari, P., Purnamasari, I., & Gautama, B. P. (2016). The Influence of Financial Performance on Stock Price in Indonesian Oil and Gas Companies. 1st Global Conference on Business, Management and Entrepreneurship (C. 15, pp. 157–160).
• Ferrer, R. C., & Tang, A. (2016). An empirical investigation of the impact of financial ratios and business combination on stock price among the service firms in the Philippines. Academy of Accounting and Financial Studies Journal, 20(2), 104–116.
• Greene, W. H. (2002). Econometric Analysis. New Jersey: Prentice Hall.
• Güngör, B., & Kaygın, C. Y. (2015). Dinamik Panel Veri Analizi ile Hisse Senedi Fiyatini Etkileyen Faktörlerin Belirlenmesi. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(9).
• Hamit-Haggar, M. (2012). Greenhouse Gas Emissions, Energy Consumption and Economic Growth: A Panel Cointegration Analysis From Canadian Industrial Sector Perspective. Energy Economics, 34(1), 358–364. http://doi.org/10.1016/j.eneco.2011.06.005 Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251-1271.
• Hepaktan, E. C., & Çınar, S. (2012). OECD Ülkelerinde Büyüme-Cari İşlemler Dengesi İlişkisi: Panel Veri Analizi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 12(1), 43-57.
• Hurlin, C., & Mignon, V. (2007). Second Generation Panel Unit Root Tests.
• İlgün, M. F. (2016). Mali Sürdürülebilirlik: OECD Ülkelerine Yönelik Panel Veri Analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 30(1), 69-90.
• Jin, D., Zhensu, J. (2008). Firm Performance And Stock Returns: An Empirical Study of the Top Performing Stocks Listed on Shanghai Stock Exchange, Academy of Accounting and Financial Studies Journal, Volume 12, Number 1, p.79-85.
• Karaca, S. S.,&Başcı, E. S. (2011). Hisse Senedi Performansını Etkileyen Rasyolar ve İMKB 30 Endeksinde 2001-2009 Dönemi Panel Veri Analizi, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(3), 337-347.
• Kaya, A.,& Öztürk, M. (2015). Muhasebe Karları İle Hisse Senedi Fiyatları Arasındaki İlişki : BİST Firmaları Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, 67(Temmuz), 37–54.
• Kohansal, M. R.,Dadrasmoghaddam, A., Karmozdi, K. M., &Mohseni, A. (2013). Relationshipbetween Financial RatiosandStockPricesfortheFoodIndustryFirms in Stock Exchange of Iran. World Applied Programming, 3(October), 512–521.
• Le, T.-H., Kim, J., & Lee, M. (2016). InstitutionalQuality, TradeOpenness, and Financial Sector Development in Asia: An EmpiricalInvestigation. EmergingMarkets Finance andTrade, 52(5), 1047–1059. http://doi.org/10.1080/1540496X.2015.1103138 Mert, M.(2016). SPSS STATAYatay Kesit veri Analizi Bilgisayar Uygulamaları, Detay Yayıncılık: Ankara.
• Modares, A., Abedi, S., ve Mirshams, M. (2008). Testing Linear Relationships Between Excess Rate of Return and Financial Ratios, Electronic copy available at: http://ssrn.com/abstract=1264912
• Mokhtar, M.,Shuib, A., &Mohamad, D. (2014). Identifyingthe Critical Financial RatiosforStocks Evaluation: A FuzzyDelphiApproach. AIP Conference Proceedings(ss. 348–354). http://doi.org/10.1063/1.4903606
• Narayan, P.,&Reddy, Y. V. (2016). Literature on StockReturns : A Content Analysis. AmityJournal of Finance, 1(1), 194–207.
• Parlakkaya, R. & Kahraman, Ü. M. (2017). Muhasebe Bilgilerinin Hisse Fiyatlarını Açıklama Düzeyi Üzerine Bir Araştırma: Bist100 Uygulaması, Selçuk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Sosyal Ekonomik Araştırmalar Dergisi, Volume: 17, Issue: 33, 46-58.
• Pesaran, H. M. (2007). A Simple Panel Unit Root Test in the Presence of Cross Section Dependence. Journal of Applied Econometrics, 22(2), 265-312.
• Pesaran, M. H. (2004). General diagnostictestsforcrosssectiondependence in panels.
• Pesaran, M. H., Ullah, A., & Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence. Econometrics Journal, 11, 105-127.
• Şak, N. (2015). Panel Birim Kök Testleri. S. Güriş, Stata ile Panel Veri Modelleri (s. 203-269). İstanbul: Der Yayınları.
• Sevim, U. (2016). İşletme Finansal Oranlarının Hisse Senedi Getirileri Üzerine Etkisi: BİST 100 İmalat İşletmeleri Örneği, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 11(2), 221-235.
• Sharif, T., Purohit, H., & Pillai, R. (2015). Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange. International Journal of Economics and Finance, 7(3), 207-216.
• Tatoğlu, F. Y. (2016). Panel Veri Ekonometrisi Stata Uygulamalı. İstanbul: Beta Yayınları.
• Ullah, H., Sagip, S., & Usman , H. (2016). The Impact of Dividend Policy on Stock Price Volatility: A Case Study of Selected Firms from Textile Industry in Pakistan. International Journal of Academic Research in Economics and Management Sciences, 5(3), 1-11.
• Ün, T. (2015). Stata ile Panel Veri Analizi. S. Güriş, Stata ile Panel Veri Modelleri (s. 40-81). İstanbul : Der Yayınları.
• Wu, T.-P., Liu, S.-B., & Hsueh, S.-J. (2016). The Causal Relationship between Economic Policy Uncertainty and Stock Market: A Panel Data Analysis. International Economic Journal, 30(1), 109–122. http://doi.org/10.1080/10168737.2015.1136668 http://www.tuik.gov.tr/PreHaberBultenleri.do?id=24812 (25.11.2017)