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Ar-Ge Yoğunluğu, Tamamlayıcı Varlıklar ve Firma Değeri: Türkiye için Zaman Serisi Bulguları

Year 2020, Volume: 70 Issue: 1, 47 - 72, 30.06.2020
https://doi.org/10.26650/ISTJECON2020-0017

Abstract

Bu çalışmada; 1992.Q1-2019.Q3 dönemini kapsayan zaman serisi verisi kullanılarak Türkiye’de imalat sanayi sektöründe, ar-ge yoğunluğu ile tamamlayıcı varlıkların firma değeri üzerindeki olası etkilerinin araştırılması amaçlanmaktadır. Serilerin durağanlık düzeyleri ADF (1981), ve Zivot ve Andrews (1992) birim kök testleri kullanılarak tespit edilmektedir. Seriler arasındaki uzun dönemli ilişkiler tek yapısal kırılmaya izin veren Gregory ve Hansen (1996) eşbütünleşme testi ile incelenmektedir. Son olarak, aralarında eşbütünleşme ilişkisi tespit edilen değişkenler arasındaki uzun dönemli ilişkileri gösteren katsayıların tahminlemesinde, yapısal kırılmaların kukla değişken olarak analize dâhil edilebildiği Stock ve Watson (1993) tarafından geliştirilen dinamik en küçük kareler yöntemi kullanılmaktadır. Dinamik en küçük kareler tahmincisi sonuçlarına göre; ar-ge yoğunluğu değişkenlerinden “ar-ge harcamaları/ net satışlar” ile tamamlayıcı varlıklara ilişkin değişkenlerin, firma değerine karşı uzun dönem katsayıları istatistiksel olarak anlamlıdır. Kırılma tarihi (2005.Q1) de dahil olmak üzere, bu tarihe kadar, “ar-ge harcamaları/net satışlar” değişkeninin firma değerini pozitif yönde etkilediği görülürken; söz konusu etkileşim kırılma tarihi sonrasında negatife dönmektedir. Tamamlayıcı varlıklara ilişkin değişken ise kırılma tarihine kadar firma değerini negatif yönde etkilerken, söz konusu etkileşim kırılma tarihi sonrasında tersine dönmektedir. Bir diğer arge yoğunluğu değişkeni olan “ar-ge harcamaları/ toplam aktifler” değişkeninin ise gerek kırılma tarihinden önce gerekse de sonra firma değeri üzerinde anlamlı bir etkisi bulunmamaktadır.

References

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R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey

Year 2020, Volume: 70 Issue: 1, 47 - 72, 30.06.2020
https://doi.org/10.26650/ISTJECON2020-0017

Abstract

This paper aims to test the value relevance of R&D intensity and complementary assets on quarterly time-series data regarding the R&D activities of Turkish manufacturing sector (comprising BIST listed manufacturing firms) in the period of 1992.Q1-2019.Q3. The presence of a unit root is tested by Augmented Dickey Fuller (1981) and Zivot and Andrews (1992) tests. Following this, one-break Gregory and Hansen (1996) cointegration test is employed to detect structural break in the cointegrating relationship among series. Finally, the long-run coefficients estimated by Stock and Watson (1993)’s method of DOLS indicate that R&D intensity variable relative to net sales has statistically significant and positive effect on firm value, which then turns negative following the break date. The other R&D intensity variable relative to total assets fails to reveal any significant effect on firm value, both in the pre- and post-break date. Besides, complementary (tangible) assets have statistically significant and negative effect on firm value until the break date and this effect reverses following the break date. The break date of 2005.Q1 can be associated with the time-lag effects of several severe crises that the Turkish economy has experienced between 1999 and 2001.

References

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  • Afuah, A. (2001). Dynamic boundaries of the firm: are firms better off being vertically integrated in the face of a technological change?. Academy of Management Journal, 44(6), 1211-1228.
  • Ahmed, K. & Falk, H. (2006). The value relevance of management’s policy choice of research and development expenditure reporting: evidence from Australia. Journal of Accounting and Public Policy, 25(4), 231-264.
  • Alessandri, T. M. & Pattit, J. M. (2014). Drivers of R&D investment: the interaction of behavioral theory and managerial incentives. Journal of Business Research, 67(2), 151-158.
  • Ali, A., Hwang, L.S. & Trombley, M. A. (2003). Residual-income-based valuation predicts future stock returns: evidence on mispricing vs. risk explanations. Accounting Review, 78(2), 377-396.
  • Arltova, M. & Fedorova, D. (2016). Selection of unit root test on the basis of length of the time series and value of AR(1) parameter. Statistika, 96(3), 47-64.
  • Asthana, S. C. & Zhang, Y. (2006). Effect of R&D investments on persistence of abnormal earnings. Review of Accounting and Finance, 5(2), 124-139.
  • Aucote, H. M., & Gold, R. S. (2005). Non-equivalence of direct and indirect measures of unrealistic optimism. Psychology, Health & Medicine, 10(2), 194-201.
  • Bae, S. C. & Kim, D. (2003). The effect of R&D investments on market value of firms: evidence from the U.S., Germany, and Japan. Multinational Business Review, 11(3), 51-76.
  • Bae, S. C., Park, B. J. C. & Wang, X. (2008). Multinationality, R&D intensity, and firm performance: evidence from U.S. manufacturing firms. Multinational Business Review, 16(1), 53-78.
  • Bena, J. & Li, K. (2014). Corporate innovations and mergers and acquisitions. Journal of Finance. 69(5), 1923-1960.
  • Ben-Zion, U. (1978). The investment aspect of nonproduction expenditures: an empirical test. Journal of Economics and Business, 30(3), 224-229.
  • Ben-Zion, U. (1984). The R&D and investment decision and its relationship to the firm’s market value: some preliminary results. In U.
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  • Berrone, P., Surroca, J. & Tribo, J. A. (2007). Corporate ethical identity as a determinant of firm performance: a test of the mediating role of stakeholder satisfaction. Journal of Business Ethics, 76(1), 35-53.
  • Bhagat S. & Welch I. (1995). Corporate research and development investments international comparisons. Journal of Accounting and Economics, 19(2-3), 443-470.
  • Box, G. E. P. & Jenkins, G. M. (1970). Time series analysis, forecasting and control. San Francisco: Holden-Day Publications.
  • Brand Finance (2019). Brand Finance Global500 Report. January.
  • Callen, J. L. & Morel, M. (2005). The valuation relevance of R&D expenditures: time series evidence. International Review of Financial Analysis, 14(3): 304-325.
  • Chan, L. K. C., Lakonishok, J. & Sougiannis, T. (2001). The stock market valuation of research and development expenditures. Journal of Finance, 61(6), 2431-2456.
  • Chan, S. H., Martin, J. D. & Kensinger, J. W. (1990). Corporate research and development expenditures and share value. Journal of Financial Economics, 26(2), 255-276.
  • Chang, H. & Su, C. (2010). Is R&D always beneficial?. Review of Pacific Basin Financial Markets and Policies, 13(1), 157-174.
  • Chen, T-c., Guo, D-Q., Chen, H-M. & Wei, T-t. (2019). Effects of R&D intensity on firm performance in Taiwan’s semiconductor industry. Economic Research, 32(1), 2377-2392.
  • Chen, Y. & Ibhagui, O. W. (2019). R&D-firm performance nexus: new evidence from NASDAQ listed firms. North American Journal of Economics and Finance, 50(3), 1-16.
  • Choi, S. B. & Williams, C. (2014). The impact of innovation intensity, scope, and spillovers on sales growth in Chinese firms. Asia Pacific Journal of Management, 31(1), 25-46.
  • Cockburn, I. & Griliches, Z. (1988). Industry effects and appropriability measures in the stock market’s valuation of R&D and patents. American Economic Review, 78(2), 419-423.
  • Connolly R. A. & Hirschey M. (2005). Firm size and the effect of R&D on Tobin’s q. R&D Management, 35(2), 217-223.
  • Connolly, R. A. & Hirschey, M. (1984). R&D, market structure and profits: a value-based approach. Review of Economics and Statistics, 66(4), 682-86.
  • Connolly, R. A. & Hirschey, M. (1990). Firm size and R&D effectiveness: a value-based test. Economics Letters, 32(3), 277-281.
  • Corrado, C. A., Haskel, J., Iommi, M. & Jona-Lasinio, C. (2012). Intangible capital and growth in advanced economies: measurement and comparative results. IZA Discussion Papers, No.6733, Institute for the Study of Labor (IZA).
  • Corrado, C. A., Haskel, J., Jona-Lasinio, C. & Iommi, M. (2016). Intangible investment in the EU and US before and since the Great Recession and its contribution to productivity growth. EIB Working Papers, No.2016/08, European Investment Bank (EIB).
  • Czarnitzki, D., Hall, B. H. & Oriani, R. (2006). The market valuation of knowledge assets in US and European firms. In Derek L. Bosworth & Elizabeth Webster (Eds.), The management of intellectual property (pp. 111-131), Cheltenham, UK: Edward Elgar.
  • Daniel K. & Titman, S. (2006). Market reactions to tangible and intangible information. Journal of Finance, 61(4), 1605-1643.
  • Daniel, K. & Titman, S. (1997). Evidence on the characteristics of cross-sectional variation in stock returns. Journal of Finance, 52(1), 1-33.
  • Dickey, D. A & Fuller, W. A. (1981). Distribution of the estimators for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
  • Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431.
  • Dickey, D. A. (1976). Estimation and hypothesis testing in nonstationary time series. Iowa State University Ph.D. Thesis.
  • Doukas, J. & Switzer, L. (1992). The stock market’s valuation of R&D spending and market concentration. Journal of Economics and Business, 44(2), 95-114.
  • Duqi, A., Mirti, R. & Torluccio, G. (2011). An analysis of the R&D effect on stock returns for European listed firms. European Journal of Financial Research, 1(4), 482-496.
  • Eberhart, A. C., Maxwell, W. F. & Siddique, A. R. (2004). An examination of long‐term abnormal stock returns and operating performance following R&D increases. Journal of Finance, 59(2), 623-650.
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There are 98 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Research Article
Authors

Kartal Demirgüneş This is me 0000-0002-6305-0967

Yüksel İltaş 0000-0001-8853-838X

Publication Date June 30, 2020
Submission Date May 11, 2020
Published in Issue Year 2020 Volume: 70 Issue: 1

Cite

APA Demirgüneş, K., & İltaş, Y. (2020). R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey. İstanbul İktisat Dergisi, 70(1), 47-72. https://doi.org/10.26650/ISTJECON2020-0017
AMA Demirgüneş K, İltaş Y. R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey. İstanbul İktisat Dergisi. June 2020;70(1):47-72. doi:10.26650/ISTJECON2020-0017
Chicago Demirgüneş, Kartal, and Yüksel İltaş. “R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey”. İstanbul İktisat Dergisi 70, no. 1 (June 2020): 47-72. https://doi.org/10.26650/ISTJECON2020-0017.
EndNote Demirgüneş K, İltaş Y (June 1, 2020) R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey. İstanbul İktisat Dergisi 70 1 47–72.
IEEE K. Demirgüneş and Y. İltaş, “R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey”, İstanbul İktisat Dergisi, vol. 70, no. 1, pp. 47–72, 2020, doi: 10.26650/ISTJECON2020-0017.
ISNAD Demirgüneş, Kartal - İltaş, Yüksel. “R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey”. İstanbul İktisat Dergisi 70/1 (June 2020), 47-72. https://doi.org/10.26650/ISTJECON2020-0017.
JAMA Demirgüneş K, İltaş Y. R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey. İstanbul İktisat Dergisi. 2020;70:47–72.
MLA Demirgüneş, Kartal and Yüksel İltaş. “R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey”. İstanbul İktisat Dergisi, vol. 70, no. 1, 2020, pp. 47-72, doi:10.26650/ISTJECON2020-0017.
Vancouver Demirgüneş K, İltaş Y. R&D Intensity, Complementary Assets and Firm Value: Time Series Evidence from Turkey. İstanbul İktisat Dergisi. 2020;70(1):47-72.