Corporate derivatives use and firm value: Evidence from Turkey

Ayturk Y., Gurbuz A. O., Yanik S.

BORSA ISTANBUL REVIEW, cilt.16, sa.2, ss.108-120, 2016 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 16 Sayı: 2
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1016/j.bir.2016.02.001
  • Dergi Adı: BORSA ISTANBUL REVIEW
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Emerging Sources Citation Index (ESCI), Scopus, EconLit, Directory of Open Access Journals
  • Sayfa Sayıları: ss.108-120
  • Anahtar Kelimeler: Risk management, Hedging, Derivatives, Derivatives use, Firm value
  • İstanbul Üniversitesi Adresli: Evet

Özet

This paper examines use of financial derivatives (currency, interest rate and commodity) and its effect on firm value of non-financial Turkish firms for period of 2007-2013. Only 36.41% of companies in our sample use derivatives to hedge their currency, interest rate or commodity price risks. We have used Tobin's Q ratio analysis with panel data models, Fama-French three-factor time-series analysis and single sector analysis to investigate whether corporate derivatives use is value relevant or not. Except Tobin's Q ratio analysis with system GMM estimators, we cannot find significant hedging premium or discount for all Turkish non-financial firms. We find a positive relationship between derivatives use and firm value, only when we use Tobin's Q ratio analysis with system GMM estimators. We also test the effects of currency hedging, interest rate hedging and commodity price hedging separately and find similar results as in the case of general derivatives use. Overall, majority of our results imply that use of financial derivatives does not affect firm value in Turkish market. Copyright (C) 2016, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.