The effect of economic value added (EVA) and market value added (MVA) on stock return and an application in Istanbul stock exchange

The aim of this study is to determine the effects of the value-based performance measurement criteria of economic value added (EVA) and market value added (MVA) on stock return. In the study, also, it is aimed to examine the effect of economic value added on market value added; to determine the effects of traditional performance measurement criteria such as return on assets (ROA), return of equity (ROE), earnings per share (EPS), and net income (NI) on stock return and market value added; to detect the effect of net operating profit after taxes (NOPAT),which is one of the elements of economic value added, on economic value added and to search the effects of net operating profit after taxes and invested capital (InIC) on market value added. The aims listed above were tested through regression, correlation, and basic analyses by using SPSS 16.0 statistics software package. The analyses were performed using a set of data including a total of 219 observations of the financial records of 75 companies registered in the Industrial Index of the stanbul Stock Exchange Market over the years 2008-2010. The regression models for the purposes of this study were tested both on the data obtained from the 219 observations of the 75 companies registered in the Industrial Index of the stanbul Stock Exchange Market covering the years 2008-2010 and on records obtained for each year separately. It was understood from the findings of the analyses that, in the 75 companies registered in the Industrial Index of the stanbul Stock Exchange Market over the years 2008-2010 that were included in the study, although economic value added had a negative effect on the stock return of the relevant year, it affected stock return for the next year positively; market value added had a positive effect on stock return of the relevant year; economic value added had a positive effect on market value added; net profit and earnings per share had a positive effect, whereas return on assets and return of equity did not have any statistically meaningful effect on stock return of the relevant year; while net profit and earnings per share had a positive effect, and return on assets had a negative effect on market value added, return of equity did not have any statistically meaningful effect on market value added; net operating profit after taxes had a positive effect on economic value added, and net operating profit after taxes and invested capital affected market value added positively. According to the findings of analyses obtained by testing the regression models for the purposes of this study on companies financial data for each year, it was found that levels of effect varied by years. Additionally, as shown by the findings of the analyses performed, it is not possible to say that the level of effect was the same for each year. Key Words: Value-based performance measurement criteria, economic value added, market value added, stock return, traditional performance measurement criteria, return on assets, return of equity, earnings per share, net income, net operating profit after taxes, invested capital