LONG TERM UNDERPERFORMANCE ANOMALY and ITS DTERMINANT FACTORS on SEASONED EQUITY OFFERINGS: EVIDENCE FROM TURKEY

Yıl 2018, Cilt: 7 Sayı: 3, 208 - 227, 30.09.2018

Mustafa Cikrikci Mustafa Ozyesil

Öz

Purpose- This
study investigates long term underperformance anomaly existence on Seasoned
Equity Offerings (seos) conducted in Borsa Istanbul for the 2010 – 2015 period
and analyzes its determinant factors.   

Methodology- Raw and abnormal returns were
calculated then t statistics were obtained for each type of returns. All
returns were compared to market average and peer groups returns. The hypotheses
were tested via the comparison t statistics and t values. Regression analysis
were used to determine what kind of determinants affect long-term price
performance. To find out underperformance anomaly’s determinants regression
analysis was used through Panel Dynamic OLS (PDOLS) method. The analysis was
also conducted based on year and sector separately.

Findings- Long-term price performance
of firms that performed seos during the 2010-2015 period were calculated lower
than market average and peer groups and all findings were statistically
significant. Same results were obtained when the analysis was conducted on the
basis of year and sector.

Conclusion- Long-term
underperformance anomaly was confirmed and it has been determined that Leverage
Change Ratio, Private Placemet method and Volume variables have a positive
effect on long-term price performance while all other variables have a negative
effect.

Anahtar Kelimeler

Seasoned equity offering, underperformance, capital increase, abnormal stock returns, price anomalies

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