FİRMA BÜYÜKLÜĞÜNÜN HİSSE SENEDİ GETİRİLERİNE ETKİSİ

Year 2008, Volume: 11 Issue: 1, 327 - 339, 18.02.2010

Mukadder Horasan

Abstract

Hisse senedi getirilerine etki eden faktörler konusunda yapılan
çalışmalarda ele alınan değişkenlere Banz (1981) firma büyüklüğü değişkenini de
eklemiştir. Bu alanda yapılan çalışmalarda ele alınan dönemlerde ortalama
getiriler veya anormal getirilerin küçük firmalar açısından daha büyük olduğu
ortaya çıkmıştır. Getiriler üzerinde firma büyüklüğü etkisi çalışmaları bu etkinin
dünya menkul kıymet piyasalarında geçerli bir etki olduğunu göstermiştir.
Yapılan pek çok çalışmada test dönemleri oluşturularak etkinin her dönemde var
olup olmadığı incelenmiştir. Bu çalışmada öncelikle ele alınan dönemde Ocak
etkisi ortaya konmaya çalışılmış, ardından küçük-orta ve büyük ayrımı yapılarak
firma büyüklüğü etkisi ortaya konmaya çalışılmıştır. 2000–2006 yıllarının ele
alındığı çalışmada Eview’s 5,0 programı kullanılarak yapılan analizler sonucunda
getiriler üzerinde Ocak etkisi gözlenmezken, önceki çalışmaları destekler nitelikte
küçük firmaların büyük firmalara oranla daha fazla getiri sağladığı ortaya
çıkmıştır.

Keywords

Firma büyüklüğü, hisse senedi getirisi, ocak etkisi

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