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Investigating the impact of corporate governance rating announcements on stock returns

Year 2013, Volume: 24 Issue: 85, 21 - 31, 01.02.2013

Serkan Yılmaz Kandır

Abstract

Aim of this study is to investigate the impact of corporate governance rating announcements on stock returns of five banks and one participation bank. Event study method is employed in the study. In this manner, corporate governance ratings announcements made in 2011 are determined as event days and event window is constructed by establishing five days before and after the event day. Analysis results suggest that corporate governance rating announcements do not have a significant impact on stock returns.

Keywords

stock returns governance banks banking economic analysis

References

  • Ball, C. ve Torous, W.N. (1988). Investigating Security Price Performance in the Presence of Event- Date Uncertainity. Journal of Financial Economics, 22, 123-153
  • Bartholdy, J., Olson, D. ve Peare, P. (2007). Conducting Event Studies on a Small Stock Exchange
  • European Journal of Finance, 13(3), 227-252
  • Black, B.S., Jang, H. ve Kim, W. (2006). Does Corporate Governance Affect Firms’ Market Values? Evidence From Korea. Journal of Law, Economics, & Organization, 22(2), 366-413
  • Black, B.S. ve Khanna, V. (2007). Can Corporate Governance Reforms Increase Firms' Market Values? Event Study Evidence from India. Journal of Empirical Legal Studies, 4, 749-796
  • Bodie, Z., Kane, A. ve Marcus, A.J. (1999). Investments (Fourth Edition), Singapur: McGrawHill
  • Brown, S.J. ve Warner, J.B. (1980). Measuring Security Price Performance. Journal of Financial Economics, 8, 205-258
  • Brown, S.J. ve Warner, J.B. (1985). Using Daily Stock Returns The Case of Event Studies. Journal of Financial Economics, 14, 3-31
  • Dodd, P. ve Warner, J.B. (1983). On Corporate Governance A Study of Proxy Contests. Journal of Financial Economics, 11, 401-438
  • Drobetz, W., Schillhofer, A. ve Zimmermann, H. (2004). Corporate Governance and Expected Stock Returns: Evidence from Germany. European Financial Management, 10, 267-293
  • Dyckman, T., Philbrick, D. ve Stephantt, J. (1984). A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach. Journal of Accounting Research, 22, 1-30
  • Elitaş, C., Yıldız, F., Karakoç, M. ve Özdemir, S. (2012). Kurumsal Yönetim Endeksi: Kredi Derecelendirmesi Üzerine Bir Model Önerisi. Ankara: Gazi Kitabevi
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417
  • Gillan, S.L. ve Starks, L.T. (1998). A Survey of Shareholder Activism: Motivation and Empirical Evidence. SSRN Working Paper, No: 663523
  • Gillan, S.L. ve Starks, L.T. (2003). Corporate Governance, Corporate Ownership, and the Role of Institutional Investors: A Global Perspective. Weinberg Center for Corporate Governance Working Paper, No: 2003-01
  • Gompers, P.A., Ishii, J.L. ve Metrick, A. (2003). Corporate Governance and Equity Prices. Quarterly Journal of Economics, 118(1), 107-155
  • Henderson, G.V. (1990). Problems and Solutions in Conducting Event Studies. Journal of Risk and Insurance, 57(2), 282-306
  • İstanbul Menkul Kıymetler Borsası (2012). “Endeks Kapsamındaki Şirketler” 28 Mayıs 2012 tarihinde http://www.imkb.gov.tr/Data/StocksData.aspx adresinden erişildi
  • İstanbul Menkul Kıymetler Borsası (2013). “İMKB Bültenleri” 9 Ocak 2013 tarihinde http://www.imkb.gov.tr/Data/StocksData.aspx adresinden erişildi
  • İstanbul Menkul Kıymetler Borsası (2012). “İMKB Kurumsal Yönetim Endeksi” 28 Mayıs 2012 tarihinde http://www.imkb.gov.tr/Indexes/StockIndexesHome/CorporateGovernance Index.aspx adresinden erişildi
  • Kamuyu Aydınlatma Platformu (2012). 23 Mayıs 2012 tarihinde http://www.kap.gov.tr/yay/ek/index.aspx adresinden erişildi
  • Klapper, L.F. ve Love, I. (2004). Corporate Governance, Investor Protection, and Performance in Emerging Markets. Journal of Corporate Finance, 10, 703--- 728
  • Kothari, S.P. ve Warner, J.B. (2007). Econometrics of Event Studies. B.E. Eckbo (Yay. Haz.)
  • Handbook of Corporate Finance: Empirical Corporate Finance Volume 1 içinde (ss.3-36)
  • Hollanda: Elsevier/North-Holland
  • Litvak, K. (2007). The Effect of the Sarbanes-Oxley Act on Non-US Companies Cross-Listed in the US. Journal of Corporate Finance, 13, 195-228
  • Love, I. (2011). Corporate Governance and Performance around the World: What We Know and What We Don’t. World Bank Research Observer, 26(1), 42-70
  • McWilliams, A. ve Siegel, D. (1997). Event Studies in Management Research: Theoretical and Empirical Issues. Academy of Management Journal, 40(3), 626-657
  • Morey M., Gottesman, A., Baker, E. ve Godridge, B. (2009). Does Better Corporate Governance Result in Higher Valuations in Emerging Markets? Another Examination Using a New data Set
  • Journal of Banking and Finance, 33, 254---262
  • Nittayagasetwat, A. ve Nittayagasetwat, W. (2006). An Analysis of the Stock Price Reaction to Corporate Governance Rating Announcements: The Case of Thai Listed Companies. NIDA Business Journal, 1(1), 25-49
  • Park, N.K. (2004). A Guide to Using Event Study Methods in Multi-Country Settings. Strategic Management Journal, 25, 655---668
  • Renders, A., Gaeremynck, A. ve Sercu, Piet (2010). Corporate-Governance Ratings and Company Performance: A Cross-European Study. Corporate Governance: An International Review, 12(8), 87-106
  • Ryngaert, M. ve Netter, J. (1990). Shareholder Wealth Effects of the 1986 Ohio Antitakeover Law Revisited: Its Real Effects. Journal of Law, Economics, & Organization, 6(1), 253-262
  • Sakarya, Ş. (2011). İMKB Kurumsal Yönetim Endeksi Kapsamındaki Şirketlerin Kurumsal Yönetim Derecelendirme Notu ve Hisse Senedi Getirileri Arasındaki İlişkinin Olay Çalışması (Event Study) Yöntemi ile Analizi. ZKÜ Sosyal Bilimler Dergisi, 7(13), 147-162
  • Sami, H., Wang, J. ve Zhou, H. (2011). Corporate Governance and Operating Performance of Chinese Listed Firms. Journal of International Accounting, Auditing and Taxation, 20, 106-114
  • Sermaye Piyasası Kurulu (2012). “Sermaye Piyasası Mevzuatı” 28 Mayıs 2012 tarihinde http://www.spk.gov.tr/apps/Mevzuat/?submenuheader=-1 adresinden erişildi
  • Sharpe, W.F. (1963). A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277-293
  • Shleifer, A. ve Vishny, R.W. (1997). A Survey of Corporate Governance. Journal of Finance, 52(2), 737-783
  • Suarez, M.M.V. (2002). Stock Market Response to the Formation of Global Alliances: Evidence from Spanish Corporations. European Business Review, 14 (6), 401-408
  • Van Horne, J.C. ve Wachowicz, J.M. (2008). Fundamentals of Financial Management (13th Edition), İngiltere: Prentice Hall

Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi

Year 2013, Volume: 24 Issue: 85, 21 - 31, 01.02.2013

Serkan Yılmaz Kandır

Abstract

Çalışmanın amacı, beş bankaya ve bir katılım bankasına ait kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesidir. Çalışmada olay çalışması yönteminden yararlanılmıştır. Bu çerçevede, 2011 yılında yapılan kurumsal yönetim derecelendirme notu açıklamaları olay günleri olarak belirlenmiş ve buna bağlı olarak olay gününün beş gün öncesi ve beş gün sonrası dikkate alınarak olay penceresi oluşturulmuştur. Analiz sonuçları, kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerinde önemli bir etkiye sahip olmadığını göstermektedir.

Keywords

hisse senedi getirileri yönetişim bankalar bankacılık ekonomik analizler

References

  • Ball, C. ve Torous, W.N. (1988). Investigating Security Price Performance in the Presence of Event- Date Uncertainity. Journal of Financial Economics, 22, 123-153
  • Bartholdy, J., Olson, D. ve Peare, P. (2007). Conducting Event Studies on a Small Stock Exchange
  • European Journal of Finance, 13(3), 227-252
  • Black, B.S., Jang, H. ve Kim, W. (2006). Does Corporate Governance Affect Firms’ Market Values? Evidence From Korea. Journal of Law, Economics, & Organization, 22(2), 366-413
  • Black, B.S. ve Khanna, V. (2007). Can Corporate Governance Reforms Increase Firms' Market Values? Event Study Evidence from India. Journal of Empirical Legal Studies, 4, 749-796
  • Bodie, Z., Kane, A. ve Marcus, A.J. (1999). Investments (Fourth Edition), Singapur: McGrawHill
  • Brown, S.J. ve Warner, J.B. (1980). Measuring Security Price Performance. Journal of Financial Economics, 8, 205-258
  • Brown, S.J. ve Warner, J.B. (1985). Using Daily Stock Returns The Case of Event Studies. Journal of Financial Economics, 14, 3-31
  • Dodd, P. ve Warner, J.B. (1983). On Corporate Governance A Study of Proxy Contests. Journal of Financial Economics, 11, 401-438
  • Drobetz, W., Schillhofer, A. ve Zimmermann, H. (2004). Corporate Governance and Expected Stock Returns: Evidence from Germany. European Financial Management, 10, 267-293
  • Dyckman, T., Philbrick, D. ve Stephantt, J. (1984). A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach. Journal of Accounting Research, 22, 1-30
  • Elitaş, C., Yıldız, F., Karakoç, M. ve Özdemir, S. (2012). Kurumsal Yönetim Endeksi: Kredi Derecelendirmesi Üzerine Bir Model Önerisi. Ankara: Gazi Kitabevi
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417
  • Gillan, S.L. ve Starks, L.T. (1998). A Survey of Shareholder Activism: Motivation and Empirical Evidence. SSRN Working Paper, No: 663523
  • Gillan, S.L. ve Starks, L.T. (2003). Corporate Governance, Corporate Ownership, and the Role of Institutional Investors: A Global Perspective. Weinberg Center for Corporate Governance Working Paper, No: 2003-01
  • Gompers, P.A., Ishii, J.L. ve Metrick, A. (2003). Corporate Governance and Equity Prices. Quarterly Journal of Economics, 118(1), 107-155
  • Henderson, G.V. (1990). Problems and Solutions in Conducting Event Studies. Journal of Risk and Insurance, 57(2), 282-306
  • İstanbul Menkul Kıymetler Borsası (2012). “Endeks Kapsamındaki Şirketler” 28 Mayıs 2012 tarihinde http://www.imkb.gov.tr/Data/StocksData.aspx adresinden erişildi
  • İstanbul Menkul Kıymetler Borsası (2013). “İMKB Bültenleri” 9 Ocak 2013 tarihinde http://www.imkb.gov.tr/Data/StocksData.aspx adresinden erişildi
  • İstanbul Menkul Kıymetler Borsası (2012). “İMKB Kurumsal Yönetim Endeksi” 28 Mayıs 2012 tarihinde http://www.imkb.gov.tr/Indexes/StockIndexesHome/CorporateGovernance Index.aspx adresinden erişildi
  • Kamuyu Aydınlatma Platformu (2012). 23 Mayıs 2012 tarihinde http://www.kap.gov.tr/yay/ek/index.aspx adresinden erişildi
  • Klapper, L.F. ve Love, I. (2004). Corporate Governance, Investor Protection, and Performance in Emerging Markets. Journal of Corporate Finance, 10, 703--- 728
  • Kothari, S.P. ve Warner, J.B. (2007). Econometrics of Event Studies. B.E. Eckbo (Yay. Haz.)
  • Handbook of Corporate Finance: Empirical Corporate Finance Volume 1 içinde (ss.3-36)
  • Hollanda: Elsevier/North-Holland
  • Litvak, K. (2007). The Effect of the Sarbanes-Oxley Act on Non-US Companies Cross-Listed in the US. Journal of Corporate Finance, 13, 195-228
  • Love, I. (2011). Corporate Governance and Performance around the World: What We Know and What We Don’t. World Bank Research Observer, 26(1), 42-70
  • McWilliams, A. ve Siegel, D. (1997). Event Studies in Management Research: Theoretical and Empirical Issues. Academy of Management Journal, 40(3), 626-657
  • Morey M., Gottesman, A., Baker, E. ve Godridge, B. (2009). Does Better Corporate Governance Result in Higher Valuations in Emerging Markets? Another Examination Using a New data Set
  • Journal of Banking and Finance, 33, 254---262
  • Nittayagasetwat, A. ve Nittayagasetwat, W. (2006). An Analysis of the Stock Price Reaction to Corporate Governance Rating Announcements: The Case of Thai Listed Companies. NIDA Business Journal, 1(1), 25-49
  • Park, N.K. (2004). A Guide to Using Event Study Methods in Multi-Country Settings. Strategic Management Journal, 25, 655---668
  • Renders, A., Gaeremynck, A. ve Sercu, Piet (2010). Corporate-Governance Ratings and Company Performance: A Cross-European Study. Corporate Governance: An International Review, 12(8), 87-106
  • Ryngaert, M. ve Netter, J. (1990). Shareholder Wealth Effects of the 1986 Ohio Antitakeover Law Revisited: Its Real Effects. Journal of Law, Economics, & Organization, 6(1), 253-262
  • Sakarya, Ş. (2011). İMKB Kurumsal Yönetim Endeksi Kapsamındaki Şirketlerin Kurumsal Yönetim Derecelendirme Notu ve Hisse Senedi Getirileri Arasındaki İlişkinin Olay Çalışması (Event Study) Yöntemi ile Analizi. ZKÜ Sosyal Bilimler Dergisi, 7(13), 147-162
  • Sami, H., Wang, J. ve Zhou, H. (2011). Corporate Governance and Operating Performance of Chinese Listed Firms. Journal of International Accounting, Auditing and Taxation, 20, 106-114
  • Sermaye Piyasası Kurulu (2012). “Sermaye Piyasası Mevzuatı” 28 Mayıs 2012 tarihinde http://www.spk.gov.tr/apps/Mevzuat/?submenuheader=-1 adresinden erişildi
  • Sharpe, W.F. (1963). A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277-293
  • Shleifer, A. ve Vishny, R.W. (1997). A Survey of Corporate Governance. Journal of Finance, 52(2), 737-783
  • Suarez, M.M.V. (2002). Stock Market Response to the Formation of Global Alliances: Evidence from Spanish Corporations. European Business Review, 14 (6), 401-408
  • Van Horne, J.C. ve Wachowicz, J.M. (2008). Fundamentals of Financial Management (13th Edition), İngiltere: Prentice Hall
There are 41 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Serkan Yılmaz Kandır This is me

Publication Date February 1, 2013
Published in Issue Year 2013 Volume: 24 Issue: 85

Cite

APA Kandır, S. Y. (2013). Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi. Bankacılar, 24(85), 21-31.
AMA Kandır SY. Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi. Bankacılar. February 2013;24(85):21-31.
Chicago Kandır, Serkan Yılmaz. “Kurumsal yönetim Derecelendirme Notu açıklamalarının Hisse Senedi Getirileri üzerindeki Etkisinin Incelenmesi”. Bankacılar 24, no. 85 (February 2013): 21-31.
EndNote Kandır SY (February 1, 2013) Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi. Bankacılar 24 85 21–31.
IEEE S. Y. Kandır, “Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi”, Bankacılar, vol. 24, no. 85, pp. 21–31, 2013.
ISNAD Kandır, Serkan Yılmaz. “Kurumsal yönetim Derecelendirme Notu açıklamalarının Hisse Senedi Getirileri üzerindeki Etkisinin Incelenmesi”. Bankacılar 24/85 (February 2013), 21-31.
JAMA Kandır SY. Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi. Bankacılar. 2013;24:21–31.
MLA Kandır, Serkan Yılmaz. “Kurumsal yönetim Derecelendirme Notu açıklamalarının Hisse Senedi Getirileri üzerindeki Etkisinin Incelenmesi”. Bankacılar, vol. 24, no. 85, 2013, pp. 21-31.
Vancouver Kandır SY. Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi. Bankacılar. 2013;24(85):21-3.