The Variability of IPO Initial Returns in Turkey

Abstract

The variability or volatility of initial returns to initial public offerings (IPO) is higher for firms that are more difficult to value because of higher information asymmetry. Therefore, firms that are difficult to value are usually underpriced if the IPO initial return value is used as a proxy. In this paper, we investigate whether or not there is a relationship between initial returns to the IPOs and their volatilities within the Turkish IPO market. Initial returns are calculated based on the first day and first month of IPO. Analyzing the data from the first month of going public for 173 Turkish IPOs during the period 1998-2013, we found a strong, positive relationship between them showing underpricing in the Turkish IPO market. Our analysis further indicates that this relationship is determined by factors such as (a) the ratio of the amount of money in insider shares to the total amount (b) the ratio of total number foreign investors to total number of investors and (c) the underwriter reputation

Keywords

• initial public offerings, underpricing, volatility

Türkiye’de İlk Halka Arz Getirilerinin Değişkenliği

Abstract

İlk halka arz getirilerinin değişkenliği ya da oynaklığı yüksek eksik bilgi nedeniyle firmaların ilk halka arz edilişlerinde değerlemesini zorlaştırmaktadır. Eğer ilk halka arz getirilerinin oynaklığı halka arzın fiyatını belirlemedeki güçlük için bir araç olarak kullanılabilirse ilk halka arz piyasasında firmaları değerleme problemi olduğu ve bununda düşük fiyatlamayı beraberinde getirdiği söylenebilir. Bu çalışmada, Türkiye’de halka arz piyasasında halka arzın ilk getirileri ile oynaklığı arasında bir ilişki olup olmadığı incelenmiştir. İlk getiriler halka arzın ilk günü ve ilk ayına göre belirlenmiştir. 1998-2013 döneminde incelenen 173 halka arza göre, ilk halka arz getirileri ile bu getirilerin oynaklığı arasında halka arzın gerçekleştiği ay içinde pozitif ve yüksek bir ilişki olduğu sonucuna varılmıştır. Diğer bir ifade ile Türkiye ilk halka arz piyasasında düşük fiyatlama söz konusudur. Çalışmada getiriler ile getirilerin oynaklığı arasındaki bu ilişki üzerinde (a) kurumsal yatırımcı ve (b) dış yatırımcı oranlarının (c) aracı kuruluş bilinirliği ile birlikte belirleyici oldukları sonucuna ulaşılmıştır

Keywords

• ilk halka arz, düşük fiyatlama, oynaklık

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