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UZUN DÖNEMLİ AL-VE-TUT GETİRİLERİ: IMKB’DE HALKA AÇIK ŞİRKETLER ÜZERİNE BİR UYGULAMA

Year 2010, Volume: 10 Issue: 2, 465 - 486, 01.05.2010

Abstract

Bu çalışma IMKB’de 1995-2004 yıllarında halka arz edilen şirketlerin hisse senetlerinin beş yıllık uzun dönemli performanslarını incelemektedir. Elde edilen sonuçlar göstermektedir ki ortalama ilk gün getirisi %8,26’dır ve IMKB’de ilk gün getirilerinde düşük fiyatlama olgusu tespit edilmiştir. Getirilerin sektörlere göre dağılımı yapıldığında en fazla ortalama ilk gün getiri elektrik ve mali sektörlerinde olup, sektörler arasında getiriler istatistiki olarak birbirinden farklıdır. Çalışmada uzun dönemli hisse getirilerini hesaplamak için al-ve-tut getiriler yöntemi kullanılmıştır. Bu çalışmanın en önemli sonuçlarından birisi ilk gün getirisi yüksek olan hisse senetlerinin uzun dönemli getirilerinin de yüksek olduğudur. Bu sonuç göstermektedir ki, IMKB’de özellikle halka arzlarda yatırımcılar arasında aşırı iyimserlik olgusu yaşanmamıştır. Çalışmanın bir diğer sonucu ise büyük işirketlerin hisse senedi getirilerinin yatırımcılara uzun dönemde diğer şirketlere göre kazandırdığıdır

References

  • AGGARWAL, R. and RIVOLLI, P. (1990): “Fads in Initial Public Offering Market”, Financial Management, Vol. 19, 45-57.
  • AGGARWAL, R., LEAL, R., and HERMANDEZ, L. (1993): “The Aftermarket Performance of Initial Public Offerings in Latin America”, Financial Management,Vol.22, 42-53.
  • ALLEN F. and FAULHABER, R. G. (1989): “Signalling by Underpricing in the IPO Market”, Journal of Financial Economics 23, 303-323.
  • ANG, J. and SCHWARZ, T. (1985): “Risk Aversion and Information Structure: an Experimental Study of Price Variability in the Securities Markets”, Journal of Finance, 825-844.
  • AROSIO, R., GIUDICI, G., and PALEARI, S. (2000): “Why Do (or did?) Internet-Stock IPOs Leave so Much Money on the Table? ”, Working Paper, University of Bergamo.
  • BARAK, O., ve DEMİRELİ, E. (2006). “IMKB’de Gözlemlenen Fiyat Anomalilerinin Davranışsal Finans Modelleri Kapsamında Değerlendirilmesi, 10. Ulusal Finans Sempozyumu”, Dokuz Eylül Üniversitesi, İzmir.
  • BENVENISTE, L.M. and SPINDT P.A. (1989): “How Investment Bankers Determine the Offer Price and Allocation of New Issues”, Journal of Financial Economics 24, 343-361.
  • BESSLER, W., and THIES, S. (2007): “The Long-run Performance of Initial Public Offerings in Germany”, Managerial Finance 33, Issue: 6, 420-441.
  • BUSER, S. and CHAN, K. (1987): “Nasdaq/Nms Qualification stand, Ohio Registration Experience and the Price Performance of Initial public Offerings”, Ohio Department of Commerce and National Association of Securities Dealers Inc., Columbus, OH.
  • CAI, J., and WEI, J. K. (1997): “The Investment and Operating Performance of Japanese Initial Public Offerings”, Pacific Basin Finance Journal 5, 389-417.
  • CAMERER, C.(1989): “Bubbles and Fads in Asset Prices: a Review of Theory an Evidence”, Journal of Economic Surveys 3(1), 3-41.
  • DEBONDT, W.and THALER, R. (1985): “Does the Stock Market Overreact?”, Journal of Finance 40,793-808.
  • DURUKAN, M. B. (2002): “The Relationship Between IPO Returns and Factors Influencing IPO Performance: Case Study of the Istanbul Stock Exchange”, Managerial Finance, Vol.28, 18-38.
  • DÜZAKIN, G.H. (1999): “Hisse Senetlerinin Halka İlk Arzda Düşük Fiyatlandırılması İle İlgili Hipotezlerin Türkiye Açısından Değerlendirilmesi”, İktisat, İşletme ve Finans Dergisi, No.14, Sayı. 164, 50-69
  • FINN, F. and HIGHAM, R. (1988): “The Performance of Unseasoned Equity Issues: Common Stocks Exchange Listings in Australia”, Journal of Banking and Finance, Vol. 2, 333-351.
  • KARAN, B.M. (2001): “Istanbul Menkul Kıymetler Borsası Anomalileri”, Ege Akademik Bakış, Sayı.1, Cilt.1, 83-94.
  • KIM, B.J., KRINSKY, I., and LEE, J. (1995): “The Aftermarket Performance of Initial Public Offerings”, Pacfic-Basin Journal, 3, 429-448.
  • KIYMAZ, H. (1997): “IMKB’de Halka Arz Edilen Mali Sektör Hisselerinin Uzun Dönem Performansları: 1990-1995 Uygulaması”, Hazine Dergisi, Sayı: 7, 1-18.
  • KIYMAZ, H. (2000): “The Initial and Aftermarket Performance of IPOs in an Emerging Market: Evidence from Istanbul Stock Exchange”, Journal of Financial Management, Vol. 10, 213-227.
  • KOOLI, M. and SURET, M. J. (2004): “The Aftermarket Performance of Initial Public Offerings in Canada”, Journal of Multinational Financial Management 14, 47-66.
  • KÜÇÜKKOCAOĞLU, G., ve Alagöz, A. (2006): “IMKB’de Uygulanan Halka Arz Yöntemlerinin Karşılaştırmalı Analizi”, Çalışma Tebliği, Başkent Üniversitesi.
  • LJUNGQVIST, A. (1997): “Pricing Initial Public Offerings Further Evidence from Germany”, European Economic Review, Vol.14, 1309-1320.
  • LOUGHRAN, T., and RITTER, J. (1995): “The New Issues Puzzle”, Journal of Finance, Vol:50, 23-51.
  • LYN, E. and ZYCHOWICZ, E., (2003): “The Performance of New Equity Offerings in Poland and Hungary, Global Finance, Vol.14, 181-195.
  • MCGUINESS, P.,(1992): “An Examination of Underpricing of Initial Public Offerings in Hong Kong”, Journal of Business Finance and Accounting, No:19, 165-186.
  • MILLER, E. (1977): “Risk, Uncertainty, and Divergence of Opinion”, Journal of Finance 32, 1151-1168.
  • ORHON, M. (2006): “Short-and-long-run Performance of IPOs Traded on the Istanbul Stock Exchange”, Initial Public Offerings: An International Perspective, Greg N. Gregoriou (Ed.), Published by Butterworth-Heinemann, 45-55.
  • OZER, B. (1999): “Price Performance of Initial Public Offerings in Turkey”, Capital Markets Board of Turkey, Publication No: 128, Ankara, Turkey.
  • RITTER, J., (1991): “The Long-run Performance of Initial Public Offerings”, Journal of Finance 42, 365-394.
  • SCHULTZ, P., and ZAMAN, M., (2001): “Do the Individuals Closest to Internet Firms Believe They Are Overvalued? ”, Journal of Economics 59, 347-381.
  • SEVİM, Ş. ve AKKOÇ, S. (2006): “İlk Halka Arzların Uzun Vadeli Performansları ve Ucuz Fiyat Olgusu: İstanbul Menkul Kıymetler Borsasında Sektörel Karşılaştırmalı Bir Uygulama”, Dumlupınar Üniversitesi, Sosyal Bilimler Dergisi, Sayı.16, 107-124.
  • SHILLER, R.J. (1990): “Speculative Prices and Popular Models”, Journal of Economic Perspectives, Vol. 4, 55-65.
  • ÜNLÜ, U. (2006): Türkiye’de İlk Defa Halka Arz Edilen Bankacılık Sektörü Hisse Senetlerinin Uzun Dönem Fiyat Performansı, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 27, Temmuz-Aralık, 119-147.
  • WELCH, I., (1992): “Sequential Sales, Learning and Cascades”, Journal of Finance 47, 695-732.

LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE

Year 2010, Volume: 10 Issue: 2, 465 - 486, 01.05.2010

Abstract

This study examines the 5-year long-run performance of IPOs listed on ISE from 1995 to 2004. The findings show that average initial return of IPO firms is 8.26 % and there is an evidence of underpricing on ISE. When the initial returns were investigated for each sub-industry, the findings reveal the fact that electricity industry and financial industry had the highest average initial returns.In addition to this, there is a statistically significant difference in the initial returns of each sub-industry. Buy-and-hold returns were calculated in order to measure long-run stock performance. One of the most striking findings of this paper is that firms with high initial returns had also high long-run stock returns.This finding shows that there was no over optimism (fads) phenomeanon among the investors on ISE particularly while going to public. Another important finding of this paper is that stocks of big firms with high level assets had comparatively higher returns than those of small firms in the long-run

References

  • AGGARWAL, R. and RIVOLLI, P. (1990): “Fads in Initial Public Offering Market”, Financial Management, Vol. 19, 45-57.
  • AGGARWAL, R., LEAL, R., and HERMANDEZ, L. (1993): “The Aftermarket Performance of Initial Public Offerings in Latin America”, Financial Management,Vol.22, 42-53.
  • ALLEN F. and FAULHABER, R. G. (1989): “Signalling by Underpricing in the IPO Market”, Journal of Financial Economics 23, 303-323.
  • ANG, J. and SCHWARZ, T. (1985): “Risk Aversion and Information Structure: an Experimental Study of Price Variability in the Securities Markets”, Journal of Finance, 825-844.
  • AROSIO, R., GIUDICI, G., and PALEARI, S. (2000): “Why Do (or did?) Internet-Stock IPOs Leave so Much Money on the Table? ”, Working Paper, University of Bergamo.
  • BARAK, O., ve DEMİRELİ, E. (2006). “IMKB’de Gözlemlenen Fiyat Anomalilerinin Davranışsal Finans Modelleri Kapsamında Değerlendirilmesi, 10. Ulusal Finans Sempozyumu”, Dokuz Eylül Üniversitesi, İzmir.
  • BENVENISTE, L.M. and SPINDT P.A. (1989): “How Investment Bankers Determine the Offer Price and Allocation of New Issues”, Journal of Financial Economics 24, 343-361.
  • BESSLER, W., and THIES, S. (2007): “The Long-run Performance of Initial Public Offerings in Germany”, Managerial Finance 33, Issue: 6, 420-441.
  • BUSER, S. and CHAN, K. (1987): “Nasdaq/Nms Qualification stand, Ohio Registration Experience and the Price Performance of Initial public Offerings”, Ohio Department of Commerce and National Association of Securities Dealers Inc., Columbus, OH.
  • CAI, J., and WEI, J. K. (1997): “The Investment and Operating Performance of Japanese Initial Public Offerings”, Pacific Basin Finance Journal 5, 389-417.
  • CAMERER, C.(1989): “Bubbles and Fads in Asset Prices: a Review of Theory an Evidence”, Journal of Economic Surveys 3(1), 3-41.
  • DEBONDT, W.and THALER, R. (1985): “Does the Stock Market Overreact?”, Journal of Finance 40,793-808.
  • DURUKAN, M. B. (2002): “The Relationship Between IPO Returns and Factors Influencing IPO Performance: Case Study of the Istanbul Stock Exchange”, Managerial Finance, Vol.28, 18-38.
  • DÜZAKIN, G.H. (1999): “Hisse Senetlerinin Halka İlk Arzda Düşük Fiyatlandırılması İle İlgili Hipotezlerin Türkiye Açısından Değerlendirilmesi”, İktisat, İşletme ve Finans Dergisi, No.14, Sayı. 164, 50-69
  • FINN, F. and HIGHAM, R. (1988): “The Performance of Unseasoned Equity Issues: Common Stocks Exchange Listings in Australia”, Journal of Banking and Finance, Vol. 2, 333-351.
  • KARAN, B.M. (2001): “Istanbul Menkul Kıymetler Borsası Anomalileri”, Ege Akademik Bakış, Sayı.1, Cilt.1, 83-94.
  • KIM, B.J., KRINSKY, I., and LEE, J. (1995): “The Aftermarket Performance of Initial Public Offerings”, Pacfic-Basin Journal, 3, 429-448.
  • KIYMAZ, H. (1997): “IMKB’de Halka Arz Edilen Mali Sektör Hisselerinin Uzun Dönem Performansları: 1990-1995 Uygulaması”, Hazine Dergisi, Sayı: 7, 1-18.
  • KIYMAZ, H. (2000): “The Initial and Aftermarket Performance of IPOs in an Emerging Market: Evidence from Istanbul Stock Exchange”, Journal of Financial Management, Vol. 10, 213-227.
  • KOOLI, M. and SURET, M. J. (2004): “The Aftermarket Performance of Initial Public Offerings in Canada”, Journal of Multinational Financial Management 14, 47-66.
  • KÜÇÜKKOCAOĞLU, G., ve Alagöz, A. (2006): “IMKB’de Uygulanan Halka Arz Yöntemlerinin Karşılaştırmalı Analizi”, Çalışma Tebliği, Başkent Üniversitesi.
  • LJUNGQVIST, A. (1997): “Pricing Initial Public Offerings Further Evidence from Germany”, European Economic Review, Vol.14, 1309-1320.
  • LOUGHRAN, T., and RITTER, J. (1995): “The New Issues Puzzle”, Journal of Finance, Vol:50, 23-51.
  • LYN, E. and ZYCHOWICZ, E., (2003): “The Performance of New Equity Offerings in Poland and Hungary, Global Finance, Vol.14, 181-195.
  • MCGUINESS, P.,(1992): “An Examination of Underpricing of Initial Public Offerings in Hong Kong”, Journal of Business Finance and Accounting, No:19, 165-186.
  • MILLER, E. (1977): “Risk, Uncertainty, and Divergence of Opinion”, Journal of Finance 32, 1151-1168.
  • ORHON, M. (2006): “Short-and-long-run Performance of IPOs Traded on the Istanbul Stock Exchange”, Initial Public Offerings: An International Perspective, Greg N. Gregoriou (Ed.), Published by Butterworth-Heinemann, 45-55.
  • OZER, B. (1999): “Price Performance of Initial Public Offerings in Turkey”, Capital Markets Board of Turkey, Publication No: 128, Ankara, Turkey.
  • RITTER, J., (1991): “The Long-run Performance of Initial Public Offerings”, Journal of Finance 42, 365-394.
  • SCHULTZ, P., and ZAMAN, M., (2001): “Do the Individuals Closest to Internet Firms Believe They Are Overvalued? ”, Journal of Economics 59, 347-381.
  • SEVİM, Ş. ve AKKOÇ, S. (2006): “İlk Halka Arzların Uzun Vadeli Performansları ve Ucuz Fiyat Olgusu: İstanbul Menkul Kıymetler Borsasında Sektörel Karşılaştırmalı Bir Uygulama”, Dumlupınar Üniversitesi, Sosyal Bilimler Dergisi, Sayı.16, 107-124.
  • SHILLER, R.J. (1990): “Speculative Prices and Popular Models”, Journal of Economic Perspectives, Vol. 4, 55-65.
  • ÜNLÜ, U. (2006): Türkiye’de İlk Defa Halka Arz Edilen Bankacılık Sektörü Hisse Senetlerinin Uzun Dönem Fiyat Performansı, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 27, Temmuz-Aralık, 119-147.
  • WELCH, I., (1992): “Sequential Sales, Learning and Cascades”, Journal of Finance 47, 695-732.
There are 34 citations in total.

Details

Other ID JA98GA24FD
Journal Section Research Article
Authors

Berna Kırkulak This is me

Publication Date May 1, 2010
Published in Issue Year 2010 Volume: 10 Issue: 2

Cite

APA Kırkulak, B. (2010). LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE. Ege Academic Review, 10(2), 465-486.
AMA Kırkulak B. LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE. ear. May 2010;10(2):465-486.
Chicago Kırkulak, Berna. “LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE”. Ege Academic Review 10, no. 2 (May 2010): 465-86.
EndNote Kırkulak B (May 1, 2010) LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE. Ege Academic Review 10 2 465–486.
IEEE B. Kırkulak, “LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE”, ear, vol. 10, no. 2, pp. 465–486, 2010.
ISNAD Kırkulak, Berna. “LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE”. Ege Academic Review 10/2 (May 2010), 465-486.
JAMA Kırkulak B. LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE. ear. 2010;10:465–486.
MLA Kırkulak, Berna. “LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE”. Ege Academic Review, vol. 10, no. 2, 2010, pp. 465-86.
Vancouver Kırkulak B. LONG-TERM BUY-AND-HOLD RETURNS: EVIDENCE FROM ISE. ear. 2010;10(2):465-86.