Reflection of Dividend Yield on Stock Price an Empirical Study

Abstract

This study examines the factors affecting the stock prices of companies included in the BIST DIVIDEND index using the panel data analysis method. In this context, it is aimed to evaluate the effects of distributed dividends on stock prices. The study used annual data of 20 companies between the years 2009-2023. The study analyzed the effects of variables such as dividend yield, retained earnings ratio, return on equity, total assets and net profit after tax on stock prices. The results show that dividend yield (DY) and retained earnings ratio (ER) have a statistically significant and negative effect on stock prices. On the other hand, return on equity (ROE), total assets (lnTA) and net profit after tax (lnNIAT) have a statistically significant and positive effect. The effect of interest (INT) and inflation (INF) variables was not found to be statistically significant. These findings emphasize the sensitivity of investors to dividend policies and the significant effect of companies' financial performance on stock prices. The study contributes to more conscious investment decisions and a better understanding of the determinants of stock prices.

Keywords

• Dividend
• Stock
• Financial Market
• Performance

Temettü Getirisinin Hisse Senedi Fiyatına Yansıması Ampirik Bir Araştırma

Öz

Bu çalışma, BIST TEMETTÜ endeksinde yer alan şirketlerin hisse senedi fiyatlarını etkileyen faktörleri panel veri analizi yöntemi ile incelemektedir. Bu kapsamda, dağıtılan temettülerin hisse senedi fiyatları üzerindeki etkilerinin değerlendirilmesi amaçlanmaktadır. Araştırmada 2009-2023 yılları arasında 20 şirketin yıllık verileri kullanılmıştır. Çalışmada, temettü getirisi, dağıtılmayan kârların oranı, özkaynak kârlılığı, toplam varlıklar ve vergi sonrası net kâr gibi değişkenlerin hisse senedi fiyatları üzerindeki etkileri analiz edilmiştir. Sonuçlar, temettü getirisi (DY) ve dağıtılmayan kârların oranının (ER) hisse senedi fiyatları üzerinde istatistiki olarak anlamlı ve negatif bir etkisi olduğunu göstermektedir. Buna karşın, özkaynak kârlılığı (ROE), toplam varlıklar (lnTA) ve vergi sonrası net kâr (lnNIAT) istatistiki olarak anlamlı ve pozitif bir etkiye sahiptir. Faiz (INT) ve enflasyon (INF) değişkenlerinin etkisi ise istatistiksel olarak anlamlı bulunmamıştır. Bu bulgular, yatırımcıların temettü politikalarına duyarlılığını ve şirketlerin finansal performanslarının hisse senedi fiyatları üzerindeki önemli etkisini vurgulamaktadır. Çalışma, yatırım kararlarının daha bilinçli alınmasına ve hisse senedi fiyatlarının belirleyicilerinin daha iyi anlaşılmasına katkı sağlamaktadır.

Anahtar Kelimeler

• Temettü
• Hisse Senedi
• Finansal Piyasa
• Performans

References

1. Ahmed, M. F. (2000). Impact of dividend and retained earnings on stock prices in Bangladesh: An empirical investigation. Savings and Development, 24(1), 5-31.
2. Altınbaş, H., Kutay, N. & Akkaya, C. (2015). Makroekonomik faktörlerin hisse senedi piyasaları üzerindeki etkisi: Borsa istanbul üzerine bir uygulama. Ekonomi ve Yönetim Araştırmaları Dergisi, 4(2), 30-49. https://dergipark.org.tr/en/pub/eyad/issue/57413/813675.
3. Arslan, M., Zaman, R. & Phil, M. (2014). Impact of dividend yield and price earnings ratio on stock returns: A study non-financial listed firms of Pakistan. Research Journal of Finance and Accounting, 5(19), 68-74.
4. Bachmeier, M. (2022). The effect of dividend policy on stock price volatility: Empirical analysis of the S&P 100 (Doctoral dissertation, Technische Hochschule Ingolstadt).
5. Bağcı, H. (2020) The significance of the variables affecting the dividend payouts: financial performance analysis in the bist dividend 25 index.. Güngör, B., Yerdelen Kaygın, C. & Gün, M. (Ed.), Researches on Financial Performance. Nobel Bilimsel Eserler.
6. Baker, H. K. & Powell, G. E. (1999). How corporate managers view dividend policy. Quarterly Journal of Business and Economics, 38(2), 17-35.
7. Baltagi, B. H. & Wu, P. X. (1999). Unequally spaced panel data regressions with AR(1) disturbances. Econometric Theory 15, 814-823.
8. Basse, T. & Reddemann, S. (2011). Inflation and the dividend policy of US firms. Managerial Finance, 37(1), 34-46.

9. Bhargava, A., Franzini, L. & Narendranathan, W. (1982). Serial correlation and the fixed effects model. Review of Economic Studies, 49, 533-549.
10. Bhattacharya, S. (1979). Imperfect information, dividend policy, and “the bird in the hand” fallacy. Bell Journal of Economics, 10(1), 259-270.
11. Blume, M. E. (1980) Stock returns and dividend yields: some more evidence. Rev Econ Stat 62(4), 567–577. https://doi.org/10.2307/1924781
12. Budhathoki, P. B. & Khadka, K. (2024). The effects of dividend policy on the price of shares of microfinance companies in developing countries. Socio Economic Challenges, 8(1), 52-61.
13. Driscoll, J. C. & Kraay, A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. Review of Economics and Statistics, 80(4), 549-560.
14. Erbaykal, E. & Okuyan, H. A. (2007). Hisse senedi fiyatları ile döviz kuru ilişkisi: Gelişmekte olan ülkeler üzerine ampirik bir uygulama. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 1(1), 77-89.
15. Fisher, G. R. (1961). Some factors infuencing share prices. Econ J, 71(281), 121–141. https://doi.org/10. 2307/2228227
16. Friend, I. & Puckett, M. (1964). Dividends and stock prices. The American Economic Review, 54(5), 656-682.
17. Gordon, M. J. (1959). Dividends, earnings, and stock prices. The Review of Economics and Statistics, 99-105.
18. Gujarati, D. N. & Porter, D. C. (2009). Basic econometrics. McGraw-hill.
19. Harkavy, O. (1953). The relation between retained earnings and common stock prices for large, listed corporations. The Journal of Finance, 8(3), 283-297.
20. Harris, R. D. F. & Tzavalis, E. (1999). Inference for unit roots in dynamic panels where the time dimension is fixed. Journal of Econometrics. 91, 201–226. https://doi.org/10.1016/S0304-4076(98)00076-1.
21. Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271.
22. Hunjra, A. I., Ijaz, M., Chani, D. M. I. & Mustafa, U. (2014). Impact of dividend policy, earning per share, return on equity, and profit after tax on stock prices. International Journal of Economics and Empirical Research, 2(3), 109-115.
23. Iftikhar, A. B., Raja, N. J. & Sehran, K. N. (2017). Impact of dividend policy on stock prices of firm. ISJ Theoretical & Applied Science, 03(47), 32-37.
24. Islam, M. S. & Hossain, H. M. (2015). The impact of dividend on the market price of share: A study with structural equation modeling approach. Journal of Finance and Banking, 13(1), 13-28.
25. John, K. & Williams, J. (1985). Dividends, dilution, and taxes: A signalling equilibrium. The Journal of Finance, 40(4), 1053-1070.
26. Joshi, R. (2012). Effects of dividends on stock prices in Nepal. NRB Economic Review, 24(2), 61-75.
27. Khan, K. I. (2012). Effect of dividends on stock prices–A case of chemical and pharmaceutical industry of Pakistan. Management, 2(5), 141-148.
28. Levin, A., Lin, C.-F. & Chu, C.-S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108, 1–24. https://doi.org/10.1016/S0304-4076(01)00098-7.
29. Lintner, J. (1956). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, 46(2), 97-113.
30. Litzenberger R. H. & Ramaswamy, K. (1979) The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence. J Financ Econ 7(2), 163–195. https://doi.org/10.1016/0304-405X(79) 90012-6
31. Liu, S. & Hu, Y. (2005). Empirical analysis of cash dividend payment in Chinese listed companies. Journal of Finance and Banking, 3(1), 32-45.
32. Lotto, J. (2021). Does earnings distribution policy influence corporate stock price instability? Empirical evidence from Tanzanian listed industrial firms. Cogent Economics & Finance, 9(1), 1953737.
33. Miller, M. H. & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34(4), 411-433.
34. Miller, M. H. & Rock, K. (1985). Dividend policy under asymmetric information. The Journal of Finance, 40(4), 1031-1051.
35. Neter, J., Kutner, M. H., Nachtsheim, C. J. & Wasserman, W. (1996). Applied linear statistical models.
36. O’brien, R. M. (2007). A caution regarding rules of thumb for variance inflation factors. Quality & Quantity, 41, 673-690.
37. Pekkaya, M. & Açikgöz, E. (2016). Dividend payment affect on stock prices: a panel regression analysis on bist30 equites. International Journal of Management Economics & Business, 12, 358.
38. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. http://dx.doi.org/10.2139/ssrn.572504.
39. Profilet, K. A. (2013). Dividend policy and stock price volatility in the US equity capital market.
40. Raballe, M. & Hedensted, A. (2008). Characteristics of dividend payers in Denmark. Journal of Finance and Banking, 6(2), 23-31.
41. Shah, S. A. & Noreen, U. (2016). Stock price volatility and role of dividend policy: Empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461-472.
42. Sharif, I., Ali, A. & Jan, F. A. (2015). Effect of dividend policy on stock prices. Business & Management Studies: An International Journal, 3(1), 56-87.
43. Shefrin H. M. & Statman M. (1984) Explaining investor preference for cash dividends. J Financ Econ, 13(2), 253–282. https://doi.org/10.1016/0304-405X(84)90025-4
44. Sörensen, W. & Deboi, O. (2020). Stock price volatility and dividend yield: Evidence from Sweden (Dissertation). https://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-51338
45. Tatoğlu, F. Y. (2018a). Panel zaman serileri analizi: Stata uygulamalı (2. Baskı). Beta Basım Yayım Dağıtım. İstanbul.
46. Tatoğlu, F. Y. (2018b). Panel veri ekonometrisi: Stata uygulamalı (4. Baskı). Beta Basım Yayım Dağıtım. İstanbul.
47. Tatoğlu, F. Y. (2020). İleri panel veri analizi: Stata uygulamalı (4. Baskı). Beta Basım Yayım Dağıtım. İstanbul.
48. Wald, J. K. (1999). How firm characteristics affect capital structure: An international comparison. Journal of Financial Research, 22(2), 161-87.
49. Walter, J. E. (1963). Dividend policy: Its influence on the value of the enterprise. The Journal of Finance, 18(2), 280-291.
50. Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data. MIT press.
51. Yapraklı, S. & Güngör, B. (2007). Ülke riskinin hisse senedi fiyatlarına etkisi: İMKB 100 endeksi üzerine bir araştırma. Ankara Üniversitesi SBF Dergisi, 62(02), 199-218. https://doi.org/10.1501/SBFder_0000002026
52. Yılancı, V. & Bozoklu, Ş. (2014). Price and trade volume relationship in Turkish stock market: a time-varying asymmetric causality analysis. Ege Academic Review, 14(2), 211-220.