NAKİT TEMETTÜ BİLGİSİNİN HİSSE SENEDİ GETİRİSİ ÜZERİNDE ÖNEMLİ BİR ETKİSİ OLUP OLMADIĞININ İMKB’DE TEST EDİLMESİ

Year 2010, Volume: 28 Issue: 2, 47 - 69, 31.12.2010

Burak Günalp Eyüp Kadıoğlu Saim Kılıç

Abstract

Çalışmada Türkiye sermaye piyasasında nakit
temettü bilgisinin hisse senedi getirisi üzerinde önemli bir etkisi olup
olmadığı, açıklama etkisi aracılığıyla ve 2003-2007 yılları arasındaki beş
yıllık dönemde İstanbul Menkul Kıymetler Borsası’nda işlem gören 83 şirketin
321 adet nakit temettü açıklaması ile ilgili fiyat verileri kullanılarak regresyon
yöntemiyle test edilmiştir. Elde edilen bulgular çerçevesinde üç önemli sonuca
ulaşılmıştır. Birincisi, nakit temettünün açıklanması sonrasında hisse başına
nakit temettü oranı ile kümülatif normalüstü getiri arasında istatistiksel
olarak anlamlı negatif bir ilişki vardır. Hisse başına yüksek nakit temettü
açıklayan hissenin normalüstü değer kaybı, hisse başına düşük nakit temettü
açıklayan hissenin fiyatına göre daha fazladır. Dolayısıyla, nakit temettü
fiyatı etkileyebilecek önemli bir bilgidir. İkinci olarak, fiyatın bilgiye
uyarlanma süreci açıklamanın yapıldığı gün başlamakta ve en az 15 gün devam
etmektedir. Nakit temettü açıklanmasından sonra en güçlü etki ilk üç günde
olmaktadır. Son olarak, nakit temettü açıklaması öncesinde anlamlı bir fiyat
hareketinin olmaması nedeniyle, fiyatı etkileyebilecek ve önemli bir bilgi olan
nakit temettü kararının şirket içinden piyasaya sızmadığı sonucuna varılması
mümkündür.

Keywords

Nakit temettü, açıklama etkisi, temettünün bilgi içeriği, Sinyalleme Teorisi, İMKB

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