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DIVIDEND PAYMENT AFFECT ON STOCK PRICES: A PANEL REGRESSION ANALYSIS ON BIST30 EQUITES

Year 2016, ICAFR 16 Özel Sayısı, 358 - 368, 01.10.2016

Abstract

Since the main purpose of a firm is maximizing its value in modern sense, dividend payment ratio and retained earnings should be optimized in terms of benefits of investors and the firms themselves which is really hard to do. This study investigates the relationship between the stock price with dividend payout and retained earnings for BIST30 index stocks in Turkey via a panel regression analysis. Because of the existence of heteroscedasticity and autocorrelation problems, panel EGLS method for regression is conducted in order to investigate the relation. According to the results, retained earnings of the firms have an effect on the stock price but dividend payout have not

References

  • Acikgoz, E., Uygurturk, H. & Korkmaz, T. (2015). Analysis of Factors Affecting Growth of Pension Mutual Funds in Turkey, International Journal of Economics and Financial Issues, 5(2), 427-433.
  • Akhtar, T. & Rashid, K. (2015). The Relationship between Portfolio Returns and Market Multiples: A Case Study of Pakistan. Oeconomics of Knowledge, 7(3), 2-27.
  • Albayrak, A. S. & Pekkaya, M. (2008). Examining the Relationship between Price of Equity and Dividend Policy of Firms Operate in Service and Industry Sectors of ISE. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi. 11(1-2), 137–156.
  • Al-Malkawi, H.-A.N., Rafferty, M. & Pillai, R. (2010). Dividend Policy: A Review of Theories and Empirical Evidence. International Bulletin of Business Administration 9, 171-200.
  • Asghar, M., Shah, S.Z.A., Hamid, K. & Suleman, M.T. (2011). Impact of Dividend Policy on Stock Price Risk: Empirical Evidence from Equity Market of Pakistan. Far East J. of Psychology and Business 4 (1) 45-52.
  • Baltagi, B.H. (2005). Econometric Analysis of Panel Data. Third Edition, Chichester: John Wiley & Sons Inc.
  • Baltagi, B.H. (2011), Econometrics. Fifth Edition, New York: Springer.
  • Black, F. (1976). Karpayı Bilmecesi (The Dividend Puzzle). Translation Editor Erol, C.. (1998). Finans Teorilerinin Temel Makaleleri. Ankara: Sermaye Piyasası Yayın Kurulu: 269-278.
  • Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data. Advances in Econometrics, 15, 161-177.
  • Breusch, T.S. & Pagan, A. (1980). The LM Test and its Application to Model Specification in Econometrics. Review of Economic Studies, 47, 239-254.
  • Brigham, E. F.. (1986). Fundamentals of Financial Management. Fourth Edition. New York: CBS College Publishing.
  • Chou, D.W., Liu, Y. and Zantout, Z. (2009). Long-term Stock Performance Following Extraordinary and Special Cash Dividends. Quarterly Review of Economics and Finance, 49(1), 54–73.
  • Copeland, T.E. and Weston, J.F. (1992). Financial Theory and Corporate Policy. Third Edition, USA: Addison Wesley Publishing.
  • Demir, Y. & Güvercin A. (2015). Kazanç Açiklamalarinin Şirket Değeri Üzerindeki Etkileri: Bist 100 Üzerine Bir Uygulama. SDU The Journal of Faculty of Economics and Administrative Sciences, 20(2), 267-285.
  • Frank, M. & Jagannathan, R. (1998). Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics 47, 161-188.
  • Friend, I. & Puckett, M. (1964). Dividends and Stock Prices. The American Economic Review, 54(5), 656-682.
  • Ghasemi, M. & Sarhadi M. (2014). The Effect of accounting earnings on stock prices of firms listed in Tehran stock exchange (2009 to 2011 years). International Research Journal of Applied and Basic Sciences, 8(12): 2202-2209.
  • Greene, W.H. (2003). Econometric Analysis. 5th Edition, New Jersey: Prentice Hall.
  • Gryglewicz, S.. (2004). Stock Repurchase as an Alternative to Dividend Payout: Empirical Evidence from the Warsaw Stock Exchange. University of Aarhus Center of Analytical Finance. Working Paper Series, No:169.
  • Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panel Data. Econometrics Journal, 3(2), 148-161.
  • Hashemijoo, M., Ardekani, A.M. & Younesi, N. (2012). The Impact of Dividend Policy on Share Price Volatility in the Malaysian Stock Market. Journal of Business Studies Quarterly, 4(1), 111-129.
  • Hsiao, C. (2003), Analysis of Panel Data. Second Edition, Cambridge: Cambridge University Press.
  • Im, K.S., Pesaran, M.H. & Shin, Y. (2003), Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115, 53-74.
  • Levin, A.T., 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.
  • Maddala, G.S. & Wu, S. (1999), A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test. Oxford Bulletin of Economics and Statistics, 61, 631-652.
  • Miller M.H. and Modigliani, F.. (1961). Kar Dağıtım Politikası, Büyüme ve Hisse Senetlerinin Değerlendirmesi (Dividend Policy, Growth, and the Valuation of Shares). Translation Editor, C. Erol (1998). Finans Teorilerinin Temel Makaleleri. Ankara: Sermaye Piyasası Yayın Kurulu: 219-252.
  • Moon, H.R., Peron, B., Phillips, P.C.B. (2005), Incidental Trends and the Power of Unit Root Tests. Institute of Economic Policy Research, Working Paper, University of Southern California.
  • Nazir, M.S., Nawaz, M.M., Anwar, W. & Ahmed, F. (2010). Determinants of Stock Price Volatility in Karachi Stock Exchange: The Mediating Role of Corporate Dividend Policy. IRJ of Finance and Economics 55, 100-107.
  • O’Brien, R.T.M. (2007). A Caution Regarding Rules of Thumb for Variance Inflation Factors. Quality & Quantity, 41(5), 673-690.
  • Oyinlola, O. M. & Ajeigbe, K. B. (2014). The Impact of Dividend Policy on Stock Prices of Quoted Firms in Nigeria. International Journal of Economics, Commerce and Management, II(9), 1-17.
  • Oyinlola, O.M., Oyinlola, F.O. & Adeniran, J.O. (2014). The Influence of Dividend Payout in the Performance of Nigerian Listed Brewery Companies. IJE and Management Sciences 3(1), 13-21.
  • Pekkaya, M. (2006). Kâr Payı Dağıtımının Şirket Değeri Üzerine Etkisi: İMKB 30 Endeks Hisselerine bir Analiz. ZKU SB Dergisi, 2(4), 183-209.
  • Taylor, R. (1990), Interpretation of the Correlation Coefficient: A Basic Review. Journal of Diagnostic Medical Sonography, 6(1), 35-39.
  • Wooldridge, J.M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge MA: MIT Press.

TEMETTÜ ÖDEMESİNİN HİSSE SENEDİ FİYATI ÜZERİNE ETKİSİ: BIST 30 HİSSLERİNE BİR PANEL REGRESYON ANALİZİ

Year 2016, ICAFR 16 Özel Sayısı, 358 - 368, 01.10.2016

Abstract

Güncel anlamda bir firmanın ana amacı firma değerini maksimize etmek olduğundan, yatırımcıların yararları ve firmaların kendileri açısından gerçekten zor olan temettü oranı ve otofinansman miktarlarını optimize etmeleridir. Bu çalışma, Türkiye'de BIST30 endeks hisseleri için temettü ve dağıtılmayan karlar ile hisse senedi fiyatı arasındaki ilişkiyi panel regresyon analiziyle incelemektedir. Değişen varyans ve otokorelasyon problemlerinin varlığından dolayı, ilişkiyi araştırmak amacıyla regresyon için panel EGLS yöntemi kullanılmıştır. Elde edilen sonuçlara göre, firmaların dağıtılmayan karları hisse senedi üzerinde etkili olurken, dağıtılan temettülerin bir etkisi gözlenmemiştir

References

  • Acikgoz, E., Uygurturk, H. & Korkmaz, T. (2015). Analysis of Factors Affecting Growth of Pension Mutual Funds in Turkey, International Journal of Economics and Financial Issues, 5(2), 427-433.
  • Akhtar, T. & Rashid, K. (2015). The Relationship between Portfolio Returns and Market Multiples: A Case Study of Pakistan. Oeconomics of Knowledge, 7(3), 2-27.
  • Albayrak, A. S. & Pekkaya, M. (2008). Examining the Relationship between Price of Equity and Dividend Policy of Firms Operate in Service and Industry Sectors of ISE. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi. 11(1-2), 137–156.
  • Al-Malkawi, H.-A.N., Rafferty, M. & Pillai, R. (2010). Dividend Policy: A Review of Theories and Empirical Evidence. International Bulletin of Business Administration 9, 171-200.
  • Asghar, M., Shah, S.Z.A., Hamid, K. & Suleman, M.T. (2011). Impact of Dividend Policy on Stock Price Risk: Empirical Evidence from Equity Market of Pakistan. Far East J. of Psychology and Business 4 (1) 45-52.
  • Baltagi, B.H. (2005). Econometric Analysis of Panel Data. Third Edition, Chichester: John Wiley & Sons Inc.
  • Baltagi, B.H. (2011), Econometrics. Fifth Edition, New York: Springer.
  • Black, F. (1976). Karpayı Bilmecesi (The Dividend Puzzle). Translation Editor Erol, C.. (1998). Finans Teorilerinin Temel Makaleleri. Ankara: Sermaye Piyasası Yayın Kurulu: 269-278.
  • Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data. Advances in Econometrics, 15, 161-177.
  • Breusch, T.S. & Pagan, A. (1980). The LM Test and its Application to Model Specification in Econometrics. Review of Economic Studies, 47, 239-254.
  • Brigham, E. F.. (1986). Fundamentals of Financial Management. Fourth Edition. New York: CBS College Publishing.
  • Chou, D.W., Liu, Y. and Zantout, Z. (2009). Long-term Stock Performance Following Extraordinary and Special Cash Dividends. Quarterly Review of Economics and Finance, 49(1), 54–73.
  • Copeland, T.E. and Weston, J.F. (1992). Financial Theory and Corporate Policy. Third Edition, USA: Addison Wesley Publishing.
  • Demir, Y. & Güvercin A. (2015). Kazanç Açiklamalarinin Şirket Değeri Üzerindeki Etkileri: Bist 100 Üzerine Bir Uygulama. SDU The Journal of Faculty of Economics and Administrative Sciences, 20(2), 267-285.
  • Frank, M. & Jagannathan, R. (1998). Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics 47, 161-188.
  • Friend, I. & Puckett, M. (1964). Dividends and Stock Prices. The American Economic Review, 54(5), 656-682.
  • Ghasemi, M. & Sarhadi M. (2014). The Effect of accounting earnings on stock prices of firms listed in Tehran stock exchange (2009 to 2011 years). International Research Journal of Applied and Basic Sciences, 8(12): 2202-2209.
  • Greene, W.H. (2003). Econometric Analysis. 5th Edition, New Jersey: Prentice Hall.
  • Gryglewicz, S.. (2004). Stock Repurchase as an Alternative to Dividend Payout: Empirical Evidence from the Warsaw Stock Exchange. University of Aarhus Center of Analytical Finance. Working Paper Series, No:169.
  • Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panel Data. Econometrics Journal, 3(2), 148-161.
  • Hashemijoo, M., Ardekani, A.M. & Younesi, N. (2012). The Impact of Dividend Policy on Share Price Volatility in the Malaysian Stock Market. Journal of Business Studies Quarterly, 4(1), 111-129.
  • Hsiao, C. (2003), Analysis of Panel Data. Second Edition, Cambridge: Cambridge University Press.
  • Im, K.S., Pesaran, M.H. & Shin, Y. (2003), Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115, 53-74.
  • Levin, A.T., 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.
  • Maddala, G.S. & Wu, S. (1999), A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test. Oxford Bulletin of Economics and Statistics, 61, 631-652.
  • Miller M.H. and Modigliani, F.. (1961). Kar Dağıtım Politikası, Büyüme ve Hisse Senetlerinin Değerlendirmesi (Dividend Policy, Growth, and the Valuation of Shares). Translation Editor, C. Erol (1998). Finans Teorilerinin Temel Makaleleri. Ankara: Sermaye Piyasası Yayın Kurulu: 219-252.
  • Moon, H.R., Peron, B., Phillips, P.C.B. (2005), Incidental Trends and the Power of Unit Root Tests. Institute of Economic Policy Research, Working Paper, University of Southern California.
  • Nazir, M.S., Nawaz, M.M., Anwar, W. & Ahmed, F. (2010). Determinants of Stock Price Volatility in Karachi Stock Exchange: The Mediating Role of Corporate Dividend Policy. IRJ of Finance and Economics 55, 100-107.
  • O’Brien, R.T.M. (2007). A Caution Regarding Rules of Thumb for Variance Inflation Factors. Quality & Quantity, 41(5), 673-690.
  • Oyinlola, O. M. & Ajeigbe, K. B. (2014). The Impact of Dividend Policy on Stock Prices of Quoted Firms in Nigeria. International Journal of Economics, Commerce and Management, II(9), 1-17.
  • Oyinlola, O.M., Oyinlola, F.O. & Adeniran, J.O. (2014). The Influence of Dividend Payout in the Performance of Nigerian Listed Brewery Companies. IJE and Management Sciences 3(1), 13-21.
  • Pekkaya, M. (2006). Kâr Payı Dağıtımının Şirket Değeri Üzerine Etkisi: İMKB 30 Endeks Hisselerine bir Analiz. ZKU SB Dergisi, 2(4), 183-209.
  • Taylor, R. (1990), Interpretation of the Correlation Coefficient: A Basic Review. Journal of Diagnostic Medical Sonography, 6(1), 35-39.
  • Wooldridge, J.M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge MA: MIT Press.
There are 34 citations in total.

Details

Primary Language English
Journal Section Research Article
Authors

Mehmet Pekkaya This is me

Ersin Açıkgöz This is me

Publication Date October 1, 2016
Published in Issue Year 2016 ICAFR 16 Özel Sayısı

Cite

APA Pekkaya, M., & Açıkgöz, E. (2016). DIVIDEND PAYMENT AFFECT ON STOCK PRICES: A PANEL REGRESSION ANALYSIS ON BIST30 EQUITES. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 12(12), 358-368.