Temettü Veriminin BIST Hisse Senedi Fiyatlarını Tahmin Gücünün Nedensellik Testleriyle Analizi

Year 2022, Volume: 11 Issue: 3, 1419 - 1442, 30.09.2022

Mevlüt Camgöz

https://doi.org/10.15869/itobiad.1110269

Cited By: 1

Abstract

Bu çalışmada Campbell ve Shiller (1988a) modelinden hareketle, temettü veriminin BIST hisse senedi fiyatlarını tahmin gücü incelenmektedir. Araştırmada, temettü veriminin hisse senedi fiyatlarını tahmin etmede başarılı bir faktör olup olmadığı test edilecektir. Çalışma, teorisyenler, yatırımcılar ve politika yapıcılar açısından önemli çıkarımlara sahiptir. Öncelikle, kâr payı ödemelerinin firma değerine etkisinin ortaya koyulmuş olması, yöneticiler açısından temettü dağıtım politikalarının oluşturulmasında belirleyici olacaktır. Ayrıca, temettü veriminin tahmin gücünün ortaya koyulması durumunda, yatırımcılar ve portföy yöneticileri, bugünkü değer (present value) yaklaşımını kullanarak belirli bir hisse senedinin yüksek veya düşük değerlenmiş olduğunu tespit edebilirler. Temettü ödemelerinin piyasa dinamiklerine olan etkilerinin bilinmesi, düzenleyici otoritelerin politika kararlarında da yol gösterici olacaktır. Araştırma metodolojisi olarak Toda-Yamamoto (1995) ve Hatemi-J (2012) asimetrik bootstrap nedensellik testleri benimsenmiştir. Araştırmada, Aralık 2011–Kasım 2021 tarihlerinde BIST 100 endeksinde devamlılık gösteren ve kesintisiz olarak temettü ödeyen hisse senetlerine ait temettü verimi ve ay sonu kapanış fiyatı serileri kullanılmıştır. Toda-Yamamoto nedensellik testi bulgularına göre AGHOL, BIMAS, EGEEN, INDES, SARKY, SELEC ve TOASO hisse senetlerinde temettü veriminden hisse senedi fiyatlarına doğru nedensellik ilişkisi tespit edilmiştir. Hatemi-J (2012) asimetrik bootstrap nedensellik testi, Toda-Yamamoto testine nazaran daha az sayıda nedensellik ilişkisine işaret etmektedir. İncelenen çoğu hisse senedinde temettü verimi ve fiyat değişkenlerinin pozitif ya da negatif bileşenleri arasında nedensellik ilişkisi saptanmamıştır. Temettü veriminin tahmin gücüyle ilgili karışık bulgulara ulaşılmasının arka planında, incelenen değişkenlerde yapısal kırılmaların görülmesi, temettü veriminin tahmin gücünün zamanla değişen bir yapıda olması, piyasa şartlarına bağlı olarak tahmin gücünün zayıflaması, temettü verimi ve fiyat arasındaki ilişkinin nonlineer yapıda gerçekleşebilmesi, hisse senedi bazında yapılan sınamaların endeks bazında yapılan sınamalara nazaran dezavantajlı olması, aylık frekanstaki gözlemlerden ziyade yıllık frekanstaki gözlemlerin kullanılması durumunda, temettü veriminin tahmin gücünün daha fazla artış gösteriyor olması, firmaların temettü politikasındaki değişikliklerin ve hisse geri alım kararlarının temettü veriminin tahmin gücünü zayıflatıyor olması sayılabilir.

Keywords

Getiri Tahmini, Temettü Verimi, Temettü Politikası, Toda-Yamamoto Nedensellik Testi, Hatemi-J Asimetrik Bootstrap Nedensellik Testi

Supporting Institution

Yoktur

Project Number

Yoktur

Analysis of Dividend Yield Prediction Power of BIST Stock Prices: Evidence form Causality Tests

Abstract

The predictive power of dividend yield on BIST stock prices is examined in this study, adopting the Campbell and Shiller (1988a) model. Thus, it will be tested whether the dividend yield is a successful factor in predicting stock prices. The study has important implications for theorists, investors, and policymakers. First of all, revealing the effect of dividends on firm value will be decisive in determining dividend policies for managers. Once the predictive power of dividend yield is demonstrated, investors and portfolio managers can use the present value approach to determine whether a particular stock is overvalued or undervalued. In addition, knowing the effects of dividend payouts on market dynamics will guide the policy decisions of regulatory authorities. Toda-Yamamoto (1995) and Hatemi-J (2012) bootstrap asymmetric causality tests were adopted as a research methodology. Dividend yield and monthly closing price series of stocks that show continuity in the BIST 100 index and pay dividends continuously throughout the December 2011 – November 2021 period are used in the research. To the Toda-Yamamoto causality test findings, causal relationships from dividend yield to stock prices were determined in AGHOL, BIMAS, EGEEN, INDES, SARKY, SELEC, and TOASO stocks. Hatemi-J's (2012) bootstrap asymmetric causality test indicates fewer causality relationships compared to the Toda-Yamamoto test. A causal relationship could not be determined between the positive or negative components of dividend yield and price variables in many stocks. In the background of the mixed findings of the predictive power of the dividend yield, the structural breaks in the variables examined, the predictive power of the dividend yield changing over time, the weakening of the predictive power depending on the market conditions, the nonlinear relationship between the dividend yield and the price, the stock-based tests are more disadvantageous than the index-based tests, the estimation power of the dividend yield increases more when the annual frequency observations are used rather than the monthly frequency observations, the changes in the dividend policy of the companies and the share repurchase decisions may be weakened the estimation power of the dividend yield.

Keywords

Return Predictability, Dividend Yield, Dividend Policy, Toda-Yamamoto Causality Test, Hatemi-J Asymmetric Bootstrap Causality Test

Project Number

Yoktur

References

• Ang, A., ve Bekaert, G. (2007). Stock return predictability: Is it there. Review of Financial Studies, 20(3), 651–707.
• Boudoukh, J., Michaely, R., Richardson, M., ve Roberts, M. (2007). On the importance of measuring payout yield: Implications for empirical asset pricing. Journal of Finance, 62, 877–915.
• Campbell, J.Y., ve Shiller, R.J. (1987). Cointegration and tests of present value models. Journal of Political Economy, 95, 1062–1088.
• Campbell, J.Y., ve Shiller, R. J. (1988a). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1, 195–227.
• Campbell, J.Y., ve Shiller, R.J. (1988b). Stock prices, earnings, and expected dividends. Journal of Finance, 43, 661–676.
• Campbell, J.Y., ve Shiller, R.J. (2001). Valuation ratios and the long-run stock market outlook: An update. Cowles Foundation Discussion Paper, No. 1295.
• Campbell, J.Y., Lo, A.W., ve MacKinlay, A.C. (1996). The econometrics of financial markets. Princeton, NJ: Princeton University Press.
• Campbell, J., ve Thompson, S. (2008). Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies, 21(4), 1509–1531.
• Campbell, J., ve Yogo, M. (2006). Efficient tests of stock return predictability. Journal of Financial Economics, 81(1), 27–60.
• Chen, S. (2012). The predictability of aggregate Japanese stock returns: Implications of dividend yield. International Review of Economics and Finance, 22(1), 284–304.
• Cochrane, J. (2008). The dog that did not bark: a defense of return predictability. Review of Financial Studies, 21, 1533–1575.
• Cochrane, J. (2011). Discount rates: American finance association presidential address. Journal of Finance 66, 1047–1108.
• Esteve, V., Navarro-Ibáñez, M., ve Prats, M.A. (2019). Stock prices, dividends, and structural changes in the long-term: The case of U.S. The North American Journal of Economics and Finance, 52, 101126.
• Fama, E.F., ve French, K.R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22, 3–25.
• Granger, C.W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
• Granger, C.W. J., ve Yoon, G. (2002). Hidden cointegration. SSRN Journal (SSRN Electronic Journal) University of California, Economics Working Paper No. 2002-02.
• Hacker, R.S., ve Hatemi-J, A. (2003). How productivity and domestic output are related to exports and foreign output in the case of Sweden. Empirical Economics, 28(4), 767–782.
• Hacker, R.S., ve Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38(13), 1489–1500.
• Hatemi-J, A. (2003). A New method to choose optimal lag order in stable and unstable VAR models. Applied Economics Letters, 10(3), 135–137.
• Hatemi-J, A. (2008). Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models. Applied Economics Letters, 15(4), 239–243.
• Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447–456.
• Kanas, A. (2005). Nonlinearity in the stock price-dividend relation. Journal of International Money and Finance, 24, 583–606.
• Luo, S., Yan, X., ve Yang, H. (2021). Let’s take a smooth break: Stock return predictability revisited. International Review of Economics and Finance, 75, 300–314.
• McMillan, D.G. (2009). Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model. The Quarterly Review of Economics and Finance, 49(3), 870–883.
• McMillan, D.G. (2015). Time-varying predictability for stock returns, dividend growth and consumption growth. International Journal of Finance and Economics, 20, 362–373.
• McMillan, D.G. (2019). Stock Return Predictability: Using the Cyclical Component of the Price Ratio. Research in International Business and Finance, 48, 228-242.
• McMillan, D.G., ve Wohar, M.E. (2013). A panel analysis of the stock return dividend yield relation: Predicting returns and dividend growth. The Manchester School, 81(3), 386-400.
• Miller, M.H., ve Modigliani, F. (1961). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34(4), 411–433.
• Nazlioglu, S., ve Soytas, U. (2011). World oil prices and agricultural commodity prices Evidence from an emerging market. Energy Economics, 33(3), 488-496.
• Nasseh, A., ve Strauss, J. (2004). Stock prices and the dividend discount model: Did their relation break down in the 1990s? The Quarterly Review of Economics and Finance, 44(2), 191–207.
• Pan, M.-S. (2007). Permanent and transitory components of earnings, dividends, and stock prices. The Quarterly Review of Economics and Finance, 47(4), 535–549.
• Park, C. (2010). When does the dividend-price ratio predict stock returns? Journal of Empirical Finance, 17, 81–101.
• Paye, B., ve Timmermann, A. (2006). Instability of return prediction models. Journal of Empirical Finance, 13, 274–315.
• Robertson, D., ve Wright, S. (2006). Dividends, total cash flow to shareholders and predictive return regressions. Review of Economics and Statistics 88, 91–99.
• Schaller, H., ve Van Norden, S. (1997). Regime switching in stock markets returns. Applied Financial Economics, 7, 177–191.
• Schrimpf, A. (2010). International stock return predictability under model uncertainty. Journal of International Money and Finance, 29, 1256–1282.
• Timmermann, A. (2008). Elusive return predictability. International Journal of Forecasting, 24, 1–18.
• Toda, H.Y., ve Yamamoto, H. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), pp. 225-250.
• Welch, I., ve Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. The Review of Financial Studies, 21, 1455–1508.
• Yin, L., ve Nie, J. (2021). Adjusted dividend-price ratios and stock return predictability: Evidence from China. International Review of Financial Analysis, 73, 101618.