ANNOUNCEMENT EFFECT ANOMALY AND ITS DETERMINANTS ON SEASONED EQUITY OFFERINGS: EVIDENCE FROM TURKEY

Abstract

Purpose - This study investigates announcement effect anomaly on Seasoned Equity Offerings (seos) conducted in Borsa Istanbul for the 2010 – 2015 period and analyze its determinants.

Methodology - Event study and regression analysis were used to determine in order to observe abnormal returns in case of announcement performed. For the purpose of comparing results based on announcement was published or not, Paired Sample Statistics test was used. To find out announcement effect anomaly’s determinants regression analysis was used through Panel Dynamic OLS (PDOLS) method.

Findings- Abnormal average returns and abnormal cumulative returns were observed as negative both in case of announcement or not. But negative returns is significantly higher when announcement is made.

Conclusion- Announcement effect anomaly has been confirmed and it has been determined that Leverage Change Ratio, Nominal Capital Increase, CAR (-10,1) variables have positive effect on seos while M/B ratio has negative effect.

Keywords

• Announcement effect,seasoned equity offering,capital increase,abnormal stock returns,price anomalies

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