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NAKİT TEMETTÜ DAĞITMA ANOMALİSİ VE BİR YATIRIM STRATEJİSİ

Year 2020, Volume 7, Issue 1, 9 - 21, 30.03.2020
https://doi.org/10.17261/Pressacademia.2020.1177

Abstract

Amaç-Bu çalışmada, 1997-2018 döneminde Borsa İstanbul’da işlem gören 422 farklı şirket tarafından gerçekleştirilen 2.266 adet nakit temettü dağıtım sürecinde ilan edilen temettüsüz günün 30 gün öncesi ve sonrasındaki hisse senedi getirileri incelenmiştir. Metodoloji- Analizlerimizde, olay analizi yöntemi, t-30 ile t+30 döneminde açılan olay pencereleri için uygulanmış olup, anormal getirileri bulmak amacıyla uyarlanmış piyasa modelinden faydalanılmıştır. Bulgular-Anormal getirinin temettüsüz gün öncesindeki 22’nci günden başlayarak önemli ölçüde arttığı, artışın temettüsüz günün sonuna kadar devam ettiği ve izleyen günlerde de negatif anormal getirinin oluştuğu bulunmuştur. Sonuç- Çalışmamızdaki bulguların, birbirinden bağımsız iki aşamalı yatırım stratejisi olarak kullanılabileceği sonucuna ulaşılmıştır. Hisse başına %100 oranından daha fazla temettü dağıtacağını açıklayan şirket hisselerinin, ilk aşamada temettüsüz gününün 12 gün öncesinde satın alınması ve temettüsüz günün sonunda satılması durumunda, hisseye verilen nakit kâr payına ek olarak 13 günde ortalama %2,96 anormal getiri elde edildiği ve ikinci aşamada temettüsüz günün sonunda aynı hisse senedinin açığa satılması ve 7 gün sonra geri satın alınması durumunda 7 günde ortalama %1,51 anormal getiri elde edildiği hesaplanmıştır. Dolayısıyla, nakit temettü dağıtım sürecindeki anomaliden yararlanarak hisse başına %100’ün üzerinde nakit temettüye ek olarak 20 günde ortalama %4,47 oranında piyasa endeks getirisinin üzerinde getiri sağlanabilmektedir.

References

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CASH DIVIDEND EX-DAY ANOMALY AND AN INVESTMENT STRATEGY

Year 2020, Volume 7, Issue 1, 9 - 21, 30.03.2020
https://doi.org/10.17261/Pressacademia.2020.1177

Abstract

Purpose - This study examines the effect of ex-day of cash dividend on stock returns using data of 2.266 cash dividends of 422 listed companies from Borsa Istanbul for the period 1997-2018. Methodology - The event study analysis applied for the event windows opened from the t-30 to t+30, and the market-adjusted model was used to calculate abnormal returns. Findings- It is found that there are positive abnormal returns before ex-day, as prices significantly start to rise at least 22 days before cash dividend ex-day and reach to the its’ highest level on the ex-day and then decrease in the following days. Conclusion- Based on our findings, it is found that price anomaly caused by ex-day of cash dividend can be used as a two-step mutually exclusive investment strategy. In the first step, buying firms’ shares which are decided to distribute dividend per share more than %100, twelve days before ex-day and selling them at the end of ex-dividend day provides on average 2.96% abnormal return addition to cash dividend over the 13 days, in the second step, short selling the same stocks at the end of ex-day and buying back them on seven days after ex-dividend day provides on average 1.51% abnormal return over 7 days. Using these investment strategies, it is possible to get 4.47% return over market index return in addition to 100% cash dividend per share over the period of 20 days by utilising ex-dividend day anomaly.

References

  • Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders' returns: An empirical analysis. The Journal of Finance, 35(1), 1. doi:10.2307/2327176
  • Ainsworth, A. B., Fong, K. Y. L., Gallagher, D. R., & Partington, G. (2018). Taxes, order imbalance and abnormal returns around the ex-dividend day. International Review of Finance, 18(3), 379-409. doi:10.1111/irfi.12155
  • Akhigbe, A., & Madura, J. (1996). Dividend policy and corporate performance. Journal of Business Finance & Accounting, 23(9‐10), 1267-1287. doi:10.1111/1468-5957.00079
  • Al-Yahyaee, K. H. (2014). Stock dividend ex-day effect and market microstructure in a unique environment. International Economics, 139, 71-79. doi:10.1016/j.inteco.2014.04.002
  • Armitage, S. (1995). Event study methods and evidence on their performance. Journal of Economic Surveys, 9(1), 25-52. doi:10.1111/j.1467-6419.1995.tb00109.x
  • Asquith, P., & Mullins, J. D. W. (1983). The impact of initiating dividend payments on shareholders' wealth. The Journal of Business, 56(1), 77–96. doi:10.1086/296187
  • Aydogan, K., & Muradoglu, G. (1998). Do markets learn from experience?: Price reaction to stock dividends in the turkish market. Applied Financial Economics, 8(1), 41–49. doi:10.1080/096031098333230
  • Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
  • Barclay, M. J. (1987). Dividends, taxes, and common stock prices: The ex-dividend day behavior of common stock prices before the income tax. Journal of Financial Economics, 19(1), 31-44. doi:10.1016/0304-405X(87)90027-4
  • Basdas, U., & Oran, A. (2014). Event studies in turkey. Borsa Istanbul Review, 14(3), 167-188. doi:10.1016/j.bir.2014.03.003
  • Batchelor, R., & Orakcioglu, I. (2003). Event-related garch: The impact of stock dividends in turkey. Applied Financial Economics, 13(4), 295–307. doi:10.1080/09603100210138547
  • Boyd, J. H., & Jagannathan, R. (1994). Ex-dividend price behavior of common-stocks. Review of Financial Studies, 7(4), 711-741. doi:10.1093/rfs/7.4.711
  • Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205-258. doi:10.1016/0304-405X(80)90002-1
  • Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The econometrics of financial markets (Vol. 2): princeton University press Princeton, NJ.
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  • Chottiner, S., & Young, A. (1971). A test of the aicpa differentiation between stock dividends and stock splits. Journal of accounting research, 367-374. doi:10.2307/248994
  • Chowdhury, J., & Sonaer, G. (2016). Ex-dividend day abnormal returns for special dividends. Journal of Economics and Finance, 40(4), 631-652. doi:10.1007/s12197-015-9317-7
  • Dennis, D. K., & McConnell, J. J. (1986). Corporate mergers and security returns. Journal of Financial Economics, 16(2), 143-187. doi:10.1016/0304-405X(86)90059-0
  • Dhatt, M. S., Kim, Y. H., & Mukherji, S. (1994). Japanese stock price reactions to stock dividend distributions. Pacific-Basin Finance Journal, 2(1), 43-59. doi:10.1016/0927-538X(94)90028-0
  • Dhatt, M. S., Kim, Y. H., & Mukherji, S. (1996). Is the stock dividend ex-day effect due to market microstructure?: Contrary evidence from korea. Global Finance Journal, 7(1), 89-99. doi:10.1016/S1044-0283(96)90015-0
  • Dimpfl, T. (2011). The impact of us news on the german stock market—an event study analysis. The Quarterly Review of Economics and Finance, 51(4), 389-398. doi:10.1016/j.qref.2011.07.005
  • Dolley, J. C. (1933). Characteristics and procedure of common stock split-ups. Harvard Business Review, 11(3), 316-326.
  • Dubofsky, D. A. (1992). A market microstructure explanation of ex-day abnormal returns. Financial Management, 21(4), 32-43. doi:10.2307/3665839
  • Dupuis, D. (2019). Ex-dividend day price behavior and liquidity in a tax-free emerging market. Emerging Markets Review, 38, 239-250. doi:10.1016/j.ememar.2019.02.001
  • Eades, K. M., Hess, P. J., & Kim, E. H. (1984). On interpreting security returns during the ex-dividend period. Journal of Financial Economics, 13(1), 3-34. doi:10.1016/0304-405X(84)90030-8
  • Elton, E. J., & Gruber, M. J. (1970). Marginal stockholder tax rates and the clientele effect. The Review of Economics and Statistics, 52(1), 68-74. doi:10.2307/1927599
  • Elton, E. J., Gruber, M. J., & Blake, C. R. (2005). Marginal stockholder tax effects and ex-dividend-day price behavior: Evidence from taxable versus nontaxable closed-end funds. Review of Economics and Statistics, 87(3), 579-586. doi:10.1162/0034653054638337
  • Fatemi, A., & Bildik, R. (2012). Yes, dividends are disappearing: Worldwide evidence. Journal of Banking & Finance, 36(3), 662-677. doi:10.1016/j.jbankfin.2011.10.008
  • Foster, T. W., & Vickrey, D. (1978). The information content of stock dividend announcements. The Accounting Review, 53(2), 360-370.
  • 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(2), 161-188. doi:10.1016/S0304-405X(97)80053-0
  • Ghadhab, I. (2018). Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. Journal of Multinational Financial Management, 46, 1-10. doi:10.1016/j.mulfin.2018.07.002
  • Graham, J. R., & Kumar, A. (2006). Do dividend clienteles exist? Evidence on dividend preferences of retail investors. The Journal of Finance, 61(3), 1305-1336. doi:10.1111/j.1540-6261.2006.00873.x
  • Graham, J. R., Michaely, R., & Roberts, M. R. (2003). Do price discreteness and transactions costs affect stock returns? Comparing ex-dividend pricing before and after decimalization. Journal of Finance, 58(6), 2611-2635. doi:10.1046/j.1540-6261.2003.00617.x
  • Gregory, A., Matatko, J., & Tonks, I. (1997). Detecting information from directors' trades: Signal definition and variable size effects. Journal of Business Finance & Accounting, 24(3), 309-342. doi:10.1111/1468-5957.00107
  • Grinblatt, M. S., Masulis, R. W., & Titman, S. (1984). The valuation effects of stock splits and stock dividends. Journal of Financial Economics, 13(4), 461-490. doi:10.1016/0304-405x(84)90011-4
  • Günalp, B., Kadioglu, E., & Kılıç, S. (2010). Nakit temettü bilgisinin hisse senedi getirisi üzerinde önemli bir etkisi olup olmadığının İmkb’de test edilmesi. Hacettepe Üniversitesi İİbf Dergisi, 28(2), 47–69.
  • Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153-2199. doi:10.1111/jofi.12785
  • Hillier, D., & Marshall, A. P. (2002). Are trading bans effective? Exchange regulation and corporate insider transactions around earnings announcements. Journal of Corporate Finance, 8(4), 393-410. doi:10.1016/S0929-1199(01)00046-3
  • Jakob, K., & Whitby, R. (2017). The impact of nominal stock price on ex-dividend price responses. Review of Quantitative Finance and Accounting, 48(4), 939-953. doi:10.1007/s11156-016-0574-0
  • Jiang, C.-H., & Huang, Y.-S. (2009). Price clustering at the opening and closing in a call market evidence from the taiwan stock exchange. International Research Journal of Finance and Economics(31), 16–28.
  • Kadioglu, E., Telçeken, N., & Öcal, N. (2015). Market reaction to dividend announcement: Evidence from turkish stock market. International Business Research, 8(9), 83–94. doi:10.5539/ ibr.v8n9p83
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Details

Primary Language Turkish
Subjects Management, Business Finance
Journal Section Articles
Authors

Eyüp KADIOĞLU> (Primary Author)
Ghent University, Department of Economics
0000-0001-7836-868X
Belgium


Faruk BOSTANCI This is me
Independent Researcher
0000-0002-4151-7618
Türkiye


Nurcan ÖCAL>
CAPITAL MARKETS BOARD OF TURKEY
0000-0002-5870-2844
Türkiye

Publication Date March 30, 2020
Published in Issue Year 2020, Volume 7, Issue 1

Cite

APA Kadıoğlu, E. , Bostancı, F. & Öcal, N. (2020). NAKİT TEMETTÜ DAĞITMA ANOMALİSİ VE BİR YATIRIM STRATEJİSİ . Journal of Economics Finance and Accounting , 7 (1) , 9-21 . DOI: 10.17261/Pressacademia.2020.1177

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