AVRUPA BAĞLAMINDA TEMETTÜ DEĞİŞİKLİKLERİNİN TERS PİYASA REAKSİYONU

Year 2014, Volume: 22 Issue: 1, 1 - 30, 28.06.2014

Elisabete S. Vieira

https://doi.org/10.29228/mjes.91

Abstract

Bu çalışma, piyasanın neden bazı durumlarda temettü artışlarına (azalış)
negatif (pozitif) reaksiyon gösterdiğini temettü değişim duyurularına ters piyasa
reaksiyonu gösteren üç Avrupa pazarı örneğinde açıklamaktadır. Sonuçlar 3 ülke
bağlamında farklılaşmaktadır. Küçük ülke verisi olan Portekiz’de, temettü değişim
duyurularına ters piyasa reaksiyonu gösterilmesinin nedeni piyasanın temettü
değişimi duyuruları aracılığıyla firmalar tarafından verilen sinyali
algılamamasıdır. Ayrıca, sonuçlar İngiltere piyasası için “ters sinyalleşme
etkisi”nin açıklanmasında belli bir başarılı göstermiştir. Son olarak, sonuçlar İngiltere’deki yatırımcıların Portekiz ya da Fransa ile kıyaslandığında gelecekteki
temettü bazlı getiriyi daha iyi tahmin ettiğini ortaya koymaktadır

Keywords

Nakit Temettü, Sinyal Hipotezi, Ters Piyasa Reaksiyonu

AVRUPA BAĞLAMINDA TEMETTÜ DEĞİŞİKLİKLERİNİN TERS PİYASA REAKSİYONU

Abstract

This study tries to understand why the market sometimes reacts negatively/positively to dividend increases/decreases, showing an inverse market reaction to dividend change announcements; using samples from three European markets (Portuguese, French and British). The results are different across these three countries. Data from a small country, Portugal, suggests that the inverse market reaction to dividend change announcements takes place because the market does not understand the signal given by firms through dividend-change announcements. For the UK market, the results have some success in explaining the inverse signalling effects. Finally, the results suggest that in the UK investors can better predict future earnings based on dividends than in Portugal or France

Keywords

Cash Dividends, Signalling Hypothesis, Inverse Market Reaction

References

• Abeyratna, G., & Power, D., (2002), ‘The Post-announcement Performance of Dividend-changing Companies: The Dividend-signalling Hypothesis Revisited’, Accounting and Finance, Vol.42, pp. 131-151.
• Aharony, J., & Swary, I., (1980), ‘Quarterly Dividend and Earnings Announcements and Stockholders’ Returns: An Empirical Analysis’, The Journal of Finance, Vol. 35, No.1, pp. 1-12.
• Ali, M. B., & Chowdhury, T. A., (2010), ‘Effect of Dividend on Stock Price in Emerging Stock Market: A Study on the Listed Private Commercial Banks in DSE’, International Journal of Economics and Finance, Vol. 2, No.4, pp. 52-64.
• Amihud, Y., & Li, K., (2002), ‘The Declining Information Content of Dividend Announcements and the Effect of Institutional Holdings’, Working Paper, Stern School of Business, New York City.
• Asamoah, G. N., (2010), ‘The Impact of Dividend Announcement on Share Price Behaviour in Ghana’, Journal of Business and Economics Research, Vol. 8, No.4, pp. 47-58.
• Asquith, P., & Mullins, D. W., (1983), ‘The Impact of Initiating Dividend Payments on Shareholder Wealth’, The Journal of Business, Vol.56, No.1, pp. 77-96.
• Benartzi, S., Michaely, R., & Thaler, R., (1997), ‘Do Changes in Dividends Signal the Future or the Past?’, The Journal of Finance, Vol.52, No.3, pp. 1007-1034.
• Benesh, G. A., Keown, A. J., & Pinkerton, J. M., (1984), ‘An Examination of Market Reaction to Substantial Shifts in Dividend Policy’, The Journal of Financial Research, Vol.7, No.2, pp. 131-142.
• Bhattacharya, S., (1979), ‘Imperfect Information, Dividend Policy, and ‘The Bird in the Hand Fallacy’’, Bell Journal of Economics, Vol.10, No.1, pp. 259-270.
• Born, J. A., Moser, J. T., & Officer, D. T., (1988), ‘Changes in Dividend Policy and Subsequent Earnings’, Journal of Portfolio Management, Vol.14, No.4, pp. 56-62.
• Chen, G., Firth, M., & Gao, N., (2002), ‘The Information Content of Concurrently Announced Earnings, Cash Dividends, and Stock Dividends: An Investigation of the Chinese Stock Market’, Journal of International Financial Management and Accounting, Vol.13, No.2, pp. 101-124.
• Conroy, R. M., Eades, K. M., & Harris, R. S., (2000), ‘A Test of the Relative Pricing Effects of Dividends and Earnings: Evidence from Simultaneous Announcements in Japan’, The Journal of Finance, Vol.55, No.3, pp. 1199-1227.
• DeAngelo, H., DeAngelo, L., & Skinner, D. J., (1992), ‘Dividends and Losses’, The Journal of Finance, Vol.47, No.5, pp. 1837-1863.
• Dhillon, U. S., & Johnson, H., (1994), ‘The Effect of Dividend Changes on Stock and Bond Prices’, The Journal of Finance, Vol.49, No.1, pp. 281-289.
• Dhillon, U. S., Raman, K., & Ramírez, G. G., (2003), ‘Analyst’s Dividend Forecasts and Dividend Signalling’, Working Paper. SSRN WP, http://ssrn.com/abstract=420782.
• Elfakhani, S., (1995), ‘An Empirical Examination of the Information Content of Balance Sheet and Dividend Announcements: A Signalling Approach’, Journal of Financial and Strategic Decisions, Vol.8, No.2, pp.65-76.
• Elton, E. J., & Gruber, M. J., (1970), ‘Marginal Stockholder Tax Rates and the Clientele Effect’, Review of Economics and Statistics, Vol. 52, No.1, pp. 68-74.
• Fama, E. F., & French, K. R., (2000), ‘Forecasting Profitability and Earnings’, Journal of Business, Vol.73, No.2, pp.161-175.
• Gordon, M., (1963), ‘Optimal Investment and Financing Policy’, The Journal of Finance, Vol.18, No.2, pp. 264-272.
• Gurgul, H., Madjosz, P., & Mestel, R., (2003), ‘Stock Market Reactions to Dividend Announcements: Empirical Evidence from the Austrian Stock Market’, Financial Markets and Portfolio Management, Vol.17, No.3, pp. 332-350.
• Grullon, G., Michaely, R., & Swaminathan, B., (2002), ‘Are Dividends Changes a Sign of Firm Maturity?’, The Journal of Business, Vol.75, No.3, pp. 387-424. Hausman, J. A., (1978), ‘Specification Tests in Econometrics’, Econometrica, Vol.46, No.6, pp. 1251-1271.
• Healy, J., Hathorn, J., and Kirch, D., (1997), ‘Earnings and the Differential Information Content of Initial Dividend Announcements’, Accounting Enquiries, Vol.6, No.2, pp. 187-220.
• Hussin, B. M., Ahmed, A. D., & Ying, T. C., (2010), ‘Semi-strong Form Efficiency: Market Reaction to Dividend and Earnings Announcements in Malaysian Stock Exchange’, The IUP Journal of Applied Finance, Vol.16, No.5, pp. 36-60.
• John, K., & Williams, J., (1985), ‘Dividends, Dilution, and Taxes: A Signalling Equilibrium’, The Journal of Finance, Vol.40, No.4, pp. 1053-1070.
• Lang, L. H.P., & Litzenberger, R. H., (1989), ‘Dividend Announcements: Cash Flow Signalling Versus Free Cash Flow Hypothesis’, Journal of Financial Economics, Vol.24, No.1, pp. 181-191.
• Lee, H. W., & Ryan, P. A., (2002), ‘Dividends and Earnings Revisited: Cause or Effect?’, American Business Review, Vol.20, No.1, pp. 117-122.
• Lee, H. W., & Ryan, P. A., (2000), ‘The Information Content of Dividend Initiations and Omissions: The Free Cash Flow and Dividend Signalling Hypotheses’, The Journal of Research in Finance, Vol.3, No.2, pp. 196-277.
• Lippert, R. L., Nixon, T. D., & Pilotte, E. A., (2000), ‘Incentive Compensation and the Stock Price Response to Dividend Increase Announcements’, The Financial Review, Vol.35, No.4, pp. 69-94.
• Miller, M., & Modigliani, F., (1961), ‘Dividend Policy, Growth, and the Valuation of Shares’, The Journal of Business, Vol. 34, No.4, pp. 411-433.
• Miller, M. H., and Rock, K., (1985), ‘Dividend Policy Under Asymmetric Information’, The Journal of Finance, Vol.40, No.4, pp. 1031-1051.
• Mozes, H. A., & Rapaccioli, D. C., (1998), ‘The Link between Dividend Changes and Future Earnings’, The Journal of Financial Statement Analysis, Vol.3, No.3, pp. 29-39.
• Nissim, D., & Ziv, A., (2001), ‘Dividend Changes and Future Profitability’, The Journal of Finance, Vol.56, No.6, pp. 2111-2133.
• Pettit, R., (1976), ‘The Impact of Dividends and Earnings Announcements: A Reconciliation’, The Journal of Business, Vol.49, No.1, 86-96.
• Pettit, R. (1972). ‘Dividend Announcements, Security Performance, and Capital Market Efficiency’, The Journal of Finance, Vol.27, No.5, pp. 993-1007.
• Sant, R., & Cowan, A. R., (1994), ‘Do Dividends Signal Earnings? The Case of Omitted Dividends’, Journal of Banking and Finance, Vol.18, No.6, pp. 1113-1133.
• Urooj, S. F., & Zafar, N., (2008), ‘Share Price Reaction to Dividend Announcements’, The Business Review, Vol.10, No.1, pp. 322-329.
• Vieira, E. S., (2012), ‘Dividend policy: Signaling or maturity hypothesis?’, Journal of Applied Management and Investments,Vol.1, No.1, pp. 22-29.
• Vieira, E. S., (2011), ‘Firm-specific factors and the market reaction to dividend change announcements: Evidence from Europe’, Marmara Journal of European Studies, Vol.19, No.1, pp. 1-25.
• White, H., (1980), ‘A Heteroscedasticity-consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity’, Econometrica, Vol.48, No.4, pp. 149-170.
• Yilmaz, M. K., & Gulay, G., (2006), ‘Dividend Policies and Price-Volume Reactions to Cash Dividends on the Stock Market: Evidence from the Istanbul Stock Exchange’, Emerging Markets, Finance and Trade, Vol.42, No.4, pp. 19-49.
• Yilmaz, A. A, & Selcuk, E. A., (2010), ‘Information Content of Dividends: Evidence from Istanbul Stock Exchange’, International Business Research, Vol.3, No.3, pp. 126-132.