Türkiye'de Kurumlar Vergisi Değişikliğinin Hisse Senedi Fiyatları Üzerine Kısa Dönemli Etkisi
Yıl 2016,
, 303 - 322, 15.03.2016
Pınar Derin Güre
Samet Kütük
Öz
Türkiye’de kurumlar vergisi oranı en son 2006 yılında değiştirilmiştir. Bu çalışmanın amacı 2005
yılında yapılan kurumlar vergisi değişikliği açıklamasının hisse senedi fiyatları üzerine kısa dönemli etkisinin
incelenmesidir. Türkiye Cumhuriyeti Başbakanı, 29 Kasım 2005 tarihinde kurumlar vergisi oranında indirime
gidileceğini açıklamış, kurumlar vergisi oranının gelecek yılın başından itibaren % 30’dan % 20’ye
düşürüleceğini belirtmiştir. Etkin Piyasa Hipotezi doğrultusunda, açıklamanın hisse senedi fiyatları üzerindeki
etkisini ölçmek için olay çalışması yöntemi kullanılmıştır. Bildiğimiz kadarıyla, bu çalışma 2005 yılında
Türkiye’deki kurumlar vergisi değişikliği açıklamasının varlık fiyatları üzerine etkisini bu büyüklükte bir veri
seti kullanarak inceleyen ilk çalışmadır. Kandır ve Yakar (2012) aynı açıklamayı İstanbul Menkul Kıymetler
Borsasında yer alan en çok vergi ödeyen beş şirket için incelemiş ve hisse senedi getirilerinin istatistiksel
olarak anlamlı düzeyde tepki verdiği sonucuna ulaşmıştır. Bu çalışmada iki büyük örneklem kullanılarak olay
penceresinde hisse senedi fiyatlarında istatistiksel olarak anlamlı değişmelerin olmadığı sonucuna
ulaşılmıştır. Elde edilen bu sonuç yarı etkin piyasalarda varlık fiyatlarının kamuya mal olmuş bilgileri ve
beklentileri fiyatlandırdığı savını desteklemektedir.
Kaynakça
- Amoako-Adu, Ben, Muhammed Rashid ve Malcolm Stebbins (1992), “Capital Gains Tax and Equity Values: Empirical Test of Stock Price Reaction to the Introduction and Reduction of Capital Gains Tax Exemption”, Journal of Banking and Finance, 16 (2): 275-287.
- Andrade, Gregor, Mark Mitchell ve Erik Stafford (2001), “New Evidence and Perspectives on Mergers”, The Journal of Economic Perspectives, 15 (2): 103-120.
- Auerbach, Alan J. ve Kevin A. Hassett (2005), “The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study”, NBER Working Paper, 11449.
- Beaver, William H. (1968), “The Information Content of Annual Earnings Announcements. Journal of Accounting Research”, Empirical Research in Accounting: Selected Studies, 6: 67-92.
- Binder, John J. (1998), “The Event Study Methodology Since 1969”, Review of Quantitative Finance and Accounting, 11: 111-137.
- Brown, Stephen J. ve Jerold B. Warner (1985), “Using Daily Stock Returns: The Case of Event Studies”, Journal of Financial Economics, 14: 3-31.
- Cutler, David M. (1988), “Tax Reform and the Stock Market: An Asset Price Approach”, American Economic Review, 78 (5): 1107-1117.
- Dyckman, Thomas, Donna Philbrick ve Jens Stephan (1984), “A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach”, Journal of Accounting Research, 22: 1-33.
- Fama, Eugene F. (1965), “The Behavior of Stock Market Prices”, Journal of Business, 38 (1): 34- 105.
- Fama, Eugene F. (1995), “Random Walks in Stock Market Prices”, Financial Analysts Journal, 51 (1): 75-80.
- Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work” , Journal of Finance, 25 (2): 383-417.
- Fama, Eugene F. (1991), “Efficient Capital Markets: II”, Journal of Finance, 46 (5): 1575-1617.
- Fama, Eugene F., Lawrence Fisher, Michael C. Jensen ve Richard Roll (1969), “The Adjustment of Stock Prices to New Information” International Economic Review, 10 (1): 1-21.
- Finnerty, Joseph E. (1976), “Insiders and Market Efficiency”, Journal of Finance, 31 (4): 1141- 1148.
- Gelir İdaresi Başkanlığı (2007), http://www.gib.gov.tr/index.php?id=469 (15.08.2015).
- Gropp, Reint ve Kristina Kostial (2001), “Finance Development A Quarterly Magazine of the IMF”, http://www.imf.org/external/pubs/ft/fandd/2001/06/gropp.htm (13.08.2015).
- Grossman, Sanford J. ve Joseph E. Stiglitz (1980), “On the Impossibility of Informationally Efficient Markets”, American Economic Review, 70 (3): 393-408.
- Henderson, Glenn V. (1990), “Problems and Solutions in Conducting Event Studies”, American Risk and Insurance Association Stable, 57 (2): 282-306.
- Hürriyet Gazetesi (2005), http://hurarsiv.hurriyet.com.tr/goster/haber.aspx?id=3568961&tarih= 2005-11-27 (15.08.2015).
- International Monetary Fund (2005), “Turkey: Request for Stand-By Arrangement and Extension of Repurchase Expectations”, IMF Country Report, 05/412, (Washington).
- Kandır, Serkan Y. ve Soner Yakar (2012), “Kurumlar Vergisi Oranındaki Değişikliğin Hisse Senedi Getirileri Üzerindeki Etkisinin İncelenmesi”, Maliye Dergisi, 163: 170-186.
- Lang, Mark H. ve Douglas A. Shackelford (2000) “Capitalization of Capital Gains Taxes: Evidence From Stock Price Reactions To The 1997 Rate Reduction”, Journal of Public Economics, 76 (1): 69-85.
- MacKinlay, A. Craig (1997), “Event Studies in Economics and Finance”, Journal of Economic Literature, 35: 13-39.
- McWilliams, Abagail ve Donald Siegel (1997), “Event Studies In Management Research: Theoretical and Empirical Issues”, Academy of Management Journal, 40 (3): 626-657.
- Milliyet Gazetesi (2005a), “Unakıtan: Kurumlar vergisi düşürülecek”, http://www.milliyet.com.tr/ 2005/05/27/son/soneko39.html (15.08.2015).
- Milliyet Gazetesi (2005b), “Kurumlar Vergisi indirimini, Erdoğan açıkladı: Yüzde 20”, http://www.milliyet.com.tr/2005/11/29/son/soneko10.html (15.08.2015).
- Samuelson, Paul A. (1965), “Proof that Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review, 6 (2): 41-49.
- T.C.Kalkınma Bakanlığı (2015), “Kamu Kesimi ve Genel Devlet İstatistiklerine İlişkin Açıklama”, http://www.kalkinma.gov.tr/Pages/YillarBazindaGenelDevletIstatistikleri.aspx (01.09.2015).
- Yeni Asır Gazetesi (2005), “Vergi İndirimi Yolda”, http://ya2005.yeniasir.com.tr/11/14/index.php3? kat=ana&sayfa=ekon3&bolum=gunluk (19.08.2015).
Short Term Impacts of the Corporate Income Tax Change on Stock Prices in Turkey
Yıl 2016,
, 303 - 322, 15.03.2016
Pınar Derin Güre
Samet Kütük
Öz
The aim of this paper is to analyze the short-term effects of the official announcement of the corporate income tax change on stock prices in Turkey in 2005. Prime Minister of Turkey announced the decline in corporate income tax rate on November 29, 2005. He indicated that the corporate tax rate would be decreased from 30% to 20% starting from the next year. In line with the market efficiency hypothesis, we use event study methodology to measure the effects of this announcement on asset prices. To the best of our knowledge, we are the first to analyze impacts of the announcement of the corporate income tax change in Turkey in 2005 on asset prices using substantially large data sets. Kandır and Yakar (2012) investigate the effects of the same announcement with five companies among highest corporate income tax payers in Istanbul Stock Exchange Market and they conclude that reactions in the stock returns were significant. We
obtain that there is no significant change in asset prices in the event period using two different large sample sets. This result is parallel to the fact that stock prices in semi-efficient stock markets reflect publicly available information and expectation.
Kaynakça
- Amoako-Adu, Ben, Muhammed Rashid ve Malcolm Stebbins (1992), “Capital Gains Tax and Equity Values: Empirical Test of Stock Price Reaction to the Introduction and Reduction of Capital Gains Tax Exemption”, Journal of Banking and Finance, 16 (2): 275-287.
- Andrade, Gregor, Mark Mitchell ve Erik Stafford (2001), “New Evidence and Perspectives on Mergers”, The Journal of Economic Perspectives, 15 (2): 103-120.
- Auerbach, Alan J. ve Kevin A. Hassett (2005), “The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study”, NBER Working Paper, 11449.
- Beaver, William H. (1968), “The Information Content of Annual Earnings Announcements. Journal of Accounting Research”, Empirical Research in Accounting: Selected Studies, 6: 67-92.
- Binder, John J. (1998), “The Event Study Methodology Since 1969”, Review of Quantitative Finance and Accounting, 11: 111-137.
- Brown, Stephen J. ve Jerold B. Warner (1985), “Using Daily Stock Returns: The Case of Event Studies”, Journal of Financial Economics, 14: 3-31.
- Cutler, David M. (1988), “Tax Reform and the Stock Market: An Asset Price Approach”, American Economic Review, 78 (5): 1107-1117.
- Dyckman, Thomas, Donna Philbrick ve Jens Stephan (1984), “A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach”, Journal of Accounting Research, 22: 1-33.
- Fama, Eugene F. (1965), “The Behavior of Stock Market Prices”, Journal of Business, 38 (1): 34- 105.
- Fama, Eugene F. (1995), “Random Walks in Stock Market Prices”, Financial Analysts Journal, 51 (1): 75-80.
- Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work” , Journal of Finance, 25 (2): 383-417.
- Fama, Eugene F. (1991), “Efficient Capital Markets: II”, Journal of Finance, 46 (5): 1575-1617.
- Fama, Eugene F., Lawrence Fisher, Michael C. Jensen ve Richard Roll (1969), “The Adjustment of Stock Prices to New Information” International Economic Review, 10 (1): 1-21.
- Finnerty, Joseph E. (1976), “Insiders and Market Efficiency”, Journal of Finance, 31 (4): 1141- 1148.
- Gelir İdaresi Başkanlığı (2007), http://www.gib.gov.tr/index.php?id=469 (15.08.2015).
- Gropp, Reint ve Kristina Kostial (2001), “Finance Development A Quarterly Magazine of the IMF”, http://www.imf.org/external/pubs/ft/fandd/2001/06/gropp.htm (13.08.2015).
- Grossman, Sanford J. ve Joseph E. Stiglitz (1980), “On the Impossibility of Informationally Efficient Markets”, American Economic Review, 70 (3): 393-408.
- Henderson, Glenn V. (1990), “Problems and Solutions in Conducting Event Studies”, American Risk and Insurance Association Stable, 57 (2): 282-306.
- Hürriyet Gazetesi (2005), http://hurarsiv.hurriyet.com.tr/goster/haber.aspx?id=3568961&tarih= 2005-11-27 (15.08.2015).
- International Monetary Fund (2005), “Turkey: Request for Stand-By Arrangement and Extension of Repurchase Expectations”, IMF Country Report, 05/412, (Washington).
- Kandır, Serkan Y. ve Soner Yakar (2012), “Kurumlar Vergisi Oranındaki Değişikliğin Hisse Senedi Getirileri Üzerindeki Etkisinin İncelenmesi”, Maliye Dergisi, 163: 170-186.
- Lang, Mark H. ve Douglas A. Shackelford (2000) “Capitalization of Capital Gains Taxes: Evidence From Stock Price Reactions To The 1997 Rate Reduction”, Journal of Public Economics, 76 (1): 69-85.
- MacKinlay, A. Craig (1997), “Event Studies in Economics and Finance”, Journal of Economic Literature, 35: 13-39.
- McWilliams, Abagail ve Donald Siegel (1997), “Event Studies In Management Research: Theoretical and Empirical Issues”, Academy of Management Journal, 40 (3): 626-657.
- Milliyet Gazetesi (2005a), “Unakıtan: Kurumlar vergisi düşürülecek”, http://www.milliyet.com.tr/ 2005/05/27/son/soneko39.html (15.08.2015).
- Milliyet Gazetesi (2005b), “Kurumlar Vergisi indirimini, Erdoğan açıkladı: Yüzde 20”, http://www.milliyet.com.tr/2005/11/29/son/soneko10.html (15.08.2015).
- Samuelson, Paul A. (1965), “Proof that Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review, 6 (2): 41-49.
- T.C.Kalkınma Bakanlığı (2015), “Kamu Kesimi ve Genel Devlet İstatistiklerine İlişkin Açıklama”, http://www.kalkinma.gov.tr/Pages/YillarBazindaGenelDevletIstatistikleri.aspx (01.09.2015).
- Yeni Asır Gazetesi (2005), “Vergi İndirimi Yolda”, http://ya2005.yeniasir.com.tr/11/14/index.php3? kat=ana&sayfa=ekon3&bolum=gunluk (19.08.2015).