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BORSA İSTANBUL’DA CİRO SÜRPRİZİ VE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ İLİŞKİ

Yıl 2021, Cilt: 22 Sayı: 1, 187 - 198, 01.01.2021

Öz

Bu çalışma, Borsa İstanbul’da işlem gören pay senetleri getirileri ile ciro sürprizleri arasındaki ilişkiyi incelemektedir. Portföy düzeyindeki analizler ve çok değişkenli kesitsel regresyon analizi, ciro sürprizi ile pay senedi getirileri arasında pozitif ve anlamlı bir ilişki olduğunu belgelemektedir. Portföy analizi, yüksek ciro sürprizi portföyündeki pay senetlerinin, düşük ciro sürprizi portföyündeki pay senetlerine oranla aylık %1’den daha fazla getiri sağladığını göstermektedir. Sonuçlar; kar sürprizi dahil hisse senetlerine ait diğer değişkenlere göre kontrol edildiğinde de güçlü kalmaktadır

Kaynakça

  • Alkan, U., & Guner, B. (2018). Preferences for lottery stocks at Borsa Istanbul. Journal of International Financial Markets, Institutions and Money, 55, 211-223.
  • Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.
  • Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. The Review of Financial Studies, 19(4), 1191-1239.
  • Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
  • Asparouhova, E., Bessembinder, H., & Kalcheva, I. (2013). Noisy prices and inference regarding returns. The Journal of Finance, 68(2), 665-714.
  • Azimli, A., & Mandaci, P. E. (2017). Examining the relationship between the stock returns and earnings measures–evidence from Borsa Istanbul. In New Challenges in Banking and Finance (pp. 65-76). Cham: Springer.
  • Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427- 446.
  • Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.
  • Bawa, V. S., & Lindenberg, E. B. (1977). Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics, 5(2), 189-200.
  • Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. The Review of Financial Studies, 20(6), 1783- 1831.
  • Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
  • DeFond, M. L., & Park, C. W. (2001). The reversal of abnormal accruals and the market valuation of earnings surprises. The Accounting Review, 76(3), 375-404.
  • Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
  • Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441-463.
  • Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
  • Foster, G., Olsen, C., & Shevlin, T. (1984). Earnings releases, anomalies, and the behavior of security returns. Accounting Review, 59, 574-603.
  • Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.
  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881-898.
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
  • Jegadeesh, N., & Livnat, J. (2006). Revenue surprises and stock returns. Journal of Accounting and Economics, 41(1-2), 147-171.
  • Karolyi, G. A., Lee, K. H., & Van Dijk, M. A. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics, 105(1), 82-112.
  • Lee, K. H. (2011). The world price of liquidity risk. Journal of Financial Economics, 99(1), 136-161.
  • Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation. Econometrica, 55(3), 703-708.
  • Ozkan, N., & Kayali, M. M. (2015). The accrual anomaly: Evidence from Borsa Istanbul. Borsa Istanbul Review, 15(2), 115-125.
  • Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings?. The Accounting Review, 71(3), 289-315.

REVENUE SURPRISE AND EQUITY RETURNS IN BORSA ISTANBUL

Yıl 2021, Cilt: 22 Sayı: 1, 187 - 198, 01.01.2021

Öz

This paper examines the importance of revenue surprise in the cross-section of stock returns in Borsa Istanbul. Portfolio-level analyses and multivariate cross-sectional regressions document a statistically and economically significant positive relation between revenue surprise and expected returns. Average excess and abnormal return spreads between equities in the highest and lowest revenue surprise deciles are more than 1% per month. The findings of the paper are robust when well-known firm-specific attributes including earnings surprise are controlled for.

Kaynakça

  • Alkan, U., & Guner, B. (2018). Preferences for lottery stocks at Borsa Istanbul. Journal of International Financial Markets, Institutions and Money, 55, 211-223.
  • Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.
  • Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. The Review of Financial Studies, 19(4), 1191-1239.
  • Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
  • Asparouhova, E., Bessembinder, H., & Kalcheva, I. (2013). Noisy prices and inference regarding returns. The Journal of Finance, 68(2), 665-714.
  • Azimli, A., & Mandaci, P. E. (2017). Examining the relationship between the stock returns and earnings measures–evidence from Borsa Istanbul. In New Challenges in Banking and Finance (pp. 65-76). Cham: Springer.
  • Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427- 446.
  • Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.
  • Bawa, V. S., & Lindenberg, E. B. (1977). Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics, 5(2), 189-200.
  • Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. The Review of Financial Studies, 20(6), 1783- 1831.
  • Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
  • DeFond, M. L., & Park, C. W. (2001). The reversal of abnormal accruals and the market valuation of earnings surprises. The Accounting Review, 76(3), 375-404.
  • Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
  • Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441-463.
  • Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
  • Foster, G., Olsen, C., & Shevlin, T. (1984). Earnings releases, anomalies, and the behavior of security returns. Accounting Review, 59, 574-603.
  • Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295.
  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881-898.
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
  • Jegadeesh, N., & Livnat, J. (2006). Revenue surprises and stock returns. Journal of Accounting and Economics, 41(1-2), 147-171.
  • Karolyi, G. A., Lee, K. H., & Van Dijk, M. A. (2012). Understanding commonality in liquidity around the world. Journal of Financial Economics, 105(1), 82-112.
  • Lee, K. H. (2011). The world price of liquidity risk. Journal of Financial Economics, 99(1), 136-161.
  • Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation. Econometrica, 55(3), 703-708.
  • Ozkan, N., & Kayali, M. M. (2015). The accrual anomaly: Evidence from Borsa Istanbul. Borsa Istanbul Review, 15(2), 115-125.
  • Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings?. The Accounting Review, 71(3), 289-315.
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makalesi
Yazarlar

A. Doruk Gunaydin Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 22 Sayı: 1

Kaynak Göster

APA Gunaydin, A. D. (2021). REVENUE SURPRISE AND EQUITY RETURNS IN BORSA ISTANBUL. Doğuş Üniversitesi Dergisi, 22(1), 187-198.