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Temettü Duyurularının Hisse Senedi Getirilerine Olan Etkilerinin Analizi

Yıl 2018, Cilt: 3 Sayı: 2, 133 - 148, 11.09.2018
https://doi.org/10.30784/epfad.440313

Öz

Bu
çalışmanın amacı, BİST’de işlem gören şirketlere ait verileri kullanarak
temettü duyurularının hisse senedi getirilerine olan etkilerini incelemektir.
Bu amaçla 2009-2014 yılları arasında toplamda 136 şirketin 548 temettü duyurusu
kullanılmıştır. Bu duyuruların duyuru günü civarında oluşturulan olay
pencereleri vasıtasıyla hisse senedi getirilerine olan etkisi regresyon analizi
ile test edilmiştir. Çalışmada, nakit temettü, hisse temettü ve melez temettü
dağıtım biçimleri için ayrı analizler yapılmıştır.  Nakit temettü analizinden elde edilen
bulgulara göre, nakit temettü duyurusunun yapıldığı gün ve sonrasındaki
günlerde temettü verimi ile anormal getiriler arasında anlamlı ve pozitif bir
ilişki olduğu tespit edilmiştir.  Bu
ilişki, duyuru gününde başlamakta ve ilk iki gün içerisinde en anlamlı
seviyesine ulaşmakta ve bu bilginin fiyata dönüşme süreci anlamlı bir şekilde
en az 15 gün süresince devam etmektedir. Hisse temettü ve melez temettü için
yapılan analizlerde anlamlı sonuçlara ulaşılamamıştır. Yatırımcılar,  duyuru günü ve çevresindeki günlerde hisse
senedi ve melez temettü duyurularına karşı kayıtsızdırlar. Bütün analizlerde
duyuru günü öncesinde anlamlı ilişkiler kurulamamıştır. Dolayısıyla, fiyatlara
etki edebilecek önemli bir bilgi olan temettü bilgisinin şirket içerisinden
piyasaya önceden sızdırılmadığı ve içerden öğrenenler ticaretinin (insider
trading) olmadığı sonucuna varılmıştır.

Kaynakça

  • Aydoğan, K., & Muradoğlu, G. (1998). Do markets learn from experience? Price reaction to stock dividends in the Turkish market. Applied Financial Economics, 8(1), 41-49. https://doi.org/10.1080/096031098333230
  • Başdaş, Ü. (2013). Event study methodology for Borsa Istanbul (Doctoral Thesis). Middle East Technical University Institute of Social Sciences, Ankara.
  • Batchelor, R., & Orakçıoğlu, İ. (2003). Event-related GARCH: The impact of stock dividends in Turkey. Applied Financial Economics, 13(4), 295-307. https://doi.org/10.1080/09603100210138547
  • Bhattacharya, S. (1979). Imperfect information, dividend, and “The Bird in the Hand” fallacy. The Bell Journal of Economics, 10(1), 259-270. Retrieved from http://www.jstor.org/stable/3003330
  • Black, F., & Scholes, M. (1974). The effect of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1(1), 1-22. https://doi.org/10.1016/0304-405X(74)90006-3
  • Brigham, E. F., & Ehrhardt, M. C. (2013). Financial Management. Cengage Learning.
  • Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. The American Economic Review, 74(4), 650-659. Retrieved from http://www.jstor.org/stable/1805130
  • Elton, E., & Gruber, M. (1970). Marginal stockholders' tax rates and the clientele effect. The Review of Economics and Statistics, 52(1), 68-74. https://doi.org/10.1142/9789814335409_0001
  • Fama, E., Jensen, L., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21. https://doi.org/10.2307/2525569
  • Gordon, M. J. (1963). Optimal investment and financing policy. Journal of Finance, 18(2), 264-272. https://doi.org/10.1111/j.1540-6261.1963.tb00722.x
  • Grullon, G., Michaely, R., Bernartzi, S., & Thaler, H. (2002). Are dividend changes a sign of firm maturity. Journal of Business, 75(3), 387-424. https://doi.org/10.1086/339889
  • Grullon, G., Michaely, R., Bernartzi, S., & Thaler, H. (2005). Dividend changes do not signal changes in future profitability. Journal of Business, 78(5), 1659-1682. http://dx.doi.org/10.1086/431438
  • Günalp, B., Kadıoğlu, E. ve 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. Retrieved from http://dergipark.gov.tr/huniibf/issue/29107/311348
  • Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The Economic Review, 76(2), 323-329. Retrieved from http://www.jstor.org/stable/1818789
  • John, K., & Williams, J. (1985). Dividends, dilution and taxes: A signalling equilibrium. Journal of Finance, 40(4), 1053-1070. https://doi.org/10.2307/2328394
  • Karaca, S. S. (2007). Şirketlerin kâr dağıtım politikası ve kâr payı ödeme şekillerinin firma değerine etkisinin analizi ve İstanbul Menkul Kıymetler Borsası'nda bir inceleme (Doktora Tezi). İnönü Üniversitesi Sosyal Bilimler Enstitüsü, Malatya.
  • Lintner, J. (1962). Dividends, earnings, leverage, stock prices, and supply of capital to corporations. Review of Economics and Statistics, 44(3), 243-269. https://doi.org/10.2307/1926397
  • Litzenberger, R., & Ramaswamy, K. (1979). The effects of personal taxes and dividends on capital asset prices: Theory and empirical evidence. Journal of Financial Economics, 7(2), 163-195. https://doi.org/10.1016/0304-405X(79)90012-6
  • Litzenberger, R., & Ramaswamy, K. (1982). The effects of dividends on common stock prices tax effects or information effects?. The Journal of Finance, 37(2), 429-443. http://dx.doi.org/10.2307/2327346
  • Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34(4), 411-433. http://dx.doi.org/10.1086/294442
  • Miller, M. H., & Scholes, M. S. (1982). Dividends and taxes: Some empirical evidence. Journal of Political Economy, 90(6), 1118-1141. http://dx.doi.org/10.1086/261114
  • Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. Journal of Finance, 40(4), 1031-1051. http://dx.doi.org/10.2307/2328393
  • Muradoğlu, G., & Aydoğan, K. (2003). Trends in market reactions: Stock dividends and right offerings at Istanbul Stock Exchange. The European Journal of Finance, 9(1), 41-60. http://dx.doi.org/10.1080/13518470110047611
  • Rozeff, M. S. (1982). Growth, beta and agency costs as determinants of dividend payout ratios. Journal of Financial Research, 5(3), 249-259. https://doi.org/10.1111/j.1475-6803.1982.tb00299.x
  • Yılmaz, A. A., & Selçuk, E. (2010). Information content of dividends: Evidence from Istanbul Stock Exchange. International Business Research, 3(3), 126-132. doi: 10.5539/ibr.v3n3p126

Analysis of Impacts of Dividend Announcements on Stock Returns

Yıl 2018, Cilt: 3 Sayı: 2, 133 - 148, 11.09.2018
https://doi.org/10.30784/epfad.440313

Öz

The
aim of this study is to examine the impact of dividend announcements on stock
returns by using companies’ data registered in BIST. For this purpose, a total
of 548 dividend announcements from 136 companies have been used. The impact of
those announcements on stock prices has been tested by regression analysis
using event date windows created around announcement date. Analyses have been
carried out for each cash dividend, stock dividend and hybrid dividend
distribution forms. According to results of cash dividend analyses, there is a
significant and positive relationship between dividend yield and abnormal
returns for the days after and including announcement date. This relationship
starts at the day of announcement, reaches its peak during the first two days, and
continues at least 15 days. However, significant relationships could not be
reached by stock dividend and hybrid dividend analyses. Investors are
indifferent to stock dividend and hybrid dividend announcements around
announcement date. In all analyses, any significant relationships could not
been set up in the days before the announcement date. Hence, it has been
concluded that dividend information which is important information that can
affect stock price has not been leaked from the company to market prior to
announcement date and hence there is no insider trading.

Kaynakça

  • Aydoğan, K., & Muradoğlu, G. (1998). Do markets learn from experience? Price reaction to stock dividends in the Turkish market. Applied Financial Economics, 8(1), 41-49. https://doi.org/10.1080/096031098333230
  • Başdaş, Ü. (2013). Event study methodology for Borsa Istanbul (Doctoral Thesis). Middle East Technical University Institute of Social Sciences, Ankara.
  • Batchelor, R., & Orakçıoğlu, İ. (2003). Event-related GARCH: The impact of stock dividends in Turkey. Applied Financial Economics, 13(4), 295-307. https://doi.org/10.1080/09603100210138547
  • Bhattacharya, S. (1979). Imperfect information, dividend, and “The Bird in the Hand” fallacy. The Bell Journal of Economics, 10(1), 259-270. Retrieved from http://www.jstor.org/stable/3003330
  • Black, F., & Scholes, M. (1974). The effect of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1(1), 1-22. https://doi.org/10.1016/0304-405X(74)90006-3
  • Brigham, E. F., & Ehrhardt, M. C. (2013). Financial Management. Cengage Learning.
  • Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. The American Economic Review, 74(4), 650-659. Retrieved from http://www.jstor.org/stable/1805130
  • Elton, E., & Gruber, M. (1970). Marginal stockholders' tax rates and the clientele effect. The Review of Economics and Statistics, 52(1), 68-74. https://doi.org/10.1142/9789814335409_0001
  • Fama, E., Jensen, L., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21. https://doi.org/10.2307/2525569
  • Gordon, M. J. (1963). Optimal investment and financing policy. Journal of Finance, 18(2), 264-272. https://doi.org/10.1111/j.1540-6261.1963.tb00722.x
  • Grullon, G., Michaely, R., Bernartzi, S., & Thaler, H. (2002). Are dividend changes a sign of firm maturity. Journal of Business, 75(3), 387-424. https://doi.org/10.1086/339889
  • Grullon, G., Michaely, R., Bernartzi, S., & Thaler, H. (2005). Dividend changes do not signal changes in future profitability. Journal of Business, 78(5), 1659-1682. http://dx.doi.org/10.1086/431438
  • Günalp, B., Kadıoğlu, E. ve 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. Retrieved from http://dergipark.gov.tr/huniibf/issue/29107/311348
  • Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The Economic Review, 76(2), 323-329. Retrieved from http://www.jstor.org/stable/1818789
  • John, K., & Williams, J. (1985). Dividends, dilution and taxes: A signalling equilibrium. Journal of Finance, 40(4), 1053-1070. https://doi.org/10.2307/2328394
  • Karaca, S. S. (2007). Şirketlerin kâr dağıtım politikası ve kâr payı ödeme şekillerinin firma değerine etkisinin analizi ve İstanbul Menkul Kıymetler Borsası'nda bir inceleme (Doktora Tezi). İnönü Üniversitesi Sosyal Bilimler Enstitüsü, Malatya.
  • Lintner, J. (1962). Dividends, earnings, leverage, stock prices, and supply of capital to corporations. Review of Economics and Statistics, 44(3), 243-269. https://doi.org/10.2307/1926397
  • Litzenberger, R., & Ramaswamy, K. (1979). The effects of personal taxes and dividends on capital asset prices: Theory and empirical evidence. Journal of Financial Economics, 7(2), 163-195. https://doi.org/10.1016/0304-405X(79)90012-6
  • Litzenberger, R., & Ramaswamy, K. (1982). The effects of dividends on common stock prices tax effects or information effects?. The Journal of Finance, 37(2), 429-443. http://dx.doi.org/10.2307/2327346
  • Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34(4), 411-433. http://dx.doi.org/10.1086/294442
  • Miller, M. H., & Scholes, M. S. (1982). Dividends and taxes: Some empirical evidence. Journal of Political Economy, 90(6), 1118-1141. http://dx.doi.org/10.1086/261114
  • Miller, M. H., & Rock, K. (1985). Dividend policy under asymmetric information. Journal of Finance, 40(4), 1031-1051. http://dx.doi.org/10.2307/2328393
  • Muradoğlu, G., & Aydoğan, K. (2003). Trends in market reactions: Stock dividends and right offerings at Istanbul Stock Exchange. The European Journal of Finance, 9(1), 41-60. http://dx.doi.org/10.1080/13518470110047611
  • Rozeff, M. S. (1982). Growth, beta and agency costs as determinants of dividend payout ratios. Journal of Financial Research, 5(3), 249-259. https://doi.org/10.1111/j.1475-6803.1982.tb00299.x
  • Yılmaz, A. A., & Selçuk, E. (2010). Information content of dividends: Evidence from Istanbul Stock Exchange. International Business Research, 3(3), 126-132. doi: 10.5539/ibr.v3n3p126
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular İşletme
Bölüm Makaleler
Yazarlar

Ayhan Kırbaş

Yayımlanma Tarihi 11 Eylül 2018
Kabul Tarihi 28 Ağustos 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 3 Sayı: 2

Kaynak Göster

APA Kırbaş, A. (2018). Temettü Duyurularının Hisse Senedi Getirilerine Olan Etkilerinin Analizi. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 3(2), 133-148. https://doi.org/10.30784/epfad.440313