Kâr Payı Dağıtım Duyurularının Hisse Fiyatlarına Etkisi: Borsa İstanbul Örneği

Öz

Bu çalışmada ilk olarak Türkiye hisse senedi piyasasında yapılan nakit kâr payı dağıtım duyurularının hisse senedi getirileri üzerinde etkisinin olup olmadığı araştırılmaktadır. Veri seti, 2010-2019 yılları arasında Borsa İstanbul 100 Endeksi'nde yer alan şirketler olarak belirlenmiştir. Duyuru etkisini ortaya çıkarmak için olay çalışması analizi uygulanmıştır. Olay çalışması analizi, artan nakit kâr payı duyurularının normalüstü getiriler üzerinde anlamlı ve pozitif etkiye sahip olduğunu, azalan ve değişmeyen kâr payı duyurularının ise anlamlı ve negatif etkiye sahip olduğunu göstermektedir. İkinci olarak, nakit kâr payı dağıtım duyuruları hisse senedi fiyatlarında normalüstü getirilere neden oluyor ise, normalüstü getirileri etkileyen faktörler yatay kesit regresyon analizi kullanılarak araştırılmıştır. Kâr payı ödemesindeki yüzde değişim, kâr payı duyurusu anındaki kâr payı verimi, piyasa değeri defter değeri oranı, şirket büyüklüğü ve aktif kârlılık oranı değişkenlerinin normalüstü getiriler üzerinde açıklayıcı güçleri olup olmadığı test edilmiştir. Sonuçlar, piyasa değeri/defter oranı ve aktif kârlılık oranı değişkenlerinin azalan nakit kâr payı duyuruları için normalüstü getirileri etkilediğini, ayrıca kâr payı ödemesindeki yüzde değişim, kâr payı verimi, şirket büyüklüğü ve aktif kârlılık oranı değişkenlerinin de nakit kâr payı artış duyuruları için normalüstü getirileri etkilediğini ortaya koymaktadır. Azalan, artan ve değişmeyen nakit kâr payı duyurularının dikkate alındığı tüm nakit kâr payı duyurularında da kâr payı verimi ve aktif kârlılık oranı değişkenlerinin normalüstü getirileri etkilediği tespit edilmiştir.

Anahtar Kelimeler

• Borsa İstanbul
• Kâr Payı Dağıtımı
• Duyuru Etkisi
• Etkin Piyasalar Hipotezi
• Normalüstü Getiriler

The Effect of Dividend Distribution Announcements on Stock Prices: Evidence from Borsa Istanbul

Öz

This paper investigates firstly whether cash dividend distribution announcements in Turkish stock market have any effect on the stock returns or not. Data set is determined as companies listed in the Borsa İstanbul 100 Index between 2010 and 2019. To reveal the announcement effect, event study analysis is applied. Event study analysis shows that increasing dividend announcements have a significant positive impact on abnormal returns while decreasing and constant dividend announcements have a significant negative impact. Secondly, if the announcements of cash dividend distributions result in abnormal returns on the stock prices, the variables driving the abnormal returns are examined using cross-sectional regression analysis. Percentage change in dividend payment, dividend yield at the time of dividend change announcement, market value to book value ratio, company size, and return on asset ratio variables are tested whether they have explanatory power on abnormal returns or not. The results indicate that price to book ratio and return on asset ratio variables affect abnormal returns for cash dividend decrease announcements while dividend change, dividend yield, size and return on asset variables affect abnormal returns for cash dividend increase announcements. In all cash dividend announcements where cash dividend decrease, increase and no change announcements are considered, dividend yield and return on asset variables have an effect on abnormal returns.

Anahtar Kelimeler

• Borsa Istanbul
• Dividend Distribution
• Announcement Effect
• Efficient Markets Hypothesis
• Abnormal Returns.

Kaynakça

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