Araştırma Makalesi
PDF BibTex RIS Kaynak Göster

Kâr Payı Dağıtım Duyurularının Hisse Fiyatlarına Etkisi: Borsa İstanbul Örneği

Yıl 2022, Cilt: 18 Sayı: 2, 185 - 197, 30.12.2022

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.

Kaynakça

  • Aharony, J., Falk, H., & Swary, I. (1988). Information Content of Dividend Increases: the Case of Regulated Utilities. Journal of Business Finance & Accounting, 401-414.
  • Ahmed, H., & Javid, A. Y. (2009). The Determinants of Dividend Policy in Pakistan. International Research Journal of Finance and Economics, 29, 110-125.
  • Altıok-Yılmaz, A., & Akben-Selçuk, E. (2010). Information Content of Dividends: Evidence from Istanbul Stock Exchange. International Business, 3(3), 126-132.
  • Amidu, M., & Abor, J. (2006). Determinants of Dividend Payout Announcements in Ghana. The Journal of Risk Finance, 7(2), 136-145.
  • Bajaj, M., & Vijh, A. M. (1990). Dividend Clienteles and the Information Content of Dividend Changes. Journal of Financial Economics, 26(2), 193-219.
  • Bhattacharya, S. (1979). Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy. The Bell Journal of Economics, 10(1), 259-270.
  • Bozos, K., Nikolopoulos, K., & Ghanamaruthy, R. (2011). Dividend Signaling under Economic Adversity: Evidence from the London Stock Exchange. International Review of Financial Analysis, 20(5), 364-374.
  • Brown, S. J., & Warner, J. B. (1985). Using Daily Stock Returns: The Case of Event Studies. Journal of Financial Economics, 14(1), 3-31.
  • Chen, D.-H., Nieh, C.-C., Chen, C.-D., & Tang, W.-W. (2007). The Announcement Effect of Cash Dividend Changes on Share Prices: An Empirical Analysis of China. The Chinese Economy, 42(1), 62-85.
  • Daniels, K., Shin, T., & Lee, C. (1997). The Information Content of Dividend Hypothesis: A Permanent Income Approach. International Review of Economics & Finance, 6(1), 77-86.
  • Dasilas, A. (2009). Stock Market Reaction to Dividend Announcements: Evidence from the Greek Stock Market. International Review of Economics & Finance, 20(2), 302-311.
  • Dasilas, A., & Leventis, S. (2011). Stock Market Reaction to Dividend Announcements: Evidence from the Greek Stock Market. International Review of Economics & Finance, 20(2), 302-311.
  • DeAngelo, H., DeAngelo, L., & Stulz, R. M. (2006). Dividend Policy and the Earned/Contributed Capital Mix: A Test of the Lifecycle Theory. Journal of Financial Economics, 81(2), 227-254.
  • Divecha, A., & Morse, D. (1983). Market Responses to Dividend Increases and Changes in Payout Ratios. Journal of Financial and Quantitative Analysis, 18(2), 163-173.
  • Eddy, A., & Seifert, B. (1992). Stock Price Reactions to Dividend and Earnings Announcements: Contemporaneous Versus Noncontemporaneous Announcements. Journal of Financial Research, 15(3), 207-217.
  • Fama, E. F., & French, K. R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60(1), 3-43.
  • Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review(10), 1-21.
  • Gaver, J., & Gaver, K. (1993). Additional Evidence on the Association between the Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies. Journal of Accounting and Economics, 16(1-3), 125-160.
  • Gill, A., Biger, N., & Tibrewala, R. (2010). Determinants of Dividend Payout Ratios: Evidence from United States. The Open Business Journal(3), 8-14.
  • Gordon, M. J. (1959). Dividends, Earnings, and Stock Prices. The Review of Economics and Statistics, 41(2), 99-105.
  • Günalp, B., Kadıoğlu, E., & Kılıç, S. (2010). The Announcement Effect of Cash Dividend on Share Prices and the Tax Clientele Effect: Evidence from Turkish Capital Markets. Euroconference 2011: Crises and Recovery, (pp. 1-28). İzmir.
  • Hatem, B. (2015). What Determines Cumulative Abnormal Returns? An Empirical Validation in the French Market. International Business Research, 8(12), 89-95.
  • Hussin, B. M., Abdullahi, D. A., & Ying, T. C. (2010). Semi-Strong Form Efficiency: Market Reaction to Dividend and Earnings Announcements in Malaysian Stock Exchange. IUP Journal of Applied Finance, 16(5), 36-60.
  • John, K., & Joseph, W. (1985). Dividends, Dilution, and Taxes: A Signalling Equilibrium. The Journal of Finance, 40(4), 1053-1070.
  • Kadıoğlu, E., Telçeken, N., & Ocal, N. (2015). Market Reaction to Dividend Announcement: Evidence from Turkish Stock Market. International Business Research, 8(9), 83-94.
  • Kurniasih, A., Siregar, H., Sembel, R., & Achsani, N. (2011). Market Reaction to the Cash Dividend Announcement: An Empirical Study from the Indonesia Stock Exchange 2004-2009. European Journal of Economics Finance and Administrative Science, 40, 92-100.
  • Lee, B.-S., & Yan, N. A. (2003). The Market’s Differential Reactions to Forward-Looking and Backward-Looking Dividend Changes. Journal of Financial Research, 26, 449-468.
  • Lintner, J. (1956). Distribution of Incomes of Corporations Among Dividends, Retained Earnings and Taxes. American Economic Review, 46, 97-113.
  • MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35, 13-39.
  • Miller, M. H., & Modiglian, F. (1961). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34(4), 411-433.
  • Miller, M. H., & Rock, K. (1985). Dividend Policy under Asymmetric Information. 40(4), 1030-1051.
  • Mozes, H., & Rapaccioli, D. (1995). The Relation Among Dividend Policy, Firm Size, and the Information Content of Earnings Announcements. Journal of Financial Research, 18(1), 75-88.
  • Naceur, S. B., Mohamed, G., & Amel, B. (2006). On the Determinants and Dynamics of Dividend Policy. International Review of Finance, 6(1-2), 1-23.
  • Newey, W. K., & West, K. D. (1987). Hypothesis Testing with Efficient Method of Moments Estimation. International Economic Review, 28(3), 777-787.
  • Nissim, D., & Ziv, A. (2001). Dividend Changes and Future Profitability. The Journal of Finance, 56(6), 2111-2133.
  • Pettit, R. R. (1972). Dividend Announcements, Security Performance, and Capital Market Efficiency. The Journal of Finance, 27(5), 993-1007.
  • Smith, C. W., & Watts, R. L. (1992). The Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies. 32(3), 263-292.
  • Walter, J. E. (1956). Dividend Policies and Common Stock Prices. The Journal of Finance, 11(1), 29-41.
  • Wansley, J. W., Simans, C. F., James, D. S., & Young-Jin, L. (1991). Dividend Change Announcement Effects and Earnings Volatility and Timing. Journal of Financial Researc, 33-49.
  • Woolridge, J. R. (1982). The Information Content of Dividend Changes. Journal of Financial Research, 5(3), 237-247.
  • Yıldız, B., Gökbulut, R. İ., & Korkmaz, T. (2014). Firmalarda Temettü Politikalarını Etkileyen Unsurlar: BİST Sanayi İşletmeleri Üzerine Bir Panel Veri Uygulaması. Ekonomik ve Sosyal Araştırmalar Dergisi, 10(1), 185-206.

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

Yıl 2022, Cilt: 18 Sayı: 2, 185 - 197, 30.12.2022

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.

Kaynakça

  • Aharony, J., Falk, H., & Swary, I. (1988). Information Content of Dividend Increases: the Case of Regulated Utilities. Journal of Business Finance & Accounting, 401-414.
  • Ahmed, H., & Javid, A. Y. (2009). The Determinants of Dividend Policy in Pakistan. International Research Journal of Finance and Economics, 29, 110-125.
  • Altıok-Yılmaz, A., & Akben-Selçuk, E. (2010). Information Content of Dividends: Evidence from Istanbul Stock Exchange. International Business, 3(3), 126-132.
  • Amidu, M., & Abor, J. (2006). Determinants of Dividend Payout Announcements in Ghana. The Journal of Risk Finance, 7(2), 136-145.
  • Bajaj, M., & Vijh, A. M. (1990). Dividend Clienteles and the Information Content of Dividend Changes. Journal of Financial Economics, 26(2), 193-219.
  • Bhattacharya, S. (1979). Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy. The Bell Journal of Economics, 10(1), 259-270.
  • Bozos, K., Nikolopoulos, K., & Ghanamaruthy, R. (2011). Dividend Signaling under Economic Adversity: Evidence from the London Stock Exchange. International Review of Financial Analysis, 20(5), 364-374.
  • Brown, S. J., & Warner, J. B. (1985). Using Daily Stock Returns: The Case of Event Studies. Journal of Financial Economics, 14(1), 3-31.
  • Chen, D.-H., Nieh, C.-C., Chen, C.-D., & Tang, W.-W. (2007). The Announcement Effect of Cash Dividend Changes on Share Prices: An Empirical Analysis of China. The Chinese Economy, 42(1), 62-85.
  • Daniels, K., Shin, T., & Lee, C. (1997). The Information Content of Dividend Hypothesis: A Permanent Income Approach. International Review of Economics & Finance, 6(1), 77-86.
  • Dasilas, A. (2009). Stock Market Reaction to Dividend Announcements: Evidence from the Greek Stock Market. International Review of Economics & Finance, 20(2), 302-311.
  • Dasilas, A., & Leventis, S. (2011). Stock Market Reaction to Dividend Announcements: Evidence from the Greek Stock Market. International Review of Economics & Finance, 20(2), 302-311.
  • DeAngelo, H., DeAngelo, L., & Stulz, R. M. (2006). Dividend Policy and the Earned/Contributed Capital Mix: A Test of the Lifecycle Theory. Journal of Financial Economics, 81(2), 227-254.
  • Divecha, A., & Morse, D. (1983). Market Responses to Dividend Increases and Changes in Payout Ratios. Journal of Financial and Quantitative Analysis, 18(2), 163-173.
  • Eddy, A., & Seifert, B. (1992). Stock Price Reactions to Dividend and Earnings Announcements: Contemporaneous Versus Noncontemporaneous Announcements. Journal of Financial Research, 15(3), 207-217.
  • Fama, E. F., & French, K. R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60(1), 3-43.
  • Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review(10), 1-21.
  • Gaver, J., & Gaver, K. (1993). Additional Evidence on the Association between the Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies. Journal of Accounting and Economics, 16(1-3), 125-160.
  • Gill, A., Biger, N., & Tibrewala, R. (2010). Determinants of Dividend Payout Ratios: Evidence from United States. The Open Business Journal(3), 8-14.
  • Gordon, M. J. (1959). Dividends, Earnings, and Stock Prices. The Review of Economics and Statistics, 41(2), 99-105.
  • Günalp, B., Kadıoğlu, E., & Kılıç, S. (2010). The Announcement Effect of Cash Dividend on Share Prices and the Tax Clientele Effect: Evidence from Turkish Capital Markets. Euroconference 2011: Crises and Recovery, (pp. 1-28). İzmir.
  • Hatem, B. (2015). What Determines Cumulative Abnormal Returns? An Empirical Validation in the French Market. International Business Research, 8(12), 89-95.
  • Hussin, B. M., Abdullahi, D. A., & Ying, T. C. (2010). Semi-Strong Form Efficiency: Market Reaction to Dividend and Earnings Announcements in Malaysian Stock Exchange. IUP Journal of Applied Finance, 16(5), 36-60.
  • John, K., & Joseph, W. (1985). Dividends, Dilution, and Taxes: A Signalling Equilibrium. The Journal of Finance, 40(4), 1053-1070.
  • Kadıoğlu, E., Telçeken, N., & Ocal, N. (2015). Market Reaction to Dividend Announcement: Evidence from Turkish Stock Market. International Business Research, 8(9), 83-94.
  • Kurniasih, A., Siregar, H., Sembel, R., & Achsani, N. (2011). Market Reaction to the Cash Dividend Announcement: An Empirical Study from the Indonesia Stock Exchange 2004-2009. European Journal of Economics Finance and Administrative Science, 40, 92-100.
  • Lee, B.-S., & Yan, N. A. (2003). The Market’s Differential Reactions to Forward-Looking and Backward-Looking Dividend Changes. Journal of Financial Research, 26, 449-468.
  • Lintner, J. (1956). Distribution of Incomes of Corporations Among Dividends, Retained Earnings and Taxes. American Economic Review, 46, 97-113.
  • MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35, 13-39.
  • Miller, M. H., & Modiglian, F. (1961). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34(4), 411-433.
  • Miller, M. H., & Rock, K. (1985). Dividend Policy under Asymmetric Information. 40(4), 1030-1051.
  • Mozes, H., & Rapaccioli, D. (1995). The Relation Among Dividend Policy, Firm Size, and the Information Content of Earnings Announcements. Journal of Financial Research, 18(1), 75-88.
  • Naceur, S. B., Mohamed, G., & Amel, B. (2006). On the Determinants and Dynamics of Dividend Policy. International Review of Finance, 6(1-2), 1-23.
  • Newey, W. K., & West, K. D. (1987). Hypothesis Testing with Efficient Method of Moments Estimation. International Economic Review, 28(3), 777-787.
  • Nissim, D., & Ziv, A. (2001). Dividend Changes and Future Profitability. The Journal of Finance, 56(6), 2111-2133.
  • Pettit, R. R. (1972). Dividend Announcements, Security Performance, and Capital Market Efficiency. The Journal of Finance, 27(5), 993-1007.
  • Smith, C. W., & Watts, R. L. (1992). The Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies. 32(3), 263-292.
  • Walter, J. E. (1956). Dividend Policies and Common Stock Prices. The Journal of Finance, 11(1), 29-41.
  • Wansley, J. W., Simans, C. F., James, D. S., & Young-Jin, L. (1991). Dividend Change Announcement Effects and Earnings Volatility and Timing. Journal of Financial Researc, 33-49.
  • Woolridge, J. R. (1982). The Information Content of Dividend Changes. Journal of Financial Research, 5(3), 237-247.
  • Yıldız, B., Gökbulut, R. İ., & Korkmaz, T. (2014). Firmalarda Temettü Politikalarını Etkileyen Unsurlar: BİST Sanayi İşletmeleri Üzerine Bir Panel Veri Uygulaması. Ekonomik ve Sosyal Araştırmalar Dergisi, 10(1), 185-206.

Ayrıntılar

Birincil Dil İngilizce
Konular İşletme
Bölüm Makaleler
Yazarlar

Mehmet YOLCU
ZONGULDAK BÜLENT ECEVİT ÜNİVERSİTESİ
0000-0002-8604-3436
Türkiye


Feride ÖZTÜRK
ZONGULDAK BÜLENT ECEVİT ÜNİVERSİTESİ
0000-0003-2159-7531
Türkiye

Yayımlanma Tarihi 30 Aralık 2022
Kabul Tarihi 5 Aralık 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 18 Sayı: 2

Kaynak Göster

APA
YOLCU, M., & ÖZTÜRK, F. (2022). The Effect of Dividend Distribution Announcements on Stock Prices: Evidence from Borsa Istanbul. Ekonomik Ve Sosyal Araştırmalar Dergisi, 18(2), 185-197.

İletişim Adresi: Bolu Abant İzzet Baysal Üniversitesi İktisadi ve İdari Bilimler Fakültesi Ekonomik ve Sosyal Araştırmalar Dergisi 14030 Gölköy-BOLU

Tel: 0 374 254 10 00 / 14 86 Faks: 0 374 253 45 21 E-posta: iibfdergi@ibu.edu.tr

ISSN (Basılı) : 1306-2174 ISSN (Elektronik) : 1306-3553