LONG TERM UNDERPERFORMANCE ANOMALY and ITS DTERMINANT FACTORS on SEASONED EQUITY OFFERINGS: EVIDENCE FROM TURKEY

Abstract

Purpose- This study investigates long term underperformance anomaly existence on Seasoned Equity Offerings (seos) conducted in Borsa Istanbul for the 2010 – 2015 period and analyzes its determinant factors.   

Methodology- Raw and abnormal returns were calculated then t statistics were obtained for each type of returns. All returns were compared to market average and peer groups returns. The hypotheses were tested via the comparison t statistics and t values. Regression analysis were used to determine what kind of determinants affect long-term price performance. To find out underperformance anomaly’s determinants regression analysis was used through Panel Dynamic OLS (PDOLS) method. The analysis was also conducted based on year and sector separately.

Findings- Long-term price performance of firms that performed seos during the 2010-2015 period were calculated lower than market average and peer groups and all findings were statistically significant. Same results were obtained when the analysis was conducted on the basis of year and sector.

Conclusion- Long-term underperformance anomaly was confirmed and it has been determined that Leverage Change Ratio, Private Placemet method and Volume variables have a positive effect on long-term price performance while all other variables have a negative effect.

Keywords

• Seasoned equity offering,underperformance,capital increase,abnormal stock returns,price anomalies

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