ANNOUNCEMENT EFFECT ANOMALY AND ITS DETERMINANTS ON SEASONED EQUITY OFFERINGS: EVIDENCE FROM TURKEY

Yıl 2018, Cilt: 5 Sayı: 2, 168 - 183, 13.07.2018

Mustafa Cikrikci Mustafa Ozyesil

https://doi.org/10.17261/Pressacademia.2018.823

Öz

Purpose - This study investigates announcement effect anomaly on Seasoned Equity Offerings (seos) conducted in Borsa Istanbul for the 2010 – 2015 period and analyze its determinants.

Methodology - Event study and regression analysis were used to determine in order to observe abnormal returns in case of announcement performed. For the purpose of comparing results based on announcement was published or not, Paired Sample Statistics test was used. To find out announcement effect anomaly’s determinants regression analysis was used through Panel Dynamic OLS (PDOLS) method.

Findings- Abnormal average returns and abnormal cumulative returns were observed as negative both in case of announcement or not. But negative returns is significantly higher when announcement is made.

Conclusion- Announcement effect anomaly has been confirmed and it has been determined that Leverage Change Ratio, Nominal Capital Increase, CAR (-10,1) variables have positive effect on seos while M/B ratio has negative effect.

Anahtar Kelimeler

Announcement effect, seasoned equity offering, capital increase, abnormal stock returns, price anomalies

Kaynakça

• Ahsan, M. and Alam, N. 2014. Sectoral Decomposition of the Announcement Effect of Rights Offerings: Evidence from Bangladesh. Investment Management and Financial Innovations. 11(4): 254 -267.
• Akdağ, M. 2011. SPSS’de İstatistiksel Analizler.https://cms.inonu.edu.tr /uploads/old/5/1328/spss-testleri.doc. [Erişim Tarihi : 09.08.2017].
• Allen, D.E. and Soucik, V. 2008. Long Run Underperformance of Seasoned Equity Offerings Fact or An Illusion. Journal Mathematics and Computers in Simulation. 78 (3):146 - 154.
• Asquith, P. and Mullins, D. W. 1986. Equity Issues and Offering Dilution. Journal of Financial Economics. (15): 61 - 89.
• Barclay, J. and Litzenberger, H.R. 1988. Announcement Effect of New Equity Issues and The Use of Intraday Price Data. Journal of Financial Economics. 12(1): 71-99.
• Bayless, M. and Chaplinsky, S. 1996. Is There a Window of Opportunity For Seasoned Equity Issuance ?. The Journal of Finance. 51(1): 253 - 278.
• Beninga, S. 2012. Financial Modelling (Third Edition). London: The Mit Press.
• Brown, S.,J. and Warner, J. B. 1985. Using Daily Stock Returns. Journal of Financial Economics. 14(1): 3-31.
• Dubois, M. and P. Jeanneret, 2000. The long-run performance of seasoned equity offerings with rights: evidence from the Swiss market [online]. Available: http://ssrn.com/ abstract=239873
• Dutordoir, M. and Hodrick, L.S. 2012. Stock Returns Around Corporate Security Offering Announcements. Columbia Business School Research Paper. 12(11):1-55.
• Eckbo, B. E. and Masulis, R. W. 1995. Seasoned Equity Offerings: A Survey. Series of Handbooks In Operations Research and Management Science. [online]. Available: http://ssrn.com/abstract=1299872
• Eckbo, B. E., Masulis, R. W. and Norli, Q. 2005. Security Offerings. Handbook of Corporate Finance: Empirical Corporate Finance. [online]. Available: http://ssrn.com/abstract=863664
• Gujarati, D.N. 2004. Basic Econometrics (Fourth Edition). McGraw Hill.
• Jensen, C. M. 1986. Agency Costs of Free Cash Flow, Corporate Finance and Takeovers. American Economic Review. 76(2): 323 – 329.
• Kaya, T. 2012. The Short Term Performance of Initial Public Offerings in Istanbul Stock Exchange: 2010-2011 Application. Journal of Business, Economics and Finance. 1(1): 64-76.
• Masulis, R. W. and Korwar, A. N. 1986. Seasoned Equity Offerings: An Empirical Investigation. Journal of Financial Economics. 15(1/2): 91 – 118.
• Mazgit, İ. 2013. Endeks Kapsamında Olmanın Hisse Senedi Getirilerine Etkisi: BIST Temettü 25 Endeksi Üzerine Bir Uygulama. Sosyoekonomi Dergisi. 20(20): 225-264
• Mikkelson, H. and W. Partch, M. M. 1986. Valuation Effects of Security Offerings and The Issuance Process. The Journal of Financial Economics. 15(1-2): 31-60.
• Miller, H. M. and Rock, K. 1985. Dividend Policy Under Asymmetric Information. The Journal of American Finance Association. 40(4): 1031 – 1051.
• Modigliani, F. and Miller, H. M. 1958. The Cost of Capital, Corporation Finance and The Theory of Investment. American Economic Association. 48(3): 261 -297.
• Myers, S. C. and Majluf, N. S. 1984. Corporate Financing And Investment Decisions When Firms Have Information The Investors Do Not Have. Working Paper. National Bureau of Economic Research.
• Ruutu, K. 2010. Ownership Structure And Choice of Issue Method In Seasoned Equity Offerings. Master Thesis. Helsinki School of Economics Accounting and Finance Department.
• Shahid, H., Xia, X., Mahmood, F. and Usman, M. 2010. Behaviour of Information Asymmetry During SEOs Issue Process: Evidence From China. Asian Journal of Management Research.
• Scholes, M. S. 1972. The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices. The Journal of Business. 45(2): 179 - 211.
• Shen, Y. 2006. Seasoned Equity Offerings : Evidence From P.R. China. Master Thesis. Concordia University, Montreal Canada.
• Wruck, K. 1989. Equity ownership concentration and firm value : Evidence from private equity financings. Journal of Financial Economics. 23(1): 3 – 28.
• Wu, X., Wang, Z and Yao, J. 2005. Understanding the Positive Announcement Effects of the Private Equity Placements: New Insights from Hong Kong Data. Review of Finance. 9(3): 385 – 414.