NAKİT TEMETTÜ DAĞITMA ANOMALİSİ VE BİR YATIRIM STRATEJİSİ

Yıl 2020, Cilt: 7 Sayı: 1, 9 - 21, 30.03.2020

Eyüp Kadıoğlu Faruk Bostancı Nurcan Öcal

https://doi.org/10.17261/Pressacademia.2020.1177

Öz

Amaç-Bu çalışmada, 1997-2018 döneminde Borsa İstanbul’da işlem gören 422 farklı şirket tarafından gerçekleştirilen 2.266 adet nakit temettü dağıtım sürecinde ilan edilen temettüsüz günün 30 gün öncesi ve sonrasındaki hisse senedi getirileri incelenmiştir.
Metodoloji- Analizlerimizde, olay analizi yöntemi, t-30 ile t+30 döneminde açılan olay pencereleri için uygulanmış olup, anormal getirileri bulmak amacıyla uyarlanmış piyasa modelinden faydalanılmıştır.
Bulgular-Anormal getirinin temettüsüz gün öncesindeki 22’nci günden başlayarak önemli ölçüde arttığı, artışın temettüsüz günün sonuna kadar devam ettiği ve izleyen günlerde de negatif anormal getirinin oluştuğu bulunmuştur.
Sonuç- Çalışmamızdaki bulguların, birbirinden bağımsız iki aşamalı yatırım stratejisi olarak kullanılabileceği sonucuna ulaşılmıştır. Hisse başına %100 oranından daha fazla temettü dağıtacağını açıklayan şirket hisselerinin, ilk aşamada temettüsüz gününün 12 gün öncesinde satın alınması ve temettüsüz günün sonunda satılması durumunda, hisseye verilen nakit kâr payına ek olarak 13 günde ortalama %2,96 anormal getiri elde edildiği ve ikinci aşamada temettüsüz günün sonunda aynı hisse senedinin açığa satılması ve 7 gün sonra geri satın alınması durumunda 7 günde ortalama %1,51 anormal getiri elde edildiği hesaplanmıştır. Dolayısıyla, nakit temettü dağıtım sürecindeki anomaliden yararlanarak hisse başına %100’ün üzerinde nakit temettüye ek olarak 20 günde ortalama %4,47 oranında piyasa endeks getirisinin üzerinde getiri sağlanabilmektedir.

Anahtar Kelimeler

Temettü, temettüsüz dönem etkisi, fiyat anomalisi, piyasa mikro yapısı, yatırım stratejisi

CASH DIVIDEND EX-DAY ANOMALY AND AN INVESTMENT STRATEGY

Öz

Purpose - This study examines the effect of ex-day of cash dividend on stock returns using data of 2.266 cash dividends of 422 listed companies from Borsa Istanbul for the period 1997-2018.
Methodology - The event study analysis applied for the event windows opened from the t-30 to t+30, and the market-adjusted model was used to calculate abnormal returns.
Findings- It is found that there are positive abnormal returns before ex-day, as prices significantly start to rise at least 22 days before cash dividend ex-day and reach to the its’ highest level on the ex-day and then decrease in the following days.
Conclusion- Based on our findings, it is found that price anomaly caused by ex-day of cash dividend can be used as a two-step mutually exclusive investment strategy. In the first step, buying firms’ shares which are decided to distribute dividend per share more than %100, twelve days before ex-day and selling them at the end of ex-dividend day provides on average 2.96% abnormal return addition to cash dividend over the 13 days, in the second step, short selling the same stocks at the end of ex-day and buying back them on seven days after ex-dividend day provides on average 1.51% abnormal return over 7 days. Using these investment strategies, it is possible to get 4.47% return over market index return in addition to 100% cash dividend per share over the period of 20 days by utilising ex-dividend day anomaly.

Anahtar Kelimeler

Cash dividend, ex dividend day effect, price anomaly, market micro structure, investment strategy

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