NAKİT TEMETTÜ BİLGİSİNİN HİSSE SENEDİ GETİRİSİ ÜZERİNDE ÖNEMLİ BİR ETKİSİ OLUP OLMADIĞININ İMKB’DE TEST EDİLMESİ

Yıl 2010, Cilt: 28 Sayı: 2, 47 - 69, 31.12.2010

Burak Günalp , Eyüp Kadıoğlu , Saim Kılıç

Öz

Çalışmada Türkiye sermaye piyasasında nakit
temettü bilgisinin hisse senedi getirisi üzerinde önemli bir etkisi olup
olmadığı, açıklama etkisi aracılığıyla ve 2003-2007 yılları arasındaki beş
yıllık dönemde İstanbul Menkul Kıymetler Borsası’nda işlem gören 83 şirketin
321 adet nakit temettü açıklaması ile ilgili fiyat verileri kullanılarak regresyon
yöntemiyle test edilmiştir. Elde edilen bulgular çerçevesinde üç önemli sonuca
ulaşılmıştır. Birincisi, nakit temettünün açıklanması sonrasında hisse başına
nakit temettü oranı ile kümülatif normalüstü getiri arasında istatistiksel
olarak anlamlı negatif bir ilişki vardır. Hisse başına yüksek nakit temettü
açıklayan hissenin normalüstü değer kaybı, hisse başına düşük nakit temettü
açıklayan hissenin fiyatına göre daha fazladır. Dolayısıyla, nakit temettü
fiyatı etkileyebilecek önemli bir bilgidir. İkinci olarak, fiyatın bilgiye
uyarlanma süreci açıklamanın yapıldığı gün başlamakta ve en az 15 gün devam
etmektedir. Nakit temettü açıklanmasından sonra en güçlü etki ilk üç günde
olmaktadır. Son olarak, nakit temettü açıklaması öncesinde anlamlı bir fiyat
hareketinin olmaması nedeniyle, fiyatı etkileyebilecek ve önemli bir bilgi olan
nakit temettü kararının şirket içinden piyasaya sızmadığı sonucuna varılması
mümkündür.

Anahtar Kelimeler

Nakit temettü, açıklama etkisi, temettünün bilgi içeriği, Sinyalleme Teorisi, İMKB

Kaynakça

• Aharony, J. and I. Swary (1980) “Quarterly Dividend and Earnings Announcements and Stockholders’ Returns: An Empirical Analysis”, Journal of Finance, 35, 1-12.
• Akhigbe, A. and J. Madura (1996) “Dividend Policy and Corporate Performance”, Journal of Business Finance and Accounting, 23, 1267–1287.
• Ang, J.S. (1975) “Dividend Policy: Informational Content or Partial Adjustment”, Review of Economics and Statistics, 57, 65–70.
• Armitage, S. (1995) “Event Study Methods and Evidence on Their Performance”, Journal of Economic Surveys, 8(4), 25-52.
• Asquith, P. and D.W. Mullins (1983) “The Impact of Initiating Dividend Payments on Shareholders’ Wealth”, Journal of Business, 56, 77-96.
• Asquith, P., and D.W. Mullins (1986) “Signalling with Dividends, Stock Repurchases, and Equity Issues”, Financial Management, 15, 27-44.
• Aydoğan, K., and Muradoğlu, G. (1998) “Do Markets Learn from Experience? Price Reaction to Stock Dividends in the Turkish Market”, Applied Financial Economics, 8, 41–49.
• Batchelor, R. and I. Orakçıoğlu (2003) “Event-Related GARCH: The Impact of Stock Dividends in Turkey”, Applied Financial Economics, 13(4), 295–307.
• Bernartzi, S., R. Michaely and R. Thaler (1997) “Do Changes in Dividends Signal the Future or the Past”, Journal of Finance, 52, 1007-1030.
• Bhattacharya, S. (1979) “Imperfect Information, Dividend Policy, and the ‘Bird in the Hand’ Fallacy”, Bell Journal of Economics, 10, 259-270.
• Black, F. (1976) “The Dividend Puzzle”, Journal of Portfolio Management, 2, 72–77.
• Black, F. and M.S. Scholes (1974) “The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns”, Journal of Financial Economics, 1, 1–22. Brennan, M.J. (1970) “Taxes, Market Valuation and Financial Policy”, National Tax Journal, 23, 417– 429.
• Brown, S.J. and J.B. Warner (1980) “Measuring Security Price Performance”, Journal of Financial Economics, 8, 205-258.
• Charest, G. (1978) “Dividend Information, Stock Returns and Market Efficiency”, Journal of Financial Economics, 6, 297–330.
• DeAngelo, H., and L. DeAngelo (1990) “Dividend Policy and Financial Distress: An Empirical Investigation of Troubled NYSE Firms”, Journal of Finance, 55, 1415-1431.
• DeAngelo, H., and L. DeAngelo (2000) “Controlling Stockholders and the Disciplinary Role of Corporate Payout Policy: A Study of the Times Mirror Company”, Journal of Financial Economics, 56, 153-207.
• DeAngelo, H., L DeAngelo and D. Skinner (1992) “Dividends and Losses”, Journal of Finance, 47, 1837-1863.
• DeAngelo, H., L. DeAngelo and D. Skinner (1996) “Reverse of Fortune: Dividend Signalling and the Disappearance of Sustained Earnings Growth”, Journal of Financial Economics, 40, 341-371.
• Dennis, D., D. Dennis and A. Sarin (1994) ”The Information Content of Dividend Changes: Cash Flow Signalling, Overinvestment, and Dividend Clienteles” Journal of Financial and Quantitative Analysis, 29, 557-587.
• Dennis, D. and J. McConnell (1986) “Corporate Mergers and Security Returns”, Journal of Financial Economics, 16, 143-187.
• Eckbo, B.E. and S. Verma (1994) “Managerial Share Ownership, Voting Power, and Cash Dividend Policy”, Journal of Corporate Finance, 1, 33–62.
• Easterbrook, F.H. (1984) “Two Agency-Cost Explanations of Dividends”, American Economic Review, 74(4), 650–659.
• Fama, E.F. and H. Babiak (1968) “Dividend Policy: An Empirical Analysis”, Journal of the American Statistical Association, 63, 1132-1161.
• Fama, E.F., L. Jensen and R. Roll (1969) “The Adjustment of Stock Prices to New Information”, International Economic Review, 10, 1-21.
• Fama, E.F. and K.R. French (2000) “Forecasting Profitability and Earnings”, International of Business, 73, 161-175.
• Gonedes, N.J. (1978) “Corporate Signalling, External Accounting, and Capital Market Equilibrium: Evidence on Dividends, Income, and Extraordinary Items”, Journal of Accounting Research, 16, 26–79.
• Gordon, M.J. (1963) “Optimal Investment and Financing Policy”, Journal of Finance, 18, 264-272.
• Gregory, A., J. Matatko, and I. Tonks (1997) “Detecting Information from Directors’ Trades: Signal Definition and Variable Size Effects”, Journal of Business Finance and Accounting, 24(3/4), 309-342. Grullon, G., R. Michaely, S. Bernartzi and H.R. Thaler (2005) “Dividend Changes Do Not Signal Changes in Future Profitability”, Journal of Business, 78, 1659-1682.
• Grullon, G., R. Michaely, and B. Swaminathan (2002) “Are Dividend Changes a Sign of Firm Maturity?”, Journal of Business, 75, 387–424.
• Healy, P. and K. Palepu (1988) “Earnings Information Conveyed By Dividend Initiations and Omissions”, Journal of Financial Economics, 21, 149-175.
• Hillier, D. and A.P. Marshall (2002) “Are Trading Bans Effective? Exchange Regulation and Corporate Insider Trading”, Journal of Corporate Finance, 8, 393-410.
• Jensen, G. (1986) “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”, American Economic Review, 76, 323-329.
• Jensen, G. and J. Johnson (1995) “The Dynamics of Dividend Reductions”, Financial Management, 24, 31-51.
• Jensen, M. and W. Meckling (1976) “Theory of The Firm: Managerial Behaviour, Agency Costs, and Ownership Structure”, Journal of Financial Economics, 3, 305-360.
• John, K. and J. Williams (1985) “Dividends, Dilution, and Taxes: A Signalling Equilibrium”, Journal of Finance, 40, 1053–1070.
• Kalay, A., and U. Loewenstein (1985) “Predictable Events and Excess Returns: The Case of Dividend Announcements” Journal of Financial Economics, 14, 423–449.
• La Porta, R., F. Lopez-De-Silanes, A. Shleifer and R. Vishny (2000) “Agency Problems and Dividend Policies Around the World”, Journal of Finance, 55, 1-33.
• Laub, P.M. (1976) “On the Informational Content of Dividends”, Journal of Business, 49, 73–80.
• Liljeblom. E. (1989) “The Informational Impact of Announcements of Stock Dividends and Stock Splits”, Journal of Business Finance and Accounting, 16, 681-97.
• Lintner, J. (1956) “Distribution of Incomes of Corporations Among Dividends, Retained Earnings and Taxes”, American Economic Review, 5, 97-113.
• Lintner, J. (1962) “Dividends, Earnings, Leverage, Stock Prices, and the Supply of Capital to Corporations”, Review of Economics and Statistics, 44, 243-269.
• Litzenberger, R.H., K. Ramaswamy (1982) “The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects”, Journal of Finance, 37, 429–443.
• Marsh, P. (1979) “Equity Rights Issues and the Efficiency of the UK Stock Market”, Journal of Finance, 34, 839-863.
• Martikainen, T., T. Rothovlus and P. Yli-Olli (1993) “On the Individual and Incremental Information Content of Accrual Earnings, Cash Flows and Cash Dividends in the Finnish Stock Market”, European Journal of Operational Research, 68, 318-333.
• Masulis, R.W. (1980) “The Effects of Capital Structure Changes on Security Prices: A Study of Exchange Offers”, Journal of Financial Economics, 8, 139-178.
• Miller, M. and F. Modigliani (1961) “Dividend Policy, Growth, and the Valuation of Shares”, Journal of Business, 4, 411-433.
• Miller, M.H. and K. Rock (1985) “Dividend Policy Under Asymmetric Information”, Journal of Finance, 40, 1031-1051.
• Miller, M. and M.S. Scholes (1982) “Dividends and Taxes: Some Empirical Evidence”, Journal of Political Economy, 90, 1118-1141.
• Muradoğlu, G. and K. Aydoğan (2003) “Trends in Market Reactions: Stock Dividends and Rights Offerings at Istanbul Stock Exchange”, European Journal of Finance, 9, 41-60.
• Ofer, A. R. and D.R. Siegel (1987) ”Corporate Financial Policy, Information, and Market Expectations: An Empirical Investigation of Dividends”, Journal of Finance, 42, 889–911.
• Penman, S. (1984) “Abnormal Returns to Investment Strategies Based on the Timing of Earnings Reports”, Journal of Accounting and Economics, 6, 165-184.
• Pettit, R. (1972) “Dividend Announcements, Security Performance, and Capital Market Efficiency”, Journal of Finance, 5, 993-1007.
• Pettit, R.R. (1976) “The Impact of Dividend and Earnings Announcements: Reconciliation”, Journal of Business, 49, 86–96.
• Rozeff, M.S. (1982) “Growth, Beta, and Agency Costs as Determinants of Dividend Payout Ratios'”, Journal of Financial Research, 5, 249-259.
• Short, H., H. Zhang and K. Keasey (2002) “The Link Between Dividend Policy and Institutional Ownership”, Journal of Corporate Finance, 8, 105-122.
• Sivakumar, K. and G. Waymire (1994) “Insider Trading Following Material News Events: Evidence from Earnings”, Financial Management, 23, 23–32.
• Travlos, N., L. Trigeorgis and N. Vafeas (2001) “Shareholder Wealth Effects of Dividend Policy Changes in an Emerging Stock Market: The Case of Cyprus”, Multinational Finance Journal, 5(2), 87-112.
• Venkatesh, P.C. (1989) “The Impact of Dividend Initiation on the Information Content of Earnings Announcements and Returns Volatility”, Journal of Business, 62, 175–197.
• Watts, R. (1973) “The Information Content of Dividends”, Journal of Business, 46, 191–211.
• Woolridge, J.R. (1982) “The Information Content of Dividend Changes”, Journal of Financial Research, 5, 237–247.
• Woolridge, J.R. (1983) “Dividend Changes and Security Prices”, Journal of Finance, 38, 1607–1615.