Temettü Veriminin BIST Hisse Senedi Fiyatlarını Tahmin Gücünün Nedensellik Testleriyle Analizi

Yıl 2022, Cilt: 11 Sayı: 3, 1419 - 1442, 30.09.2022

Mevlüt Camgöz

https://doi.org/10.15869/itobiad.1110269

Cited By: 2

Öz

Bu çalışmada Campbell ve Shiller (1988a) modelinden hareketle, temettü veriminin BIST hisse senedi fiyatlarını tahmin gücü incelenmektedir. Araştırmada, temettü veriminin hisse senedi fiyatlarını tahmin etmede başarılı bir faktör olup olmadığı test edilecektir. Çalışma, teorisyenler, yatırımcılar ve politika yapıcılar açısından önemli çıkarımlara sahiptir. Öncelikle, kâr payı ödemelerinin firma değerine etkisinin ortaya koyulmuş olması, yöneticiler açısından temettü dağıtım politikalarının oluşturulmasında belirleyici olacaktır. Ayrıca, temettü veriminin tahmin gücünün ortaya koyulması durumunda, yatırımcılar ve portföy yöneticileri, bugünkü değer (present value) yaklaşımını kullanarak belirli bir hisse senedinin yüksek veya düşük değerlenmiş olduğunu tespit edebilirler. Temettü ödemelerinin piyasa dinamiklerine olan etkilerinin bilinmesi, düzenleyici otoritelerin politika kararlarında da yol gösterici olacaktır. Araştırma metodolojisi olarak Toda-Yamamoto (1995) ve Hatemi-J (2012) asimetrik bootstrap nedensellik testleri benimsenmiştir. Araştırmada, Aralık 2011–Kasım 2021 tarihlerinde BIST 100 endeksinde devamlılık gösteren ve kesintisiz olarak temettü ödeyen hisse senetlerine ait temettü verimi ve ay sonu kapanış fiyatı serileri kullanılmıştır. Toda-Yamamoto nedensellik testi bulgularına göre AGHOL, BIMAS, EGEEN, INDES, SARKY, SELEC ve TOASO hisse senetlerinde temettü veriminden hisse senedi fiyatlarına doğru nedensellik ilişkisi tespit edilmiştir. Hatemi-J (2012) asimetrik bootstrap nedensellik testi, Toda-Yamamoto testine nazaran daha az sayıda nedensellik ilişkisine işaret etmektedir. İncelenen çoğu hisse senedinde temettü verimi ve fiyat değişkenlerinin pozitif ya da negatif bileşenleri arasında nedensellik ilişkisi saptanmamıştır. Temettü veriminin tahmin gücüyle ilgili karışık bulgulara ulaşılmasının arka planında, incelenen değişkenlerde yapısal kırılmaların görülmesi, temettü veriminin tahmin gücünün zamanla değişen bir yapıda olması, piyasa şartlarına bağlı olarak tahmin gücünün zayıflaması, temettü verimi ve fiyat arasındaki ilişkinin nonlineer yapıda gerçekleşebilmesi, hisse senedi bazında yapılan sınamaların endeks bazında yapılan sınamalara nazaran dezavantajlı olması, aylık frekanstaki gözlemlerden ziyade yıllık frekanstaki gözlemlerin kullanılması durumunda, temettü veriminin tahmin gücünün daha fazla artış gösteriyor olması, firmaların temettü politikasındaki değişikliklerin ve hisse geri alım kararlarının temettü veriminin tahmin gücünü zayıflatıyor olması sayılabilir.

Anahtar Kelimeler

Getiri Tahmini, Temettü Verimi, Temettü Politikası, Toda-Yamamoto Nedensellik Testi, Hatemi-J Asimetrik Bootstrap Nedensellik Testi

Destekleyen Kurum

Yoktur

Proje Numarası

Yoktur

Analysis of Dividend Yield Prediction Power of BIST Stock Prices: Evidence form Causality Tests

Öz

The predictive power of dividend yield on BIST stock prices is examined in this study, adopting the Campbell and Shiller (1988a) model. Thus, it will be tested whether the dividend yield is a successful factor in predicting stock prices. The study has important implications for theorists, investors, and policymakers. First of all, revealing the effect of dividends on firm value will be decisive in determining dividend policies for managers. Once the predictive power of dividend yield is demonstrated, investors and portfolio managers can use the present value approach to determine whether a particular stock is overvalued or undervalued. In addition, knowing the effects of dividend payouts on market dynamics will guide the policy decisions of regulatory authorities. Toda-Yamamoto (1995) and Hatemi-J (2012) bootstrap asymmetric causality tests were adopted as a research methodology. Dividend yield and monthly closing price series of stocks that show continuity in the BIST 100 index and pay dividends continuously throughout the December 2011 – November 2021 period are used in the research. To the Toda-Yamamoto causality test findings, causal relationships from dividend yield to stock prices were determined in AGHOL, BIMAS, EGEEN, INDES, SARKY, SELEC, and TOASO stocks. Hatemi-J's (2012) bootstrap asymmetric causality test indicates fewer causality relationships compared to the Toda-Yamamoto test. A causal relationship could not be determined between the positive or negative components of dividend yield and price variables in many stocks. In the background of the mixed findings of the predictive power of the dividend yield, the structural breaks in the variables examined, the predictive power of the dividend yield changing over time, the weakening of the predictive power depending on the market conditions, the nonlinear relationship between the dividend yield and the price, the stock-based tests are more disadvantageous than the index-based tests, the estimation power of the dividend yield increases more when the annual frequency observations are used rather than the monthly frequency observations, the changes in the dividend policy of the companies and the share repurchase decisions may be weakened the estimation power of the dividend yield.

Anahtar Kelimeler

Return Predictability, Dividend Yield, Dividend Policy, Toda-Yamamoto Causality Test, Hatemi-J Asymmetric Bootstrap Causality Test

Proje Numarası

Yoktur

Kaynakça

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