This study analyzes the firm-specific factors affecting the dividend payout decisions of the companies whose shares are traded on the Borsa Istanbul stock exchange. To this end, the dynamic panel regression is applied to 853 observations of yearly average of 106 companies listed on the Borsa Istanbul between 2009 and 2015. According to results from the Arellano–Bover/Blunder-Bond two-step system generalized method of moments, a statistically significant positive effect on dividend payout was found in the relationship between the dividend payout of the previous year, the company’s return on equity and the market value/book value ratio, liquidity and the company’s size. The demonstration of a positive relationship between dividend payout and return on equity supports the free cash flow hypothesis and the positive relationship with the previous year’s dividend payout ratio supports the dividend smoothing hypothesis for Turkey.
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.
Effect of Removing Lunch Break on Intraday Return, Volatility and Trading Volume in Debt Securities Market * Bu çalışmada, yöntem olarak insan ve hayvanlar deneysel ya da diğer bilimsel amaçlarla kullanılmadığı için etik kurul iznine ihtiyaç duyulmamıştır.
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