Ex-Dividend Date Behaviour Without Taxes

Oran, Adil; Özkan, Derya

doi:10.2139/ssrn.1892793

Cited by 1 publication

(2 citation statements)

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“…Türkiye için konuyla ilgili ilk çalışma Oran and Özkan (2001) tarafından yapılmış olup, çalışmada temettüsüz günde ortaya çıkan piyasa ve teorik fiyat farkının vergi kaynaklı hipotezlerle açıklanamayacağı ileri sürülmüştür. Günalp, Kadioglu, and Kılıç (2010) ile Kadioglu, Telçeken, and Öcal (2015) tarafından yapılan çalışmalarda, temettünün açıklama etkisinin negatif anormal getiriye neden olduğu dikkate alındığında vergi temelli yaklaşımların temettüsüz günde ortaya çıkan piyasa ve teorik fiyat farkını açıklamada yetersiz kalmaktadır.…”

Section: Li̇teratür öZeti̇unclassified

“…Aynı şekilde Al-Yahyaee ( 2014) ve Woolridge (1983) bedelsiz hisse dağıtma günü anormal getirinin olduğunu tespit etmişlerdir. Temettüsüz günün öncesi ve sonrasında sırasıyla pozitif ve negatif anormal getiri tespitimiz diğer çalışmalarla uyumludur (Ainsworth et al, 2018;Grinblatt et al, 1984;Oran & Özkan, 2001;Paudel et al, 2019;Tran, 2017;Yilmaz & Gulay, 2006).…”

Section: şEkil 1: Temettüsüz Gün öNcesi Ve Sonrası Getiriler Ve İşlem Hacmiunclassified

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Cash dividend ex-day anomaly and an investment strategy

Kadioglu¹,

Bostanci²,

Ocal³

2020

Pressacademia

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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.

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Section: Li̇teratür öZeti̇unclassified