Halka ilk defa arz edilen şirket paylarının fiyat performans analizi: Borsa İstanbul A.Ş.'nin etkinliği üzerine bir çalışma
Küçük Resim Yok
Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Beykent Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Çalışmanın amacı özellikle bilgisel etkinlik üzerinde durularak yatırımcıların ilk halka arzdan sonra normal üstü getiri elde etmesi mümkün müdür sorusuna cevap bulmaktır. XU100 ve XU30 Endekslerine göre düzeltilmiş getiriler incelenmiş, Etkin Piyasa Hipotezine göre aykırı durumun tespit edilmesi sonucu düşük fiyatlama ile karşılaşıldığı, düşük fiyatlamaya neden olan faktörler tespit edilmiştir. Borsa İstanbul A.Ş.'de 2010 ile 2015, 2016 ile Ocak 2020 dönemlerinde ilk defa halka arz edilen payların ilk gün, kısa dönem ve uzun dönem olarak fiyat performansları detaylı olarak inceleyemeye tabi tutulmuştur. 2010 ile 2015 dönemi için ilk gün ortalama ham getiri %4,97, piyasaya göre düzeltilmiş getiri XU100 Endeksine göre %5,11, XU30 Endeksine göre %5,08 olarak hesaplanmıştır. Kısa dönem kümülatif ortalama piyasaya göre düzeltilmiş getiri XU100 için %9,82, XU30 için %9,85 olarak tespit edilmiştir. Uzun dönem için kümülatif ortalama piyasaya göre düzeltilmiş getiri XU100 için -%10,56, XU30 için -%12 olarak hesaplanmıştır. İlk günkü düşük fiyatlama için yapılan regresyon modeline göre şirketin yaşı, halka arz oranı, halka arza aracılık şekli ve standart sapma bağımsız değişkenlerinin önemi tespit edilmiştir. Sonuçlar ilk gün ve kısa dönem için düşük fiyatlamanın devam ettiği, piyasanın etkin olmadığı ancak uzun dönemde düşük performans ile karşılaşıldığını göstermiştir. 2016 ile Ocak 2020 dönemi ilk halka arzlarında ortalama ham getiri %5,94, piyasaya göre düzeltilmiş getiri XU100 Endeksine göre %5,63, XU30 Endeksine göre %5,60 olarak hesaplanmıştır. Kısa dönem kümülatif ortalama piyasaya göre düzeltilmiş getiri XU100 için %12,87, XU30 için %12,89 olarak tespit edilmiştir. İlk günkü düşük fiyatlama için yapılan regresyona göre halka arz fiyatı ve standart sapma bağımsız değişkenlerinin önemi tespit edilmiştir. Aynı şekilde ilk gün ve kısa dönem için düşük fiyatlamanın devam ettiği piyasanın etkin olmadığı desteklenmiştir.
The aim of the study is to find an answer to the question of whether it is possible for investors to obtain an abnormal return after the initial public offering, with particular emphasis on informational efficiency. Returns adjusted for XU100 and XU30 Indices were analyzed, and as a result of the detection of an outlier according to the Efficient Market Hypothesis, underpricing was encountered and factors causing underpricing were determined. The first day, short-term and long-term price performances of the shares of initial public offerings between the 2010 and 2015, 2016 and January 2020 periods at Borsa İstanbul A.Ş. have been subjected to a detailed examination. For the 2010 and 2015 period, the first-day average raw return was calculated as %4,97, market adjusted return was calculated as %5,11 according to XU100 and %5,08 according to XU30 Index. The short-run cumulative average market adjusted return was determined as %9,82 for XU100 and %9,85 for XU30. The cumulative average market-adjusted return for the long run is -%10,56 for XU100 and -%12 for XU30. According to the regression model for underpricing on the first day, the importance of the company's age, public offering rate, mode of intermediation in public offering and standard deviation independent variables were determined. The results show that underpricing continues for the first day and short term, the market is inefficient, but underperformance is encountered in the long term. The average raw return in the initial public offerings between 2016 and January 2020 was calculated as %5,94, market adjusted return was %5,63 according to the XU100 Index and %5,60 according to the XU30 Index. The short-run cumulative average market-adjusted return was determined as %12,87 for XU100 and %12,89 for XU30. According to the regression made for the underpricing on the first day, the importance of the public offering price and standard deviation independent variables were determined. Likewise, it was supported that the market where underpricing continues for the first day and for the short term is not effective.
The aim of the study is to find an answer to the question of whether it is possible for investors to obtain an abnormal return after the initial public offering, with particular emphasis on informational efficiency. Returns adjusted for XU100 and XU30 Indices were analyzed, and as a result of the detection of an outlier according to the Efficient Market Hypothesis, underpricing was encountered and factors causing underpricing were determined. The first day, short-term and long-term price performances of the shares of initial public offerings between the 2010 and 2015, 2016 and January 2020 periods at Borsa İstanbul A.Ş. have been subjected to a detailed examination. For the 2010 and 2015 period, the first-day average raw return was calculated as %4,97, market adjusted return was calculated as %5,11 according to XU100 and %5,08 according to XU30 Index. The short-run cumulative average market adjusted return was determined as %9,82 for XU100 and %9,85 for XU30. The cumulative average market-adjusted return for the long run is -%10,56 for XU100 and -%12 for XU30. According to the regression model for underpricing on the first day, the importance of the company's age, public offering rate, mode of intermediation in public offering and standard deviation independent variables were determined. The results show that underpricing continues for the first day and short term, the market is inefficient, but underperformance is encountered in the long term. The average raw return in the initial public offerings between 2016 and January 2020 was calculated as %5,94, market adjusted return was %5,63 according to the XU100 Index and %5,60 according to the XU30 Index. The short-run cumulative average market-adjusted return was determined as %12,87 for XU100 and %12,89 for XU30. According to the regression made for the underpricing on the first day, the importance of the public offering price and standard deviation independent variables were determined. Likewise, it was supported that the market where underpricing continues for the first day and for the short term is not effective.
Açıklama
Anahtar Kelimeler
İşletme, Business Administration
