LOW PRICING ANOMALY IN INITIAL PUBLIC OFFERINGS: COMPARISON OF THE MARKET ADJUSTED ABNORMAL RETURN MODEL WITH CAPM IN BORSA ISTANBUL

Adem Yılmaz; Nida Abdioğlu

Makale detayları

LOW PRICING ANOMALY IN INITIAL PUBLIC OFFERINGS: COMPARISON OF THE MARKET ADJUSTED ABNORMAL RETURN MODEL WITH CAPM IN BORSA ISTANBUL

Yazarlar:

Adem Yılmaz | Nida Abdioğlu

Yayıncı:

Sakarya University

Ana Başlıklar:

Finans

Dergi:

İşletme Bilimi Dergisi Vol.11 Issue 3, pp.227-252

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307604

pISSN:

2148-0737

Anahtar kelimeler:

Özet:

 Aim: By issuing their shares through the initial public offering IPO method, companies provide various advantages such as eliminating the need for funds, creditworthiness and liquidity. However, there are also some disadvantages that may affect IPO decision, such as the low pricing of shares. The aim of this study is to test the existence of low pricing in the stocks that were decently offered to the public in Borsa Istanbul BIST between 2005 and 2020. Method: In this study, abnormal returns were calculated separately using the Market Adjusted Abnormal Return Model and the Capital Asset Pricing Model CAPM by the help of the event study methodology. Findings: According to the empirical results of t-test, in which the market adjusted abnormal return model and CAPM were compared, the difference between the abnormal returns calculated according to the two models was significant. The average of abnormal returns was higher in market adjusted abnormal return model than CAPM. As a result of the ANOVA test which was made in order to test whether there was any significant difference between the abnormal returns. Conclusion: Low pricing has been identified from the perspective of both models.

 Aim: By issuing their shares through the initial public offering IPO method, companies provide various advantages such as eliminating the need for funds, creditworthiness and liquidity. However, there are also some disadvantages that may affect IPO decision, such as the low pricing of shares. The aim of this study is to test the existence of low pricing in the stocks that were decently offered to the public in Borsa Istanbul BIST between 2005 and 2020. Method: In this study, abnormal returns were calculated separately using the Market Adjusted Abnormal Return Model and the Capital Asset Pricing Model CAPM by the help of the event study methodology. Findings: According to the empirical results of t-test, in which the market adjusted abnormal return model and CAPM were compared, the difference between the abnormal returns calculated according to the two models was significant. The average of abnormal returns was higher in market adjusted abnormal return model than CAPM. As a result of the ANOVA test which was made in order to test whether there was any significant difference between the abnormal returns. Conclusion: Low pricing has been identified from the perspective of both models.

 Aim: By issuing their shares through the initial public offering IPO method, companies provide various advantages such as eliminating the need for funds, creditworthiness and liquidity. However, there are also some disadvantages that may affect IPO decision, such as the low pricing of shares. The aim of this study is to test the existence of low pricing in the stocks that were decently offered to the public in Borsa Istanbul BIST between 2005 and 2020. Method: In this study, abnormal returns were calculated separately using the Market Adjusted Abnormal Return Model and the Capital Asset Pricing Model CAPM by the help of the event study methodology. Findings: According to the empirical results of t-test, in which the market adjusted abnormal return model and CAPM were compared, the difference between the abnormal returns calculated according to the two models was significant. The average of abnormal returns was higher in market adjusted abnormal return model than CAPM. As a result of the ANOVA test which was made in order to test whether there was any significant difference between the abnormal returns. Conclusion: Low pricing has been identified from the perspective of both models.

 Amaç: Şirketler paylarını ilk halka arz yöntemi ile ihraç ederek fon ihtiyacını giderme, kredibilite ve likidite gibi çeşitli avantajlar sağlamaktadır. Bununla birlikte pay senetlerinin düşük fiyatlandırılması gibi halka arz kararını etkileyebilecek bazı dezavantajlar da bulunmaktadır. Bu çalışmanın amacı, Borsa İstanbulda BİST 2005-2020 yılları arası ilk halka arzı gerçekleşen pay senetlerinde düşük fiyatlama olgusunun varlığını test etmektir. Yöntem: Olay etüdü yönteminin kullanıldığı çalışmada, anormal getiriler piyasaya göre düzeltilmiş anormal getiri modeli ve sermaye varlıkları fiyatlama modeli SVFM ile hesaplanmıştır. Bulgular: Piyasaya göre düzeltilmiş anormal getiri modeli ile SVFMnin karşılaştırıldığı t-testi sonucunda iki modele göre hesaplanan anormal getiriler arasındaki farkın anlamlı olduğu görülmüştür. Anormal getiri ortalamaları piyasaya göre düzeltilmiş anormal getiri modelinde SVFMye göre daha yüksek bulunmuştur. Sektörlere göre anormal getiriler arasında anlamlı bir farklılık olup olmadığını değerlendirmek amacıyla yapılan ANOVA testi sonucunda sektörler arasında düşük fiyatlama açısından anlamlı bir farklılık görülmemiştir. Sonuç: İki model açısından da düşük fiyatlandırmanın varlığı tespit edilmiştir.

Makale detayları

LOW PRICING ANOMALY IN INITIAL PUBLIC OFFERINGS: COMPARISON OF THE MARKET ADJUSTED ABNORMAL RETURN MODEL WITH CAPM IN BORSA ISTANBUL

Yazarlar:

Adem Yılmaz | Nida Abdioğlu

Yayıncı:

Sakarya University

Ana Başlıklar:

Finans

Dergi:

İşletme Bilimi Dergisi Vol.11 Issue 3, pp.227-252

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307604

pISSN:

2148-0737

Borsa Istanbul

Underpricing

Initial Public Offering

Market Adjusted Abnormal Return Model

CAPMBorsa İstanbul

Düşük Fiyatlandırma

İlk Halka Arz

Piyasa Göre Düzeltilmiş Anormal Getiri Modeli

SVFM

Sayı

Makale detayları

Yazarlar: Adem Yılmaz | Nida Abdioğlu

Yayıncı: Sakarya University

Ana Başlıklar: Finans

Dergi: İşletme Bilimi Dergisi Vol.11 Issue 3, pp.227-252

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001307604

pISSN: 2148-0737

Sayı

Yazarlar:

Adem Yılmaz | Nida Abdioğlu

Yayıncı:

Sakarya University

Ana Başlıklar:

Finans

Dergi:

İşletme Bilimi Dergisi Vol.11 Issue 3, pp.227-252

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307604

pISSN:

2148-0737