Browsing by Subject "Event study"

Now showing 1 - 8 of 8

Open Access
The effect of tax regulation on firm value: the Turkish case of allowance for corporate equity (ACE) regulation
(Routledge, 2020-04) Özdamar, Melisa; Tanyeri, Başak; Akdeniz, Levent
Investors ex-ante price the tax shield that Turkish firms would enjoy and react positively to the introduction of a legislation that provides a deduction for new equity issues. Not all firms are equally affected by the equity tax shield. Cumulative abnormal returns prove significantly higher for levered firms who may find it easier to switch from debt to equity financing and for firms that have income to shield from tax. Furthermore, the most levered firms and the firms with the highest income, whom investors ex-ante expect to benefit most from the regulation, do indeed issue more equity to take advantage of the tax benefits of the new regulation.
Open Access
Firm Value Effects of Global, Regional, and Local Brand Divestments in Core and Non-Core Businesses
(Wiley, 2014) Depecik, B.; van Everdingen, Y. M.; van Bruggen, G. H.
In this article, we investigate the effect of brand divestments on firm value. We integrate two common motives for focus-increasing brand divestitures—global branding and refocusing on core businesses—in a single common framework. In particular, we investigate the effects of divesting local/regional/global brands in core businesses and local/regional/global brands in non-core businesses on firm value. Analyzing 205 divestment announcements in the global food and beverages industry, we find that, in most cases, brand divestments destroy firm value. Only when firms divest local or regional brands in non-core businesses is the effect on firm value positive.
Open Access
Global Merger and Acquisition (M&A) activity: 1992-2011
(Elsevier Ltd, 2016) Yılmaz, I. S.; Tanyeri B.
In our global sample of 263,461 deals in 47 countries, 3-day target cumulative abnormal returns (CARs) average 6.9% and bidder CARs average 1.4%. When we impose the common filters used in the literature which restrict the sample to completed acquisitions of public firms, target CARs increase from 6.9% to 13%. Our findings indicate that M&A activity (particularly in deals where control rights are sold) generates value. We also find that the magnitudes of bidder and target CARs in developed countries are higher than those in emerging-market countries.
Open Access
Investors’ reaction to litigation announcements by Capital Markets Board of Turkey
(2019-09) Özçiçek, Mahmut Mustafa
I empirically investigate investors’ reaction to the litigations announcements published by Turkish Capital Markets Board (CMB). I use event study to analyze daily abnormal returns for significant market reactions. I compile a litigation announcements sample that spans 202 events of 145 unique stocks between January 20, 2012 and January 3, 2019. My findings show that investors perceive litigations announcements as bad news. Statistically significant negative responses happen both on event day and two days after, hinting difference in investor behavior. I find that the negative reaction to the news are significantly higher for corporations announcements than they are for individual announcements. The negative reaction is significantly higher for indictments announcements than they are for administrative fees.
Open Access
Missing events in event studies: Identifying the effects of partially measured news surprises
(American Economic Association, 2020) Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, J. H.
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other details of the release. The details of the non-headline news, for which there are no expectations surveys, are unobservable to the econometrician, but nonetheless elicit a market response. We estimate the model by the Kalman filter, which essentially combines OLS- and heteroscedasticity-based event study estimators in one step, showing that those methods are better thought of as complements rather than substitutes. The inclusion of a single latent factor greatly improves our ability to explain asset price movements around announcements.
Embargo
Pricing the net benefits of a public loan guarantee scheme in a developing market
(Elsevier, 2023-09-17) Bozkurt, A.T.; Günsür, Başak-Tanyeri
Turkish credit markets experienced a liquidity crunch following the Brexit referendum in June, the attempted coup in July, and the US election in November of 2016. The government announced a 12.5- fold increase in the Treasury support for the Credit Guarantee Fund to alleviate the credit squeeze. We investigate whether investor reactions to the announcement of the increase in Treasury support in KGF are in line with the stated aim of policymakers. Firms listed on Borsa İstanbul averaged 5.72 percent cumulative abnormal returns (CARs) in the 9-day window around the announcement. Investors anticipated the benefits from public guarantees would outweigh the costs. The positive and significant CARs suggest that the information released in the announcement, in line with the program aims, positively affected investor expectations.
Open Access
Trends in market reactions: stock dividends and rights offerings at Istanbul stock exchange
(Routledge, 2003) Muradoğlu, G.; Aydoğan, K.
This paper examines the existence of different price reactions to the Implementation of stock dlvldends and rights offerings as the stock market matures over time and the Investor mix changes. For that purpose market reactions at the Istanbul Stock Exchange (lSE) are Investigated during three sub-periods displaying different developmental phases of the market defined In terms of Institutional framework, transactions volumes and related Investor profiles. Differences In price reactions and the accompanying trading volumes are tested as the Investor mix changes and small Investors enter ISE due to the cultivating of awareness about the stock market. Other possible causes of excess returns such as prior knowledge about the stocks being traded or a preferred trading range are also tested. Considering the characteristics of thinly traded emerging markets, non-parametric tests are employed besides traditional event study methodology and results are Immune to the choice of relevant test statistics. The results Indicate that the changing mix of Investors shift the timing of market reaction from announcement to Implementation of stock diVidends and rights offerings. Since Individual Investors, who are attracted by lower relative prices. are not expected to be prompt In timing. excess returns persist over longer event windows and are accompanied by Increasing trading volumes.
Open Access
Who to trust? Reactions to analyst recommendations of domestic versus foreign brokerage houses in a developing stock market
(Academic Press, 2021-11) Tiniç, M.; Tanyeri, Başak; Bodur, M.
Announcement day abnormal returns around analyst recommendations of upgrades average 35 and downgrades average -45 basis points in Borsa Istanbul. The nationality of the investment bank issuing the recommendation affects the magnitude of the stock market reaction. The absolute magnitude of abnormal returns upon upgrade and downgrade recommendations of foreign investment banks is larger than that of local investment banks. The differential reaction indicates that in a developing market country, Turkey, investors pay closer attention when the source of information is foreign rather than local.