Halka açılan şirketlerin borsadaki performansalarının değerlendirilmesi

Abstract

ÖZET Şirketlerin halka acilmasxnxn en önemli nedenlerinden biri, halktan sağlanan sermayenin diğer finansman yollarına göre daha uzun vadeli ve ucuz olmasıdır. Ayrıca vergi indirimleri ve kayıtlı sermaye sistemine tabi olma gibi teşvik tedbirleri ile halka açılma özendirilmiştir. Şirketler halka açılarak bir yandan kendilerine fon temin ederken, diğer yandan da küçük tasarrufların sermaye piyasasına yönelip değerlendirilmesini sağlar. Hisse senetleri halka ilk defa arz edilen şirketlerin borsada göstermiş olduğu performansın değerlendirildiği bu çalışmada, öncelikle sistematik risk ve sistematik olmayan risk tanımı yapılarak, sistematik riskin hesaplanmasında Tek İndeks Modeli' nin kullanımı incelenmiştir. İlk performans kriteri Treynor tarafından geliştirilmeden önce, portföy performansı yada herhangi bir f inansal varlığın performansı, sadece getiri oranına bakılarak performans değerlendirmesi sözkonusu idi. Treynor performans kriterinde risk ölçütü olarak finansal varlığın beta katsayısı kullanılmaktadır. Sharpe tarafından geliştirilen yöntemde ise toplam risk, risk ölçütü olarak kullanılmaktadır. Jensen, portföyün yada herhangi bir finansal varlığın ortalama getirişinin, finansal varlık pazar doğrusundan sapma derecesi ile değerlendirmektedir. Halka ilk defa hisse senetleri arz edilen şirketlerin İMKB'deki işlemler sonucu oluşan get irilerinin ve performansının dönemler itibari ile değerlendirildiği uygulama bölümünde, risk ölçütü olarak hisse senetlerinin sistematik risk değeri beta katsayıları kullanılmıştır. Halka ilk kez arz edilen hisse senetlerinin borsa bileşik endeksinden farklı bir performans gösterip göstermedikleri çeşitli dönemler itibari ile incelenmiştir. vııı

SUMMARY THE PRICE PERFORMANCE OF INITAL PUBLIC OFFERINGS Long term assets must be financed with long term capital. Public offering is a major opportunity for the company to raise capital. Public offering is defined as the act of selling stock to the public at large by a closely held corporation. In section 2 disadvantages and advanteges of public offering is discussed. Of course, there are some disadvantages of public offering. Because of the disadvantages closely held corporations do not want to public offering. One of the disadvantages of public offering is cost of reporting. A publicly owned company must file quarterly and annual reports. These reports can be costly. Also, managers of the company may not want explanation of reporting, operating data, because such data will be available to competitors. Similarly, the owners of the company may not want people to know their net worth and other data. Furthermore, the managers of publicly owned firms who do not have at least 50 percent of the stock must be concerned about maintaining control. Also, if a firm is small and its shares are not traded with much frequency, then its stock will not really be liquid, and the market price may not be Representative of the stock's true value. On the other hand public offering and common stock financing has some advantages. The major advantages of common stock financing are as follows: One of them is there is no obligation to make fixed payments. If the company makes a profit and it can pay common stock dividends. If the company had used debt, it would have a legal obligation to pay interest. Common stock has no fixed due date. Also, the sale of common stock increases the credit worthiness of the firm. In that case, this raises its bond rating, lowers its cost of dept and increases its future ability to use debt. Moreover public offering increases liquidity for the firm's stock. The stock of a closely held firm is illiquid. No ready market exists for it. Also ; for the publicly held firm to raise capital is easier. If a privatly held firm want to raise cash by selling of new stock, it must go to existing owners. The existing owners may not have money for the new stocks or they do not want to buy the stock. There fore public offering is a major oportunity for the compony to sell new stock. Furthermore public offering establishes a value for the firm, for a lot of reasons, it is often useful to establish a firm' s value in the market. IXIn section 3, the demand of common stock is discussed. Investors can be classified as follows : - Individual investor - Institutionel investors _ Investment funds - Investment corporations - Social assurance company - Insurance company - Foreigner investor. Institutionel investors are very important to improve the capital market. Therefore some tax benefits are existent for institutionel investors and also tax benefits are available for individual investor. In section 4, before studying price performance of common stock, risk, rate of return and the relationship between risk and rate of return are studied. Risk is defined as variability of returns of an investment. Risk consist of two parts. One of them is unsystematic risk, the other one is systematik risk. Unsystematic risk is caused by things like changes in raw material prices, strikes, successful or unsuccessful marketing programs. Unsystematic risk is unique to a particular firm. Systematic risk is caused by things like war, inflation, high interest rates. All firms are affected simultaneously by the systematic risk. But, all firms are not affected equally by systematic risk. Systematic risk cannot be eliminated by diversification. But unsystematic risk can be eliminated. Systematic risk is also called beta risk. If the market moves up or down, a stock is followed the change in value. Investment has two kind of return. One of them is interest (for bonds) or dividends (for stocks), the other one is the change in the value of the securities in the period. Thus, the rate of return (for stocks) Can be formulated as, 7? -Di+Pl-P0 Di : Dividends Px-P0 : Change in market value P0 : Beginning market value Either dividends or change in market value of stocks has some uncertainty. If the uncertainty increases, the risk of the stock also increases. xAn investor who vants to buy stocks, first of all he must forcast the return of the stock (expected value) and the risk of return. To determine the expected value, each possible outcome is multiplied by its probability of occurence. The expected value of investment i equals: E(R±)=Epk.rk Where rk represents a possible outcome and pk represents the probability of that outcome based on the state of the economy. The risk is measured by the standard deviation. °±= Jpkrk* - E (RJ * An investor who holding only investment i may wish to consider bringing investment j into the portfolio. The expected value of the portfolio: E(Rp) = Ziml Xi-EtRi) Xx : the rate of investment i in the portfolio E (Ri) : expected value of investmert i The standardd deviation of the portfolio: ap= /tlml X/ at + 2 EÎ..,. Ej=i+1 X^ CoVijj The covariance coefficient between investment A and investment B Covi(j= E pk E(Riik) E(Rj/k) - E(Ri) E(Rj) The correlation coeffcient p..=^^2 XIThe correlation coofficient is a measurement of joint movement between the two variables. If two variables move in completely opposite directions, the correlation coefficient has a minimum valve -1. If the two variables move in the same direction, the maximum correlation coefficient is +1. Harry M. Markowitz, who created Modern Portfolio Theory, explains that an investor, must forecast expected value of the investment i, the risk of return and the covariance between a pair of investments. Investor wants to find the portfolio which is the most profitable and has the least risk. The portfolio, which has a maximum return for a given level of return, is effcient portfolio. The investor must select the portfolio which is efficient. The Markowitz model uses a matrix of covariances to compute the variance of a portfolio of securites. Each element of the matrix represents the covariance between the rates of return for two of the securities. However, there is a problem in computing portfolio variance in this way. When the number of securities becomes large, the problem becomes apparent. The technique is very complex. William Sharpe developed a technique which is referred to as the single-index model. The single index model assumes security return are correlated for only one reason. Each security is assumed to react, in some cases more and in other cases less, to the pull of a single index. Single index is usually the market portfolio. When the market portfolio makes a significant movement upward, nearly all stocks go up with it. Also, when the market portfolio makes a significant movement downward, nearly all stocks go down with it. The rate of return for the stock can be written as Ri = a± + & R` + e Where R± is the rate of return to a security and R,,, is the rate of return to the market portfolio. Beta coefficient measures the systematic risk of a security. If a stok have a beta of 1, this indicates that, if the market moves up by 10 percent, the stock will also move up by 10 percent, and if the market falls by 10 percent the stokck fall by 10 percent if the beta is 0,5 and if the market moves up by 10 percent, the stock will move up just by 5 percent, and if the market falls by 10 percent the stock fall by 5 percent. The Treynor Index The Treynor Index is the risk premium earned per unit of risk taken. Risk is measured in terms of the beta Xllfactor of the portfolio. The formula for the Treynor Index for portfolio p is given by, T - Rp~Rf p K Rp : The rate of return for portfolio p during a period Rf : The rate of return on a risk- free investment during the same period. jSp : Beta coefficient of portfolio p The Sharpe Index The index is computed by dividing the risk premium for the portfolio by its standard deviation. It meausures the risk premium earned per unit of risk. The formula for the Sharpe index is given by, R- R* c =_£__£ » % Rp : The rate of return for portfolio p during a period Rf : The rate of return on a risk- free investment during the same period a : The standart deviation of portfolio p The jensen Index The jensen Index uses the security market line. The index is the difference between the expected rate of return on the portfolio and what is expected rate of return would be if the potfolio were positioned on the security market line. The equation for the Jensen Index is as follows: Jp = E(Rp) - {Rf + [E(RJ - Rf] /3p} X1X1The sections 5 studies price performance of common stock new issues for IMKB. The application is examine the stocks which were offered to the public for the first time during the period 1990 to 1992. For each stock the rate of return is measured by the periods. The periods are first day, first week, first month, 3rd month, 6th month, 9the month, 1st year. If the stock is offered in 1991, the rate of return is also measured at the end of 2nd year. If th stock is offered in 1990, the rate of return is measured at the end of the 3rd year. The rate of reeturn can be calculated as, Riit = Ln (Pift/Pi,o) (D Pi t : The price of the stock i during the time period t P0 : The offering price of the stock i i=l 44 t: 1st day, 1st week, 3rd year. The rate of return of the market is also calculated for the period and each stock. After that, to evaluate the performance of initial public offering, systematic risk is measured. Single index model can be used to measure systematic risk. The rate of return for the stock i in any time can be written as, Ri = «i + jSi. R» + e± (2) Where R,,, is the rate of retun to the market portfolio, iS is the index of systematic risk. After Sis calculated, the performance of the stock can be written as, ?fi-Ri,tRm.t * Pi R± is calculated in the equation (1) /3i is calculated in the equation (2) xivAfter measuring performance, a serie is constitued for each period and then mean, standard deviation, maximum, third quartile, second quart ile (median), first quart ile, minimum are calculeted for each serie. We can say that in the short run, the stocks in the sample showed price appreciation but at some point after going public the abnormal returns on initial public offerings may be negative. In the conclusion, the result indicate positive initial performance. Therefore, either the offering price is set too low or the investors overvalue new issues at the first periods (first day, first week and first month). But the performance of initial public offerings fall after first month. This indicate that investors overvalue new issues at the first period, but at the end of first year after going public, the returns can be positive. xv