İlk halka arzlarda düşük fiyatlama anomalisi: borsa istanbul’da piyasaya göre düzeltilmiş anormal getiri modeli ile svfm karşilaştirilmasi
Low Pricing Anomaly in Initial Public Offerings: Comparison of the Market Adjusted Abnormal Return Model with CAPM in Borsa Istanbul

Summary/Abstract: 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.

• Details
• Contents