DAVRANIŞSAL FİNANS ÇERÇEVESİNDE OLAY ETÜDÜ ÇALIŞMALARI: ANALİTİK BİR LİTERATÜR DEĞERLENDİRMESİ: EVENT STUDY STUDIES WITHIN THE FRAMEWORK OF BEHAVIORAL FINANCE: AN ANALYTICAL LITERATURE REVIEW

Orhan KESKİN

doi:10.5281/zenodo.17987202

Authors

Orhan KESKİN Kayseri Üniversitesi https://orcid.org/0000-0002-1942-5549

DOI:

https://doi.org/10.5281/zenodo.17987202

Keywords:

Behavioral Finance, Event Study, Financial Misinformation, Social Media, Literature Review

Abstract

This study aims to systematically evaluate research examining the response of financial markets to information flows using the event study method and to propose new research proposals from a behavioral finance perspective. The traditional event study approach is one of the primary empirical methods used to measure how financial asset prices respond to events such as corporate announcements and macroeconomic developments. However, the rapid and often unverified dissemination of information with digitalization is changing this situation. In this context, investors are exposed to financial misinformation through a wealth of digital news content, primarily through social media. This is believed to significantly impact investment decisions.

This study systematically categorizes the types of events, analysis methods, and impacts of relevant announcements in Turkish and international literature. Studies primarily focused on dividend policies, mergers and acquisitions, and credit rating announcements, demonstrating the limitations of existing knowledge. The findings suggest that the existing literature does not sufficiently consider fundamental elements of the modern information environment, such as information quality, financial misinformation, social media-driven perception, and investor psychology. In this regard, the study suggests new research areas from a behavioral finance perspective and provides a conceptual framework for how the event study method can be adapted to the current information environment.

Keywords: Behavioral Finance, Event Study, Financial Misinformation, Social Media, Literature Review

References

Abadie, A., & Gardeazabal, J. (2008). Terrorism and the world economy. European Economic Review, 52(1), 1–27.

Abarbanell, J., & Bushee, B. (1998). Abnormal returns to a fundamental analysis strategy. The Accounting Review, 73, 19–45.

Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders return: An empirical analysis. Journal of Finance, 35(1), 1–12.

Akardeniz, E., & Engin, C. (2019). TCMB faiz kararlarının döviz kuru volatilitesine etkisi. Finansal Araştırmalar ve Çalışmalar Dergisi, 11(20), 1–27.

Akyıldırım, E., Coşkun, A., Çelik, İ., & Höl, A. Ö. (2022). Çevresel, sosyal ve yönetişim (ESG) haberlerinin firmaların finansal performansına etkisi: Borsa İstanbul’dan kanıt. Ankara Hacı Bayram Veli Üniversitesi İİBF Dergisi, 24(2), 598–621.

Andriosopoulos, D., & Lasfer, M. (2015). The market valuation of share repurchases in Europe. Journal of Banking & Finance, 55, 327–339.

Arsoy, M. F. (2017). Hisse geri alım programı duyurularının şirketlerin piyasa değerlerine etkisi: Borsa İstanbul örneği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 12(2), 1–22.

Aygören, H., & Uyar, S. (2006). Türkiye’de denetim görüşleri ve denetim görüşlerinin yatırımcı kararlarına etkisi. Muhasebe Bilim Dünyası Dergisi (MÖDAV), 8(4), 129–146.

Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307–343.

Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159–178.

Barak, O. (2008). İMKB’de aşırı reaksiyon anomalisi ve davranışsal finans model kapsamında değerlendirilmesi. Gazi Üniversitesi İİBF Dergisi, 10(1), 207–229.

Barberis, N., Shleifer, A., & Vishny, R. (1998). A Model of Investor Sentiment. Journal of Financial Economics, 49(3), 307‑343.

Bayazıtlı, E., Kaderli, Y., & Gürel, E. (2008). Kâr payı dağıtma duyurularının firmaların hisse senedi getirilerine etkisi. Muhasebe & Denetime Bakış Dergisi, 26, 1–16.

Brockman, P., & Chung, D. Y. (2001). Managerial timing and corporate liquidity: Evidence from actual share repurchases. Journal of Financial Economics, 61(3), 417–448.

Bozkurt, İ., Öksüz, S., & Karakuş, R. (2015). Finansal tablo ilanlarının hisse getirileri üzerindeki etkisi: BİST’de ampirik bir uygulama. Maliye Finans Yazıları, 103, 113–140.

Chae, J. (2005). Trading volume, information asymmetry, and timing information. Journal of Finance, 60(1), 413–442.

Chesney, M., Reshetar, G., & Karaman, M. (2011). The impact of terrorism on financial markets: An empirical study. Journal of Banking & Finance, 35(2), 253–267.

Chowdhury, E. K., & Abedin, M. Z. (2020). COVID-19 effects on the US stock index returns: An event study approach. Accounting, Auditing & Accountability Journal, 1–31.

Çağlak, E., Küçükşahin, H., & Kahraman, İ. K. (2018). Kredi derecelendirme kuruluşlarının kredi not kararlarının Türkiye finansal piyasalarına etkisi. Ömer Halisdemir Üniversitesi İİBF Dergisi, 11(4), 41–63.

Çetikaya, M., & Yenice, S. (2017). Terörizm temalı haberlerin kıymetli maden piyasaları üzerindeki etkisi. İşletme Araştırmaları Dergisi, 9(1), 45–60.

Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461–1499.

Del Brio, E. B., Perote, J., & Pindado, J. (2003). Measuring impact of corporate investment announcements on share prices. Journal of Business Finance and Accounting, 30(5–6), 715–747.

Dichev, I. D., & Piotroski, J. D. (2001). The long-run stock returns following bond ratings changes. The Journal of Finance, 56(1), 173–203.

Dolley, J. (1933). Characteristics and procedure of common stock split-ups. Harvard Business Review, 11(3), 316–326.

Duran, M., Gürkaynak, R., Özlü, P., & Ünalmış, D. (2010). TCMB faiz kararlarının piyasa faizleri ve hisse senedi piyasaları üzerine etkisi. TCMB Ekonomi Notu, 10(08).

Egert, B., & Kocenda, E. (2014). The impact of macro news and central bank communication on emerging European forex markets. Economic Systems.

Ehrmann, M., Fratzscher, M., & Rigobon, R. (2005). Stocks, bonds, money markets and exchange rates: Measuring international financial transmission. NBER Working Paper No. 11166.

Elbir, G., & Kandır, S. Y. (2017). Yatırım duyurularının pay getirileri üzerindeki etkisi. Ekonomi Bilimleri Dergisi, 9(1), 16–32.

Eldor, R., & Melnick, R. (2004). Financial markets and terrorism. European Journal of Political Economy, 20(2), 367–386.

Ercan, S., & Haykır, Ö. (2022). Birleşme ve satın alma haberlerinin borsa getirisi üzerine etkisi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(3), 626–645.

Ertan, A., Karolyi, S., Kelly, P., & Stoumbos, R. (2015). Pre-earnings announcement over-extrapolation. Working Paper. https://mendoza.nd.edu/.

Fama, E. F., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1–21.

Ginglinger, E., & Gajewski, J. F. (2002). Seasoned equity issues in a closely held market: Evidence from France. European Finance Review, 6(3), 291–319.

Güleç, M., Babuşcu, Ş., & Hazar, A. (2019). Bireylerin yatırım kararlarını etkileyen faktörler. Ekonomi ve Finansal Araştırmalar Dergisi, 1(1–2), 26–47.

Gürsoy, Ö. (2023). The effects of sovereign credit rating news on CDS: Cross country event study analysis (Doktora tezi). Marmara Üniversitesi.

He, P., Sun, Y., Zhang, Y., & Li, T. (2021). COVID–19’s impact on stock prices across different sectors. In Research on Pandemics (pp. 66–80). Routledge.

Hirshleifer, D. A., Myers, J. N., Myers, L. A., & Teoh, S. H. (2008). Do individual investors cause post-earnings announcement drift? The Accounting Review, 83(6), 1521–1550.

Hubler, J., Louargant, C., Ory, J. N., & Raimbourg, P. (2014). Do rating agencies’ decisions impact stock risks? The European Journal of Finance, 20(11), 1008–1036.

Işıker, M., & Taş, O. (2021). Bedelli sermaye artırımı haberlerinin etkileri. Bilgi Ekonomisi ve Yönetimi Dergisi, 16(1), 1–21.

Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of Financial Economics, 39, 181–208.

Jayanti, S. V. (2005). The valuation effects of announcements of rights offerings. Finance India, 19(3).

John, K., & Lang, L. (1991). Insider trading around dividend announcements. Journal of Finance, 46(4), 1361–1389.

Kaderli, Y., & Başkaya, H. (2014). Kâr payı dağıtım duyurularının hisse senedi fiyatlarına etkisinin ölçülmesi. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(1), 49–64.

Kaderli, Y., & Başkaya, H. (2016). Sermaye artırımı duyurularının hisse senedi üzerine etkisi. Aydın İktisat Fakültesi Dergisi, 2(1), 28–42.

Kaderli, Y., Doğaner, M., & Başkaya, H. (2017). Yeni iş ilişkisi duyurularının hisse senetleri getirileri üzerindeki kısa vadeli etkisi. TURAN-SAM, 9(33), 429–435.

Kaderli, Y., & Demir, S. (2009). Yatırım kararı duyurularının hisse senedi getirileri üzerindeki etkisi. Mali Çözüm Dergisi, 91, 45–65.

Kevser, M., & Doğan, M. (2020). Dividend payout decisions of football clubs. Pressacademia, 12(1), 31–34.

Kholodilin, K., Montagnoli, A., Napolitano, O., & Siliverstovs, B. (2009). Assessing the impact of the ECB’s monetary policy on the stock markets. Economics Letters, 105, 211–213.

Kaminsky, G., & Schmukler, S. L. (2002). Emerging market instability: Do sovereign ratings affect country risk and stock returns? The World Bank Economic Review, 16(2), 171–195.

Kara, S. (2015). Denetim görüşlerinin hisse senedi anormal getirilerine etkisi. Muhasebe ve Vergi Uygulamaları Dergisi, 8(2), 137–152.

Küçüksille, E., & Mizrahi, R. (2015). Bedelli sermaye artırımı duyurularının performansa etkisi. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 17(29).

Laouiti, M. L., Msolli, B., & Ajina, A. A. (2015). Buy the rumor, sell the news! Journal of Applied Business Research, 32(1), 143–160.

Li, H., Visaltanachoti, N., & Kesayan, P. (2004). Effects of credit rating announcements. International Journal of Finance, 16(1).

Lie, E. (2005). Operating performance following open market share repurchase announcements. Journal of Accounting and Economics, 39(3), 411–436.

Liu, C. S., & Ziebart, D. A. (1997). Stock returns and open-market stock repurchase announcements. Financial Review, 32(4), 709–728.

Lorraine, N. H., Collison, D. J., & Power, D. M. (2004). An analysis of the stock market impact of environmental performance information. Accounting Forum, 28(1), 7–26.

Lubys, J., & Panda, P. (2021). Monetary policy spillover on BRICS financial markets. Empirica, 48(2), 353–371.

MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13‑39.

Mandacı, P. E. (2004). Şirketlerin birleşme ve satın alma duyurularının etkisi. İktisat, İşletme ve Finans, 19(225), 118–124.

McConnell, J. J., & Muscarella, C. J. (1985). Corporate capital expenditure decisions and the market value of the firm. Journal of Financial Economics, 14(3), 399–422.

Özdemir, K., & Hiçyılmaz, B. (2022). Covid-19 ve aşı haberlerinin Borsa İstanbul sektör endekslerine etkisi. Sosyoekonomi, 30(51), 471–486.

Rahman, M. L., et al. (2021). The COVID-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 38, 101832.

Rissanen, V. (2014). Pricing errors in Finnish rights offerings? (Yüksek lisans tezi). Aalto University.

Rosa, C. (2011). Words that shake traders: Stock market reaction to central bank communication. Journal of Empirical Finance, 18, 915–934.

Rossi, J. L. (2009). What is the value of corporate social responsibility? Brazilian Sustainability Index.

Sakarya, Ş., Çalış, N., & Kayacan, M. A. (2018). Temettü ödeme duyurularının hisse senedi fiyatlarına etkisi. Sakarya İktisat Dergisi, 7(2), 92–106.

Seçme, Z. O., & Hepşen, A. (2018). FED ve ECB kararlarının finansal piyasalara etkisi. OPUS International Journal of Society Researches, 9(16), 1699–1732.

Suadiye, G. (2006). Kredi derecelendirme ve finansal piyasalar üzerindeki etkileri. Mustafa Kemal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(6).

Suwanna, T. (2012). Impacts of dividend announcement on stock return. Procedia - Social and Behavioral Sciences, 40, 721–725.

Soylu, N., Korkmaz, T., & Çevik, E. İ. (2014). Merkez Bankası faiz duyurularının finansal piyasalara etkisi. Business & Economics Research Journal, 5(4).

Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62(3), 1139–1168.

Tumarkin, R., & Whitelaw, R. F. (2001). News or noise? Internet postings and stock prices. Financial Analysts Journal, 57(3), 41–51.

Yağcılar, G. G., & Arslan, Z. (2018). Geri alım duyurularının hisse getirilerine etkisi. Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(32), 450–474.

Yang, S., & Chen, S. (2021). Market reactions for targets of M&A rumours: Evidence from China. Economic Research, 34(1), 1–19.

Yıldırım, H. H., Yıldız, C., & Aydemir, Ö. (2018). Kredi not açıklamalarının hisse senedi endeksleri üzerine etkisi. Maliye ve Finans Yazıları, 1(109), 9–30.

Yıldırım, B. (2022). Merkez bankası faiz kararlarının finansal piyasalara etkisi (Yüksek lisans tezi). Pamukkale Üniversitesi.

Yong, H. H. A., & Laing, E. (2020). Stock market reaction to COVID-19. International Review of Financial Analysis, 76, 101656.

Zhou, Y., Cao, J., & Feng, Y. (2021). Stock market reactions to pollution information disclosure. Sustainability, 13(4), 2262.

Webster, J., & Watson, R. T. (2002). Analyzing the past to prepare for the future: Writing a literature review. MIS Quarterly, 26(2), xiii–xxiii.

Woolridge, J. R., & Snow, C. C. (1990). Stock market reaction to strategic investment decisions. Strategic Management Journal, 11(5), 353–363.

EVENT STUDY STUDIES WITHIN THE FRAMEWORK OF BEHAVIORAL FINANCE: AN ANALYTICAL LITERATURE REVIEW