Price Anomaly of Stock Dividend and an Investment Strategy

All of the data such as closing prices, stock dividends and market indexes used in this study is collected from Borsa Istanbul via Matriks Metastsock downloader software covering the period from 1997 to September 2018. The Matriks Metastsock software adjusts the closing price by taking stock dividend or cash dividend into account. Thus, it is not required to calculate closing price on ex-dividend or in the event windows in the data set. As seen from Table 1, stock dividends paid out by listed firms has been dropped over time. While 31% of the firms paid dividend as stocks in the period from 1997 to 1999, in the last four years this percentage dropped down to 8%. One of the reasons for dramatic change is deregulation. Before 2009, the regulation was forcing firms to pay out 20%-30% of their distributable income as stock or cash dividend and the regulation was annulled after 2008. Second main reason for the decreasing stock dividend is that the firms have not got special funds to pay out after IFRS was put in force in Turkey since 2008. Before IFRS, intangible assets inflated by a revaluation coefficient, published by Ministry of Finance, the increments accumulated under a special fund in owner’s equity part of the balance sheet. According to Turkish Commercial Code and capital markets regulations, these special funds can be paid out as a stock dividend. After IFRS, this type of fund accumulation is not possible anymore.本研究使用的收盘价、股票股利及市场指数等所有数据，均通过Matriks Metastsock下载软件从伊斯坦布尔证券交易所（Borsa Istanbul）采集，数据覆盖1997年至2018年9月的时段。该软件会将股票股利与现金股利纳入考量因素，对收盘价进行复权调整，因此无需在数据集的除权事件或事件窗口中另行计算收盘价。如表1所示，上市公司派发的股票股利占比随时间逐步下滑：1997年至1999年期间，有31%的公司以股票形式派发股利，而在最近四年这一占比已降至8%。引发这一显著变化的原因之一是监管放松：2009年之前，相关监管规定强制要求上市公司将其可分配收益的20%至30%以股票或现金股利形式进行派发，该规定于2008年后被废止。股票股利占比下降的第二个主要原因是，自2008年土耳其正式实施国际财务报告准则（International Financial Reporting Standards）以来，企业已无法再设立专用基金用于股利派发。在该准则实施前，无形资产可通过财政部发布的重估系数进行估值增值，该增值额累计计入资产负债表所有者权益项下的专用基金。根据《土耳其商法典》及资本市场监管规定，此类专用基金可用于派发股票股利。而在国际财务报告准则实施后，此类专用基金的计提已不再可行。