Price performance analysis of initial public offerings of company shares: A study on the efficiency of Borsa Istanbul A.Ş.

The aim of the study is to find an answer to the question of whether it is possible for investors to obtain an abnormal return after the initial public offering, with particular emphasis on informational efficiency. Returns adjusted for XU100 and XU30 Indices were analyzed, and as a result of the detection of an outlier according to the Efficient Market Hypothesis, underpricing was encountered and factors causing underpricing were determined. The first day, short-term and long-term price performances of the shares of initial public offerings between the 2010 and 2015, 2016 and January 2020 periods at Borsa İstanbul A.Ş. have been subjected to a detailed examination. For the 2010 and 2015 period, the first-day average raw return was calculated as %4,97, market adjusted return was calculated as %5,11 according to XU100 and %5,08 according to XU30 Index. The short-run cumulative average market adjusted return was determined as %9,82 for XU100 and %9,85 for XU30. The cumulative average market-adjusted return for the long run is -%10,56 for XU100 and -%12 for XU30. According to the regression model for underpricing on the first day, the importance of the company's age, public offering rate, mode of intermediation in public offering and standard deviation independent variables were determined. The results show that underpricing continues for the first day and short term, the market is inefficient, but underperformance is encountered in the long term. The average raw return in the initial public offerings between 2016 and January 2020 was calculated as %5,94, market adjusted return was %5,63 according to the XU100 Index and %5,60 according to the XU30 Index. The short-run cumulative average market-adjusted return was determined as %12,87 for XU100 and %12,89 for XU30. According to the regression made for the underpricing on the first day, the importance of the public offering price and standard deviation independent variables were determined. Likewise, it was supported that the market where underpricing continues for the first day and for the short term is not effective.