سامانه مدیریت نشریات علمی دانشگاه شهید بهشتی

رمضانی شریف آبادی, مصطفی, علی احمدی, سعید, آقابیک زاده, مهدی. (1400). ریسک دنباله و بازده مازاد سهام. , 11(36), 35-55. doi: 10.52547/jfmp.11.36.35
مصطفی رمضانی شریف آبادی; سعید علی احمدی; مهدی آقابیک زاده. "ریسک دنباله و بازده مازاد سهام". , 11, 36, 1400, 35-55. doi: 10.52547/jfmp.11.36.35
رمضانی شریف آبادی, مصطفی, علی احمدی, سعید, آقابیک زاده, مهدی. (1400). 'ریسک دنباله و بازده مازاد سهام', , 11(36), pp. 35-55. doi: 10.52547/jfmp.11.36.35
رمضانی شریف آبادی, مصطفی, علی احمدی, سعید, آقابیک زاده, مهدی. ریسک دنباله و بازده مازاد سهام. , 1400; 11(36): 35-55. doi: 10.52547/jfmp.11.36.35

ریسک دنباله و بازده مازاد سهام

چشم انداز مدیریت مالی
مقاله 2، دوره 11، شماره 36، دی 1400، صفحه 35-55    اصل مقاله (733.81 K)
نوع مقاله: مقاله پژوهشی
شناسه دیجیتال (DOI): 10.52547/jfmp.11.36.35
نویسندگان
مصطفی رمضانی شریف آبادی1؛ سعید علی احمدی* 2؛ مهدی آقابیک زاده3
1دانشجوی دکتری حسابداری، واحد اصفهان (خوراسگان)،دانشگاه آزاد اسلامی، اصفهان، ایران.
2استادیار گروه حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
3استادیار گروه حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
چکیده
ارزیابی دقیق ریسک­های سیستماتیک در بازارهای مالی می­تواند به تخـصیص مطلوب سرمایه منجر شود. ریسک سیستماتیک دنباله معرف رویدادهای نامطلوبی است که در صورت وقوع می­تواند بر بازده سهام تاثیر داشته باشد. از این رو، هدف پژوهش حاضر بررسی تاثیر ریسک دنباله بر بازده مازاد سهام است. در پژوهش حاضر برای اندازه­گیری ریسک دنباله از دو معیار ریسک دنباله تجمعی و ریسک کوواریانس دنباله ترکیبی استفاده شده است. بدین منظور با استفاده از روش غربالگری نمونه­ای شامل 136 شرکت پذیرفته­شده در بورس اوراق بهادار تهران در دوره زمانی 1387 تا 1398 انتخاب شد. فرضیه­های پژوهش با استفاده از مدل 5 عاملی فاما و فرنچ مورد آزمون قرار گرفت. نتایج پژوهش نشان داد ترکیب پرتفوی اندازه و ریسک دنباله و ترکیب پرتفوی ارزش و ریسک دنباله بر بازده مازاد بر ریسک تاثیر منفی دارد. علاوه بر این، نتایج پژوهش حاکی از این است که ترکیب پرتفوی سودآوری و ریسک دنباله و ترکیب پرتفوی سرمایه­گذاری و ریسک دنباله منجر به بازده مازاد بر ریسک نمی­شود. در کل نتایج پژوهش نشان داد که ریسک دنباله می­تواند علاوه بر متغیرهای مدل پنج عاملی فاما و فرنچ، به مدل­های قیمت­گذاری دارایی­ها اضافه گردد.
کلیدواژه‌ها
ریسک دنباله؛ بازده مازاد سهام؛ ناهنجاری اندازه و ناهنجاری ارزش
عنوان مقاله [English]
Tail Risk and Excess Stock Return
نویسندگان [English]
Mostafa Ramezani Sharifabadi1؛ Saeid Ali Ahmadi2؛ Mahdi Aghabikzadeh3
1Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
2Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
3Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
چکیده [English]
Accurate assessment of systematic risks in financial markets can lead to favorable capital allocation. Systematic tail risk is adverse events that, if they occur, can affect stock returns. Therefore, the purpose of this study is to investigate the effect of tail risk on excess stock returns. In the present study, two criteria of cumulative tail risk and combined tail covariance risk were used to measure tail risk. For this purpose, using the systematic removal method, a sample of 136 companies listed on the Tehran Stock Exchange (TSE) in the period 2009 to 2019 was selected. Research hypotheses were tested using the five-factor model of Fama and French regression. The results showed that the combination of size portfolio and tail risk and the combination of value portfolio and tail risk have a negative effect on excess stock returns. In addition, the results indicate that the combination of profitability portfolio and tail risk and the combination of investment portfolio and tail risk does not lead to excess stock returns. In general, the results showed that tail risk can be added to asset pricing models in addition to the variables of the five-factor model of Fama and French.
کلیدواژه‌ها [English]
Tail risk, Excess Stock Return, Size Anomalies and Value Anomalies
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