معرفی و آزمون مدل رشد ZZ برای ارزش‌گذاری سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانش‌آموختة دکتری، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی

2 دانشیار، گروه مدیریت، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا.

10.22051/jfm.2024.46040.2893

چکیده

این پژوهش قصد دارد ضمن معرفی مدلی جدید برای ارزش‌گذاری سهام تحت عنوان مدل رشد ZZ، قدرت آن را نسبت به مدل گوردون اندازه‌گیری نماید. برای آزمون قدرت این مدل در تعیین ارزش منصفانة سهام شرکت‌های پذیرفته‌شدة ایرانی، پس از محاسبة میانگین نرخ رشد و دورة بازگشت سرمایة موردنیاز شرکت‌ها و با توجه به درآمد هر سهم آنها در سال‌های مالی 1399 تا 1401، ارزش سهام شرکت‌ها در سال‌های مذکور با استفاده از مدل نامبرده برآورد شده است. در مرحلة بعد، از مدل گوردون برای تعیین ارزش سهام بهره گرفته شده است. در نهایت، ارزش‌های برآوردی سهام شرکت‌های منتخب با استفاده از این دو مدل و میزان انحراف هریک از آنها از میانگین قیمت بازار تعدیل‌شدة سهام، از طریق روش مقایسة میانگین‌های دو گروه مستقل، با یکدیگر قیاس شده است. یافته‌های پژوهش نشان می‌دهد در هریک از صنایع مورد بررسی، میانگین انحراف ارزش‌های برآوردی سهم‌ها با استفاده از مدل رشد ZZ از میانگین قیمت بازار تعدیل‌شدة آنها، در مقایسه با حالتی که از مدل گوردون برای تعیین ارزش سهام شرکت‌ها استفاده می‌شود، به‌طور معنی‌‌‌‌داری پایین‌تر است. بنابراین، کاملاً مشهود است که مدل رشد ZZ در مقایسه با مدل گوردون، توانسته است ارزش سهام شرکت‌ها را با دقت بالاتری برآورد نماید.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Introducing and Testing the ZZ Growth Model for Stock Valuation

نویسندگان [English]

  • Maysam Ahmadvand 1
  • Hassan Ghalibafasl 2
1 Allameh Tabataba`i University
2 Alzahra University
چکیده [English]

This paper aims to introduce a new model for stock valuation called the ZZ growth model, as well to measure its power compared to the Gordon model in estimating the intrinsic value of stocks. To test the power of the ZZ growth model in determining the fair value of the stocks of companies in the Iranian stock market, after calculating the average growth rate and the required payback period of the companies in the sample and according to their EPSs in the fiscal years 2020-2022, the values of the selected stocks in the mentioned years have been estimated and determined using this model. In the next stage, the Gordon model has been used to determine the values of companies' stocks. Finally, the values estimated using these two models and the deviation of each of them from the average adjusted stock market prices through the Independent Samples T-test, have been compared. The research findings indicate that in each of investigated industries, the ZZ growth model compared to the Gordon model, has been able to estimate the value of stocks with much higher accuracy.

کلیدواژه‌ها [English]

  • Stock Valuation
  • The ZZ Growth Model
  • Required Payback Period
  • The Gordon model
  • Iranian Stock Market
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