بررسی اهمیت ریسک غیرسیستماتیک هر ورقه بهادار : نگاهی دیگر به ریسک غیرسیستماتیک و بازده

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناسی ارشد، مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران

2 دانشیار، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران،

چکیده

در این پژوهش، رابطه میان ریسک غیر سیستماتیک و بازده بر اساس چارچوب مدل GARCH-in mean به‌صورت ورقه بهادار به ورقه بهادار در بورس اوراق بهادار تهران طی دوره زمانی 1380 تا 1394 موردبررسی قرارگرفته است. شواهد حاکی از آن است که به‌طور متوسط 27 درصد از سهام رابطه معنی‌داری را میان ریسک غیر سیستماتیک و بازده تجربه کردند. این در شرایطی است که شرکت‌هایی با ارتباط منفی دارای سهم بسیار بیشتری از شرکت‌هایی با ارتباط مثبت در تغییرات نسبت کل اوراق بهادار با ارتباط معنی‌دار می‌باشند (19 درصد). نتایج حاصل از بررسی اثر ویژگی‌های شرکت بر احتمال مشاهده این رابطه معنی‌دار نشان می‌دهد که برخی ویژگی‌ها هم احتمال رابطه مثبت و هم احتمال رابطه منفی را تحت تأثیر قرار می‌دهند، درحالی‌که مابقی ویژگی‌ها تنها احتمال یکی از رابطه‌های مثبت یا منفی را متأثر می‌سازند. این شواهد نشان می‌دهد که عوامل توضیح‌دهنده رابطه مثبت ریسک غیر سیستماتیک و بازده متفاوت از عواملی هستند که رابطه منفی را توضیح می‌دهند.

کلیدواژه‌ها

عنوان مقاله [English]

The Investigation of the Importance of Individual Securities Idiosyncratic Risk: Another Look at Idiosyncratic Risk and Expected Returns

نویسندگان [English]

  • Moien Nikusokhan 1
  • Muhammad Esmaeil Fadaei Nejad 2
1 MSc. In Financial Management, Faculty of Accounting and Management, Shahid Beheshti University, Tehran, Iran
2 Associate Prof, Faculty of Accounting and Management, Shahid Beheshti University, Tehran, Iran
چکیده [English]

This study investigates the relationship between idiosyncratic risk and return based on the model (GARCH)-in-mean for individual by individual securities in Tehran Stock Exchange during the period from 2001 to 2015. The evidence suggests that, on average, 27% of stocks experienced a significant relationship between idiosyncratic risk and return. This is the way that companies with a negative relationship comprise a far greater proportion than those with a positive relationship in changes with the proportion of all securities (19%). The results of investigating the effect of characteristics on the probability of a significant relationship between returns and idiosyncratic risk indicate that some characteristics influence the probability of a positive and a negative relationship, while the rest of characteristics appear to affect only a positive or negative relationship. This evidence implies that the factors that explain a positive connection between idiosyncratic risk and returns are different from the factors that explain a negative connection.
 

کلیدواژه‌ها [English]

  • Idiosyncratic Risk
  • Expected Returns
  • GARCH-in-mean Model
  • Firm Characteristic

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راهبرد مدیریت مالی
دوره 6، شماره 1 - شماره پیاپی 20
پیاپی 20
اردیبهشت 1397
صفحه 1-24

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سابقه مقاله

  • تاریخ دریافت: 17 آذر 1395
  • تاریخ بازنگری: 27 اسفند 1396
  • تاریخ پذیرش: 16 اردیبهشت 1397

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