ویژگی های شرکتی توضیح دهنده نوسانات غیرسیستماتیک در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مدیریت، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا، تهران، ایران

2 کارشناسی ارشد، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا، تهران، ایران

چکیده

با وجود اعتبار نظری و تجربی الگوی قیمت‌گذاری ‌دارایی­های ‌سرمایه‌ای، شواهد تجربی ‌نشان ‌می‌دهد ‌سرمایه‌گذاران به‌ دلیل تحمل نوسانات‌ غیرسیستماتیک، صرف ریسک مطالبه می‌نمایند. لذا با در نظر گرفتن نوسانات غیرسیستماتیک در قیمت‌گذاری دارایی‌های ریسکی، ‌پژوهش حاضر به بررسی ویژگی‌های شرکتی توضیح‌دهنده نوسانات غیرسیستماتیک شرکت‌ها در بورس اوراق بهادار تهران پرداخته است. برای این منظور از روش‌های شرطی و غیرشرطی و مدل‌های پنج عاملی و هفت عاملی برای اندازه­گیری قیمت‌گذاری دارایی‌ها استفاده شد و ارتباط نوسانات غیرسیستماتیک و ویژگی‌های شرکتی نیز با کاربرد رگرسیون داده‌های تابلویی بررسی گردید. جامعه آماری پژوهش شامل کلیه شرکت‌های پذیرفته شده در بورس و فرابورس ایران در بازه زمانی 1390 تا 1397 بود که با توجه به شرایط مدنظر در نمونه ‎گیری، 82 شرکت به‌عنوان نمونه آماری انتخاب شدند. در نهایت، نتایج حاصل از تخمین رگرسیون داده‌های تابلویی با استفاده از سنجه­های مختلف اندازه‌گیری نوسانات غیرسیستماتیک نشان داد متغیرهای ارزش‌ دفتری به ارزش ‌بازار، اندازه شرکت، رشد فروش، رشد دارایی‌ها‌‌‌‌‌ و نقدشوندگی ‌عوامل توضیح دهنده نوسانات غیرسیستماتیک شرکت­ها به ‌شمار می‌روند. به این صورت که شرکت‌های با ارزش‌دفتری به ارزش بازار بالا، اندازه بزرگتر، رشد دارایی کمتر، رشد فروش کمتر و نقدشوندگی کمتر، نوسانات غیرسیستماتیک کمتری دارند.

کلیدواژه‌ها


عنوان مقاله [English]

Firm Characteristics Determining Idiosyncratic Volatility in Tehran Stock Exchange

نویسندگان [English]

  • Mohammad Reza Rostami 1
  • Hojjat-allah Ansari 1
  • Farzane Rahimi 2
1 Assistant Prof, Department of Management, Faculty of Social Sciences and Economics, University of Alzahra, Tehran, Iran
2 MSc, Faculty of Social Sciences and Economics, University of Alzahra, Tehran, Iran.
چکیده [English]

Despite the theoretical and empirical validity of the capital asset pricing model, empirical evidence shows that investors ask for Risk premium due to idiosyncratic volatility. Considering the idiosyncratic volatility in capital asset pricing، this study seeks to determine firm characteristics which explain idiosyncratic volatility in Tehran Stock Exchange. In this study, we measured the idiosyncratic volatility, employing the 5 and 7 multi-factor models and using the conditional and non-conditional methods. Moreover, we investigate the relation between firms’ characteristics and idiosyncratic volatility by panel Regression. The research population contains the whole firms in Tehran Stock Exchange and OTC during 2011-2017, amongst them, 82 firms were selected based on specified sampling conditions. Employing various Ivol measurements, our results show that book to market equity ratio, size، sales growth, asset growth, and liquidity are the determinants of idiosyncratic volatility and firms with greater size, lower liquidity, lower sales growth, higher book-to-market equity ratio, and lower Asset growth have less idiosyncratic volatility.

کلیدواژه‌ها [English]

  • Idiosyncratic Volatility
  • Firm Characteristics
  • Egarch
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