بررسی اثر شتاب قیمت در بورس اوراق بهادار تهران بر اساس ریسک و واکنش کمتر از حد

نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه مدیریت، دانشکده اقتصاد و علوم اجتماعی،دانشگاه شهید چمران اهواز، اهواز،ایران

2 گروه مدیریت، دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهید چمران اهواز

10.22051/jfm.2023.43538.2814

چکیده

هدف این پژوهش شناسایی اثر شتاب قیمت در بورس اوراق بهادار تهران می‌باشد. به همین منظور، از داده‌های 60 شرکت موجود در بورس اوراق بهادار طی یک دوره 10ساله (1391-1400) استفاده شده است. الگوی رگرسیونی پژوهش با استفاده از روش داده‌های سری زمانی، آزمون شده است. فرضیه‌های این پژوهش در دو دوره رونق و رکود بررسی شده‌اند. در بررسی مسئله ریسک، از مدل پنج عاملی فاما و فرنچ برای توضیح اثر شتاب قیمت استفاده گردید که نشان می‌دهد این مدل نمی‌تواند اثر شتاب قیمت را توضیح دهد و این نتیجه در دوره رونق و رکود همچنان برقرار است، گرچه در دوره رونق قابلیت توضیح بالاتری خواهد داشت. در بررسی فرضیه دوم مدل پنج عاملی جهت سنجش توانایی عامل شتاب سود در توضیح اثر شتاب قیمت با افزودن این عامل به مدل  بسط داده شد. نتایج حاصل از ازمون فرضیه ها نشان می‌دهد مدل 6 عاملی توانایی کافی در توضیح اثر شتاب قیمت را ندارد و این نتیجه در بررسی رویدادی تایید شده است چنان که روندی نزولی از شتاب سود مشاهده شده است که در ان واکنش کمتر از حد نسبت به اخبار سود مشاهده  نمی‌شود. این نتایج در دو دوره رونق و رکود همچنان برقرار است اگرچه تنها در استراتژی j6k12  در دو دوره رونق و رکود فرضیه دوم تایید گردید و مشاهده شد در این استراتژی شتاب سود عامل رفتاری مناسبی برای توضیح اثر شتاب قیمت می‌باشد، چرا که با افزودن این عامل به مدل، مدل تا 59% قدرت توضیحی پیدا می‌کند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Effect of Price Acceleration in Tehran Stock Exchange based on Risk and Under Reaction

نویسندگان [English]

  • Hasanali Sinaei 1
  • Rahim Ghasemiyeh 2
  • Mahtab Eslahi 1
  • Seyedeh Yeganeh Hoseiini 1
1 Department of Management, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran
2 Department of Management, Shahid Chamran University of Ahvaz, Ahvaz, Iran
چکیده [English]

The purpose of this research is to identify the effect of price acceleration in Tehran Stock Exchange. For this purpose, the data of 60 companies available in the stock exchange during a 10-year period (2012-2021) has been used. The regression model of the research has been tested using the time series data method. The hypotheses of this research have been examined in two boom and recession periods. In investigating the problem of risk, Fama and French's five-factor model was used to explain the effect of price acceleration, which shows that this model cannot explain the effect of price acceleration, and this result is still valid in the boom and recession periods, although it has a higher explanatory power in the boom period. Will have. In examining the second hypothesis, the five-factor model was expanded to measure the ability of the profit acceleration factor to explain the price acceleration effect by adding this factor to the model. The results of the hypothesis test show that the 6-factor model does not have sufficient ability to explain the effect of price acceleration, and this result has been confirmed in the investigation of an event, such as a downward trend of profit acceleration has been observed, in which the reaction is less than the limit to profit news. It is not visible. These results are still valid in two periods of boom and recession, although only in the j6k12 strategy in two periods of boom and recession, the second hypothesis was confirmed and it was observed that in this strategy, profit acceleration is a suitable behavioral factor to explain the effect of price acceleration, because by adding this factor According to the model, the model has an explanatory power of up to 59%.

کلیدواژه‌ها [English]

  • Effect of Price Acceleration
  • Profit Acceleration
  • Efficient Market Hypothesis
  • Risk
  • Under Reaction

مراجع

 
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سابقه مقاله

  • تاریخ دریافت: 05 اردیبهشت 1402
  • تاریخ بازنگری: 22 شهریور 1402
  • تاریخ پذیرش: 24 آبان 1402

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