تدوین الگویی هشت عاملی برای سنجش بازده سهام از طریق متغیرهای استرس بازار، سرعت شکنندگی بازار و ریسک نقد شوندگی بازار

نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه حسابداری، واحد گرگان، دانشگاه آزاد اسلامی، گرگان، ایران

2 دانشیار و عضو هیات علمی گروه حسابداری، واحد گرگان، دانشگاه آزاد اسلامی، گرگان، ایران

3 دانشیار و عضو هیات علمی گروه حسابداری، واحد علی آبادکتول، دانشگاه آزاد اسلامی، علی آبادکتول، ایران

4 استادیار و عضو هیات علمی گروه حسابداری، واحد گرگان، دانشگاه آزاد اسلامی، گرگان، ایران

چکیده

در سال‌های اخیر در بسیاری از پژوهش‌های مربوط به پیش‌بینی بازده سهام، از مدل‌های عاملی استفاده شده است. این پژوهش بر مبنای یک مدل هشت عاملی بنا شده است که متشکل از مدل ﭘﻨﺞ‌ﻋﺎﻣﻠﯽ فاما و فرنچ به علاوه، متغیرهای استرس بازار، سرعت شکنندگی بازار و ریسک نقدشوندگی بازار، به منظور بررسی توان توضیح دهندگی این مدل در بازار اوراق بهادار تهران در خلال سال‌های 1388 تا 1397 برای 117 شرکت به صورت ماهانه انجام شده است. نتایج پژوهش نشان می‌دهد که توان توضیح‌دهندگی مدل هشت عاملی بهتر از مدل ﭘﻨﺞ‌ﻋﺎﻣﻠﯽ فاما و فرنچ در بازار سرمایه ایران می‌باشد. همچنین، متغیرهای سرعت شکنندگی و استرس، رابطه منفی و معنی‌دار و متغیر ریسک نقدشوندگی، رابطه مثبت و معنی‌دار با بازده سهام دارند. این نتیجه می‌تواند مورد توجه سیاست‌گذاران حوزه مسائل مالی و سرمایه‌گذاری و سایر اشخاص ذی‌حق، ذی‌نفع و علاقه‌مند قرار بگیرد

کلیدواژه‌ها


عنوان مقاله [English]

Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables

نویسندگان [English]

  • Javad Sadeghi Panah 1
  • Mansour Garkaz 2
  • Parviz Saeedi 3
  • Alireza Matoufi 4
1 Department Of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
2 Department Of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
3 Department of Accounting and Management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
4 Department Of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
چکیده [English]

This research is based on an eight-factor model consisting of the Fama and French five-factor model plus the variables of market stress, market fragility, and market liquidity risk in order to investigate the explanatory power of this model in Tehran securities market during the years 2009 to 2018 for 117 companies on a monthly basis. The results of the research indicated that the explanatory capability of the eight factor model is better than the Fama and Farnach five-factor model in the Iranian capital market.

The results show that fragility has a significant negative relationship with stock returns. The results also show that stress has a significant negative relationship with stock returns and but liquidity risk has a significant positive relationship with stock returns. This result can be of interest to policymakers in the field of finance and investment and other stakeholders.



Keywords: Liquidity Risk, Fragility, Market Stress, Fama and French Five-Factor Model, Stock Return

کلیدواژه‌ها [English]

  • Liquidity Risk
  • Fragility
  • Market Stress
  • Fama and French Five-Factor Model
  • Stock Return
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