ناهنجاری ریسک درماندگی و قیمت‌گذاری سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناسی ارشد مدیریت مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران.

2 دانشیار گروه حسابداری و مدیریت مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

3 استادیار گروه حسابداری و مدیریت مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

10.22051/jfm.2024.46680.2913

چکیده

رابطه منفی ریسک درماندگی و بازده سهام به عنوان ناهنجاری ریسک درماندگی شناخته شده و پژوهش­های اخیر یکی از عوامل ایجاد کننده این ناهنجاری را قیمت­گذاری اشتباه سهام می­دانند. به همین منظور هدف پژوهش حاضر در وهله اول بررسی تاثیر ریسک درماندگی بر بازده سهام به منظور شناسایی ناهنجاری ریسک درماندگی بوده و در مرحله بعد، پژوهش حاضر اثر تعدیلی قیمت‌گذاری اشتباه سهام را بر رابطه بین ریسک درماندگی و بازده سهام، بررسی می‌کند. به منظور آزمون فرضیه‌های پژوهش، تعداد 106 شرکت در طی سال­های 1401-1391 به عنوان نمونه منتخب انتخاب شده و برای تجزیه و تحلیل داد­های آن از الگوی رگرسیونی چند متغیره با استفاده از داده‌های پنل استفاده شده است. یافته‌های پژوهش بیانگر آن است که ریسک درماندگی مالی بر بازده سهام تاثیر منفی و معنی‌دار داشته اما اثر تعدیلی قیمت­گذاری اشتباه بر رابطه منفی بین ریسک درماندگی مالی و بازده سهام مورد تایید قرار نگرفته است. به عبارت دیگر، بر اساس نتایج پژوهش که اثرگذاری منفی ریسک درماندگی بر بازده سهام، وابسته به قیمت­گذاری اشتباه سهام نمی‌باشد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Distress Risk Anomaly and Stock Pricing

نویسندگان [English]

  • Marzieh Hosseinzadeh 1
  • Gholamreza Mansourfar 2
  • Farzad Ghayour 3
1 MSc. Department of Accounting, Faculty of Economics and Management, Urmia University, Urmia, Iran
2 Associate Prof., Department of Accounting, Faculty Economic and Management, Urmia University, Urmia, Iran
3 Assistant Professor, Department of Accounting, Faculty of Economics & Management, Urmia University, Urmia, Iran
چکیده [English]

The negative relationship between the distress risk and stock returns is known as the abnormality of the risk of distress risk, and recent studies consider stock mispricing as one of the factors that cause this abnormality. For this reason, the aim of this research is to first investigate the impact of the distress risk on stock returns in order to identify the abnormality of the distress risk, and in the next step, this research has examined the moderating effect of stock mispricing on the relationship between distress risk and stock returns. In order to test the hypotheses of the research, a number of 106 companies were selected as a selected sample during the years 2012-2022, and to analyze its data from a multivariate regression model using panel data, the results were examined. The findings of the research proved that the distress risk had a negative and significant effect on stock returns, but the moderating effect of mispricing on the negative relationship between the risk of distress risk and stock returns was not confirmed. In other words, the results of the research show that the negative impact of the risk distress risk on stock returns is not dependent on the stock mispricing.

کلیدواژه‌ها [English]

  • Stock returns
  • Distress risk
  • Distress risk anomaly
  • Stock mispricing

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  • تاریخ دریافت: 25 اسفند 1402
  • تاریخ بازنگری: 08 مرداد 1403
  • تاریخ پذیرش: 24 آذر 1403

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