مدل قیمت‌گذاری دارایی‌های سرمایه‌‌ای با بازده فازی

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشگاه آزاد اسلامی واحد نجف آباد

2 استادیار گروه حسابداری، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)

چکیده

در چند دهه اخیر مدل­های مختلفی در‌خصوص پیش­بینی بازده سهام ارائه شده است. در‌این‌میان، مدل قیمت‌گذاری دارایی­های سرمایه­ای (CAPM) موردتوجه بسیار قرار گرفت، اما انتقادهای بسیاری نیز به آن مطرح شد. یکی از انتقادهای واردشده بر این مدل نادیده‌گرفتن نوسان‌های درون‌دوره­ای و طول دوره در محاسبات است. بر‌این‌اساس، در پژوهش حاضر با به­کارگیری رگرسیون فازی تلاش شده است تا نوسان‌های درون‌دوره‌‌ای در این مدل درنظر گرفته شود. همچنین به بررسی و مقایسه پایداری بتا و دقت پیش­بینی بازده در مدل قیمت­گذاری دارایی‌های سرمایه­ای با‌استفاده‌از مدل رگرسیون فازی (FLS)، مدل رگرسیون حداقل مربعات معمولی (OLS) و گشتاورهای تعمیم‌یافته (GMM) پرداخته شده است. جامعه آماری عبارت است ازهمه شرکت­های پذیرفته‌شده در بورس اوراق بهادار تهران و نمونه پژوهش شامل 31 شرکت است که در دوره 1391 تا 1393دارای بیشترین حجم معاملات بوده­اند. نتایج پژوهش نشان می­دهد که خطای پیش­بینی بازده سهام در مدل فازی بیشتر از مدل حداقل مربعات معمولی و روش گشتاورهای تعمیم‌یافته است، اما خطای پیش­بینی بازده سهام در دو مدل رگرسیون حداقل مربعات معمولی و گشتاورهای تعمیم‌یافته تفاوت قابل‌ملاحظه‌ای با یکدیگر ندارند؛ بنابراین بتای کلاسیک همچنان بتای پایدارتری را نسبت به بتای فازی ارائه کرده و بدین‌ترتیب پیش­بینی بهتری از بازده سهام ارائه می­دهد.

کلیدواژه‌ها

عنوان مقاله [English]

Capital Assets Pricing Model with Fuzzy Return

نویسندگان [English]

  • Leila Vahabi 1
  • afsaneh Soroushyar 2
1 Najaf Abad Branch, Islamic Azad University Najaf Abad Branch, Islamic Azad University
2 Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University
چکیده [English]

During the last decades several models have provided for predicting stock returns. The Capital Asset Pricing Model (CAPM), has attracted much attention, but also raised to it a lot of criticism. One of the criticisms is mentioned to this model is ignoring the intra-period volatility, structural breaks and duration of the calculations. Therefore, this study by using fuzzy regression has been tried to intra-period volatility to be included in this model. Then the stability of beta and accurately of the return prediction on the Capital Asset Pricing Model by using of Fuzzy logic system (FLS), Ordinary Least Squares regression model (OLS) and Generalized Method of Moments (GMM) are compared. The population of research is all companies listed in Tehran Stock Exchange and the research sample is consisted of 31 companies that in the period of 2011-2014, have been with the highest turnover. The results of research shows that the prediction error of stock returns in fuzzy model is more than OLS and GMM model, but the prediction error of stock returns in both of ordinary least squares regression model and Generalized method of moments doesn’t have any significant difference with each other. So the classical beta still has offered the more stable beta than fuzzy beta and thus is offering a better prediction of stock returns.

کلیدواژه‌ها [English]

  • Capital Assets Pricing Model- Fuzzy Least Squares- Beta- Market Returns- Stock Returns

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