توان پیش‌بینی کنندگی ریسک دنباله چپ گذشته در برآورد ریسک دنباله چپ آتی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 پسا دکتری، گروه حسابداری، دانشگاه اصفهان، اصفهان، ایران.

2 دانشیار، گروه حسابداری، دانشگاه اصفهان، اصفهان، ایران.

چکیده

بازده غیرعادی کم (زیاد) سهام­هایی با ریسک دنباله چپ بالا (پایین) یکی از ناهنجاری­های مالی مطالعه‌شده در پژوهش­های تجربی قیمت­گذاری دارایی­های سرمایه­ای است. علت ایجاد این ناهنجاری وقوع رویدادهای نامطلوب و غیرمنتظره­ای است که باعث ایجاد ضررهای شدید برای سرمایه­گذاران
می­شود و این زیان دارای ویژگی استمرارپذیری در دوره آتی است. از آنجایی که پیش­بینی ریسک دنباله چپ می­تواند در تدوین راهبرد معاملاتی مناسب مفید باشد، هدف پژوهش حاضر پیش­بینی ریسک دنباله چپ به وسیله اطلاعات گذشته این ریسک است. در پژوهش حاضر از تجزیه و تحلیل پرتفوی و همچنین رگرسیون فاما و مکبث (1973) استفاده شده است. بدین منظور از داده­های 307 شرکت­ بورس اوراق بهادار تهران و فرابورس ایران طی سال­های 1384 تا 1398 استفاده شده است. نتاج پژوهش حاضر نشان‌دهنده توانایی پیش­بینی ریسک دنباله چپ به وسیله اطلاعات گذشته این ریسک در نمونه پژوهش است. کنکاش بیشتر به وسیله تحلیل­های اضافی مبتنی بر تجزیه و تحلیل پرتفوی حاکی از این مهم است که قدرت پیش­بینی ریسک دنباله چپ آتی توسط اطلاعات گذشته ریسک دنباله چپ در بین سهام­های با ویژگی اندازه کوچک و نوسان­پذیری غیرسیستماتیک بالا بیشتر است، اما تنها سهم کوچکی از بازار به سهام با ویژگی­های مذکور اختصاص داده شده است.

کلیدواژه‌ها

عنوان مقاله [English]

The Predictive Power of Past Left Tail Risk in the Estimation of Left Tail Risk in Future

نویسندگان [English]

  • Mahshid Shahrzadi 1
  • Daruosh Foroghi 2
1 Post-Doc., Department of Accounting, University of Isfahan, Isfahan, Iran.
2 Associate Prof., Department of Accounting, University of Isfahan, Isfahan, Iran
چکیده [English]

The low (high) abnormal returns of stocks with a high (low) left tail risk is a financial anomaly studied in empirical capital asset pricing research. This anomaly is caused by undesirable and unexpected events that incur severe losses for investors, and this loss has the characteristic of continuity. Since the prediction of left-tail risk can help formulate an appropriate trading strategy, this study aims to predict the left-tail risk through past left tail risk information via portfolio analysis and Fama and Macbeth's (1973) regression. To this end, the data of 307 companies of Tehran Stock Exchange and Iran Fara Bourse from 2005 to 2020 were used. The results revealed the ability to predict the left tail risk by past risk information in the research sample. Further exploration by additional portfolio analysis suggested that the future left-tail risk prediction power by past information left-tail risk is greater among stocks with small size characteristics and high unsystematic volatility, but only a small portion of the market is devoted to stocks with these characteristics.

کلیدواژه‌ها [English]

  • left tail risk anomaly
  • the prediction of left tail risk
  • size
  • idiosyncratic volatility

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چشم انداز مدیریت مالی
دوره 12، شماره 38
تیر 1401
صفحه 9-33

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