نقش رفتار جمعی سرمایه گذاران حقوقی در رانش قیمت سهام پس از اطلاعیه های تعدیل سود برای دوره های کوتاه مدت

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران

2 کارشناس ارشد مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران

چکیده

تحقیقات بسیاری در جهان پیرامون رانش قیمت سهام پس از اطلاعیه‎های تعدیل سود (PEAD) صورت پذیرفته است و اکثر یافته‎‌ها از وجود بازدهی غیرعادی اضافی در صورت بهره‎مندی از PEAD پشتیبانی می‎‌کند. در این پژوهش، به بررسی وجود PEAD در شرکت‎‌های بورس اوراق بهادار تهران در دوره 1388 تا 1400 پرداخته شد و برای اولین بار، به بررسی نقش حرکت جمعی سرمایه‎‌گذاران حقوقی در شکل‎‌گیری و تشدید PEAD نیز پرداخته شد. درصد‎های مختلف تعدیل سود به 6 گروه تقسیم شدند که 3 گروه مربوط به تعدیل منفی و 3 گروه مربوط به تعدیل مثبت سود است. همچنین نوع رفتار حقوقی بعد از تعدیل سود به چهار دسته حرکت جمعی قوی در جهت فروش، حرکت جمعی ضعیف در جهت فروش، حرکت جمعی قوی در جهت خرید و حرکت جمعی ضعیف در جهت خرید تقسیم گردید. معنی‏‌داری نتایج با استفاده از آزمون t نیویی-وست بررسی شد که نتایج به این صورت است: PEAD برای دوره کوتاه مدت در بورس اوراق بهادار تهران وجود دارد. همچنین در زمانی که سهامداران حقوقی برای تعدیل سود مثبت خریدار و برای تعدیل سود منفی فروشنده هستند، مخصوصا برای گروه‎‌های تعدیل سود منفی 40 تا مثبت 40 درصد، امکان کسب بازده غیرعادی مثبت تقویت می‏‌شود.

کلیدواژه‌ها

عنوان مقاله [English]

The Role of Institutional Investors Herding on the Formation and Intensification of PEAD in the Short Period

نویسندگان [English]

  • Mohammad Osoolian 1
  • Mansoor Asghari Sheikhi 2
1 Assistant Professor, Department of Finance, Shahid Beheshti University, Tehran, Iran
2 Master of Financial Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran
چکیده [English]

There have been many researches in the world about Post Earning Announcement Drift (PEAD). Most of the findings support the existence of excess abnormal returns in case of benefit from PEAD. In this research, the existence of PEAD in Tehran Stock Exchange companies during the period from 2009 to 2021 was investigated, and for the first time, the role of the herding behavior of institutional investors in the formation and intensification of PEAD was investigated. Different percentages of earning adjustment were divided into 6 groups, 3 groups were related to negative adjustment and 3 groups were related to positive earning adjustment. Also, the type of institutional behavior after adjusting earning was divided into four categories: strong herding behavior of selling, weak herding behavior of selling, strong herding behavior to buying and weak herding behavior of buying. The significance of the results was assessed using the Newey-West t test, and the results are as follows: PEAD exists for a short period on the Tehran Stock Exchange. Also, when the institutional investors are the buyer for positive earning adjustment and and sellers for negative earning adjustment, especially for groups of negative 40% to positive 40% earning adjustment, the possibility of obtaining positive abnormal returns is strengthened.

کلیدواژه‌ها [English]

  • Abnormal returns
  • Institutional Investors
  • Earning Announcement
  • Tehran Stock Exchange

مراجع

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چشم انداز مدیریت مالی
دوره 12، شماره 40
دی 1401
صفحه 49-68

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