تأثیر برداشت سرمایه‌گذاران آگاه و اخلال‌گر از گزارش‌های مالی بر بازده سهام: رویکرد متن‌کاوی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.

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

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

چکیده

هدف پژوهش حاضر تبیین تأثیر برداشت سرمایه‌گذاران آگاه و اخلال‌گر از گزارش‌های مالی بر بازده سهام  است. در این راستا از داده‌های کیفی گزارش‌های هیأت مدیره 116 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی بازه زمانی1390-1398 استفاده شده است. جهت تحلیل کیفی گزارش‌های هیأت مدیره و استخراج عناصر متنی مد‌‌ نظر دو گروه معامله‌گران آگاه و اخلال‌گر از رویکرد متن‌کاوی و رگرسیون لاسو و به منظور تفکیک معامله‌گران بازار سرمایه به دوگروه معامله گران آگاه و اخلال‌گر از فیلتر کالمن استفاده گردید. نتایج و یافته‌های پژوهش نشان می‌دهد هر دو گروه سرمایه‌گذاران آگاه و اخلال‌گر قادر هستند تا با استفاده از اطلاعات گزارش‌های هیأت مدیره و مبنا قراردادن لغات و تفکیک آن‌ها به لغات با مبنای واقعی و احساسی به بازده غیرعادی دست پیدا کنند. در خصوص لغات با مبنای ترکیبی ، برداشت معامله گران آگاه می‌تواند بر بازده غیرعادی سهام تاثیر گذارد، این در حالی است که معامله گران اخلال‌گر قادر به تفکیک لغات ترکیبی نبوده و به نظر در تصمیم‌گیری‌های خود توجه زیادی به این لغات نمی نمایند. به طور کلی نتایج پژوهش با نظریه معامله گران اخلال‌گر همسو بوده و به نوعی نشان دهنده وجود سویه‌های رفتاری (سویه اثر تقلیدی) در بورس اوراق بهادار تهران است.

کلیدواژه‌ها

عنوان مقاله [English]

The Effect of the Informed and Noise Traders Perceptions from the Financial Reports on Stock Returns: Text Mining Approach

نویسندگان [English]

  • Morteza Aram 1
  • Afsaneh Soroushyar 2
  • Daruosh Foroghi 3
1 Ph.D. Student in Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
2 Assistant Prof, Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran .
3 Associate Prof, Department of Accounting, Isfahan University, Isfahan, Iran.
چکیده [English]

The purpose of this study is to investigate the effect of informed and noise investors' perceptions of financial statements on stock returns. In this regard, the qualitative data of the reports of the board of directors of 116 companies listed on the Tehran Stock Exchange during the period 2011-2019 have been used. To qualitative analyzing the reports of the board of directors and extracting the textual elements considered by the two groups of informed and noise traders, the text mining and Lasso regression approach was used and to separate the capital market traders into two groups of informed and noise traders, Kalman filter was used. Findings of the study show that both groups of informed and noise traders can achieve abnormal returns by using the information of board reports and basing words and separating them into words with real and fact basis. In the case of mix-meanning based words, the perception of informed traders can affect abnormal stock returns, while noise traders are unable to distinguish mix-meaning words and do not seem to pay much attention to them in their decisions. The results of the research are generally in line with the theory of noise traders and show the behavioral basis (imitative effect) in the Tehran Stock Exchange.

کلیدواژه‌ها [English]

  • Informed Traders
  • Noise Traders
  • Text Mining
  • Abnormal Returns

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چشم انداز مدیریت مالی
دوره 11، شماره 35
آذر 1400
صفحه 119-141

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