بررسی اثر تعدیلی اهرم بازار در قدرت تبیین مدل فاما و فرنچ

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشیار، گروه مدیریت دولتی، دانشگاه تهران، تهران، ایران .

2 استاد، گروه مدیریت مالی، دانشگاه تهران، تهران، ایران.

3 دانشجوی دکتری مدیریت مالی، پردیس البرز دانشگاه تهران، البرز، ایران.

چکیده

هدف از تحقیق حاضر ارائه مدل سه عاملی تعدیل شده در تبیین بازده مورد انتظار با لحاظ نمودن اهرم بازار در مدل اولیه بوده است. تحقیق در برآورد صرف ریسک بازار، به گونه ای است که بتواند مدیران سبد سهام و سرمایه گذاران را در بهینه سازی سرمایه گذاری ها در بورس اوراق بهادار یاری نماید؛ اهمیت موضوع به، رو به رشد بودن بورس اوراق بهادار و تلاش در جهت هدایت آن به سمت کارایی هرچه بیشتر بر می­گردد. استفاده شرکت­ها از اهرم مالی در بورس اوراق بهادار تهران به علت فاصله زیاد هزینه تأمین مالی از طریق بانک و بازار سهام، به تمایل شرکت­ها برای اهرمی شدن منجر شده است. از طرفی این اهرم موجب بالا رفتن ریسک می شود و تفاوت شرکت­ها در استفاده از اهرم، به تفاوت بازدهی مورد انتظار سرمایه گذاران منجر می شود.  با توجه به هدف این پژوهش و آزمون انجام شده نتیجه تحقیق حاضر نشان می­دهد که در آزمون مدل سه عاملی، اثر عامل بازار و اندازه معنادار بوده و اثر عامل ارزش معنادار نمی­باشد. همچنین در یافته­های حاصل از آزمون مدل سه عاملی تعدیلی و با لحاظ نمودن اهرم بازار در محاسبه آن، نتایج بیانگر آن است که اثر عوامل بازار، ارزش، اندازه معنادار می­باشد. در هر دو آزمون اثر عامل بازار معنادار و مستقیم و اثر عامل اندازه معنادار و معکوس می­باشد. همچنین نتیجه تحقیق نشان می­دهد که مقدار ضریب تعیین تعدیل شده در مدل سه عاملی تعدیل شده از مدل سه عاملی بیشتر است و اضافه شدن اهرم بازار منجر به بهبود قدرت تبیین مدل شده است

کلیدواژه‌ها


عنوان مقاله [English]

Market Leverage Effect in Fama Frech Model

نویسندگان [English]

  • Ezatolah Abbasian 1
  • Reza Tehrani 2
  • Mojtaba Pakdin Amiri 3
1 Associate Prof., Department of Public Administration, University of Tehran, Tehran, Iran.
2 Professor, Department of Financial Management and Insurance, University of Tehran, Tehran, Iran.
3 Ph.D Student in Financial Management, Alborz Campus, University of Tehran, Alborz, Iran.
چکیده [English]

the model is investigated. Among the companies listed on the Tehran Stock Exchange, the number of statistical samples in the years under review (2016-2017) includes 1408 companies / year. According to the purpose of this research and the performed test, the result of the present research shows; In the three-factor model test, the effect of market factor and size is significant and the effect of value factor is not significant. Also, in the findings of the test of the three-factor adjustment model and considering the market leverage, the results indicate that the effect of market factors, value, size is significant. In both tests, the effect of market factor is significant and direct and the effect of size factor is significant and inverse. Also, the research results show that the value of the adjusted coefficient of determination in the modified three-factor model is more than the initial model and the addition of market leverage will improve the explanatory power of the model.

کلیدواژه‌ها [English]

  • Market leverage
  • Stock returns
  • F.F Model
  • Market factor
  • Value factor
  • Size factor
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