آزمون قیمت گذاری صرف ریسک دما در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشگاه آزاد اسلامی واحد علوم تحقیقات

2 دانشگاه آزاد اسلامی واحد تهران جنوب

چکیده

تغییرات دما می­تواند بر میزان سودآوری شرکت­ها تأثیر بسزایی داشته باشد. سودآوری شرکت در آینده شرکت مؤثر است و می­تواند زمینه رشد بیشتری را برای آن فراهم کند. سرمایه‌گذاران هنگام معامله در بازار بورس اوراق بهادار برای بررسی قیمت و ارزش یک سهم، میزان سودآوری و سود تقسیمی شرکت را نیز مدنظر قرار می­دهند؛ ازاین‌رو انتظار می‌رود سرمایه­گذاران برای تحمل ریسک تغییرات دما، بازده بالاتری طلب کنند. هدف پژوهش حاضر، آزمون قیمت­گذاری صرف ریسک دما در «بورس اوراق بهادار تهران» است. در این پژوهش از روشی متفاوت به نام «پرتفوی ردیاب» صرف ریسک تغییرات دما استخراج و قیمت­گذاری آن مورد­آزمون قرار می­گیرد. برای این منظور، نمونه‌ای متشکل از حدود 160 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران در بازه زمانی 1385 تا 1395 بررسی می­شود. برای آزمون قیمت­گذاری صرف ریسک دما از روش رگرسیون سری زمانی استفاده می‌شود. برای آزمون مدل‌های قیمت‌گذاری علاوه بر 6 پرتفوی فاما و فرنچ از 30 پرتفوی صنعت نیز استفاده خواهد شد. نتایج پژوهش حاکی از آن است که صرف ریسک دما هم در 6 پرتفوی فاما و فرنچ و هم در 30 پرتفوی صنعت در «بورس اوراق بهادار تهران» قیمت‌گذاری می‌شود؛ به­عبارتی سرمایه‌گذاران اخبار و اطلاعات مربوط به تغییرات دما در یک سال آینده را مهم تلقی کرده و به­ازای تحمل ریسک تغییرات این متغیر در یک سال آینده بازده مورد­انتظار بالاتری طلب می­کنند.

کلیدواژه‌ها

عنوان مقاله [English]

Pricing test of temperature volatility premium in Tehran Security Exchange

نویسندگان [English]

  • hamidreza vakili fard 1
  • mohsen hamidian 2
  • ghodrat allah taleb nia 1
1 Azad university
2 Azad university
چکیده [English]

Temperature volatility can affect making profit of firms. The power of making profit effect on the firm’s future and its growth rate. While investors are trading in the security markets they consider the price and profit making power of the firms and their dividends. So investors expect more return when they tolerance temperature volatility risk. The aim of this study is to test pricing of temperature volatility risk in Tehran security exchange. We use a novel methodology named “Tracking portfolio” to extract temperature volatility risk premium and then test the pricing of this premium. To test our hypothesis, we chose a sample consist of about 160 firms listed in Tehran security exchange from 1385 to 1395. We use time series regressions and to make our results more robust in addition on 6 fama-french portfolios we use 30 industry portfolios as the test assets. Results show that temperature volatility risk premium is priced in both 6 fama-french and 30 industry portfolios in Tehran security exchange. In other words, the news and information engaged with temperature changing in 1 year later is important for investors trading decisions and they expect more return on their assets when they tolerance temperature volatility risk.

کلیدواژه‌ها [English]

  • Tracking portfolio
  • temperature volatility
  • comparing pricing models

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