تأثیر ارزش‌گذاری نادرست بر بازده سهام؛ کاربردی از الگوی پنج عاملی

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار بخش اقتصاد، دانشگاه یزد، یزد، ایران.

2 استادیار گروه مدیریت، دانشگاه کاشان، اصفهان، ایران

3 کارشناسی ارشد اقتصاد، دانشگاه یزد، یزد، ایران.

چکیده

سرمایه گذاری مطمئن برای یک سرمایه گذار وابسته به این است که بداند افزایش قیمت رخ داده در هر سهم واقعی است یا حباب قیمتی باعث این رشد قیمت شده است. به منظور بررسی نقش و اثر حباب قیمتی بر بازده سهام داده­های ماهانه نمونه­ای شامل 276 شرکت از بازار بورس اوراق بهادار تهران برای دو دوره­ی رونق و رکود بازار در یک مدل پنج عاملی بکار گرفته شده است. تخمین الگوی تحلیلی نشان می­دهد که ارزشگذاری نادرست سهام در دوره­ی رونق در تمام پرتفوها اثر مثبت و معنادار بر بازده سهام دارد. اما در دوره­ی رکود تنها در پنج پرتفوی اثر مثبت و معنادار مشاهده شده است. این نتایج به این معناست که در دوره رکود ارزشگذاری نادرست سهام با بازدهی بالاتر در سهم مربوطه همراه نیست اما این رابطه در دوره رونق تقویت می­شود. همچنین ضریب عامل صرف ریسک بازار در دوره­ی رکود در پرتفوهای بزرگ مثبت و معنادار است ولی در دوره­ی رونق در پرتفوهای بزرگ معنادار بوده ولی علامت ثابتی را نشان نمی­دهد. عامل اندازه هم در دوره­ی رونق و هم در دوره­ی رکود در پرتفوهای بزرگ رابطه­ی منفی و معناداری با بازدهی سهام دارد. عامل مومنتوم در دوره­ی رکود در پرتفوهای بزرگ و ارزشی معنادار است ولی در هر دو دوره علامت ثابتی را نشان نمی­دهد این عامل در دوره­ی رونق در پرتفوهای بزرگ معنادار است.

کلیدواژه‌ها

عنوان مقاله [English]

The Effect of the Mispricing on Stock Returns: An Application of the Five-Factor Model

نویسندگان [English]

  • Habib Ansari Samani 1
  • Ali Farhadian 2
  • Zahra Faramarzi 3
1 Assistant Prof, Department of Economics, Yazd University, Yazd, Iran.
2 Assistant Prof, Department of Management, Kashan University, Isfahan, Iran
3 MSc. In Economics, Yazd University, Yazd, Iran.
چکیده [English]

     A safe investment for an investor depends on knowing if the price increase is real or the mispricing is causing the price to rise. In order to examine the role and effect of the mispricing on the return on stocks of monthly data, a sample of 276 companies from the Tehran Stock Exchange has been used for two periods of Boom and Substantiv in a five-factor model. Analysis of the analytical model shows that mispricing of stocks during the boom period in all portfolios has a positive and significant effect on stock returns, but during the recession, only five portfolios had a positive and significant effect. These results mean that in the recession period, incorrect valuation of stocks is not associated with higher returns on the relevant share, but this relationship is strengthened during the boom period. Also, the factor of market risk in the recession period in large portfolios is positive and significant, but in the boom period in large portfolios it is significant but does not show a fixed sign. The size factor has a negative and significant relationship with stock returns both in the boom period and in the recession period in large portfolios. In addition, the value factor in the recession period in large portfolios is a positive and significant value, but in the boom period it is only positive and significant in large portfolios. The momentum factor is significant in the recession period in large and valuable portfolios, but does not show a fixed sign in both periods. This factor is significant in the boom period in large portfolios.

کلیدواژه‌ها [English]

  • Stock Mispricing
  • Stockreturns
  • Tehran Stock Exchange
  • Financial Economy
  • Factor Models

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