نوسانات غیرسیستماتیک شرطی بازده سهام؛ نوسانات غیرسیستماتیک غیرشرطی بازده سهام؛ ویژگی‌های خاص شرکت.‎‌

نوع مقاله : علمی - پژوهشی

نویسندگان

1 کارشناسی ارشد مدیریت مالی، واحد شهرکرد، دانشگاه آزاد اسلامی، شهرکرد، ایران.

2 دانشیار گروه حسابداری، دانشگاه اصفهان، اصفهان، ایران

چکیده

هدف پژوهش حاضر بررسی تأثیر ویژگی‌های شرکتی پیش‌بینی کننده بازده سهام بر نوسانات غیرسیستماتیک بازده آتی سهام است. به این منظور نمونه‌ای متشکل از ۱۰0 شرکت پذیرفته‌شده در «بورس اوراق بهادار تهران» در بازده زمانی 1389 تا ۱۳۹۶ با استفاده از رویکرد سهام انفرادی بررسی‌شده ‌است. رویکرد تحلیل پرتفوی ده‌گانه به­منظور مشخص کردن ویژگی‌های شرکتی پیش‌بینی کننده بازده سهام استفاده‌شده است؛ همچنین مدل سری زمانی CAPM و مدل EGARCH برای استخراج نوسانات غیر سیستماتیک سالانه غیرشرطی و شرطی بازده سهام انفرادی و نیز رگرسیون چندمتغیره با استفاده از داده‌های ترکیبی برای بررسی کیفیت ارتباط بین ویژگی‌های شرکتی پیش‌بینی کننده بازده سهام و نوسانات غیر سیستماتیک بازده آتی سهام در چارچوب غیرشرطی و شرطی به‌کاررفته است. نتایج تحلیل پرتفوی نشان می‌دهد که تغییرات مقطعی بازده آتی سهام به ویژگی‌های شرکتی مانند اندازه شرکت، نسبت ارزش دفتری به بازار، نقد شوندگی، مومنتوم و نسبت جریان نقد به قیمت، وابسته است. نتایج پژوهش همچنین بر تأثیر معکوس و معنا‌دار اندازه شرکت و نسبت جریان نقد به قیمت و نیز تأثیر مستقیم و معنا‌دار نسبت ارزش دفتری به بازار و نقد شوندگی بر نوسانات غیر سیستماتیک بازده آتی سهام دلالت دارد.

عنوان مقاله [English]

Determinants of idiosyncratic volatility of stock returns listed firms in Tehran Stock Exchange

نویسندگان [English]

  • Iman Soleimani 1
  • Mehdi ArabSalehi 2
1 Master of Financial Management, Shahrekord Branch, Islamic Azad University, Shahrekord, Iran.
2 Associate Prof, Department of Acconting, Isfahan University, Isfahan, Iran
چکیده [English]

This study aims to investigate the effect of firm-specific characteristics predicting stock return on future idiosyncratic volatility. The sample of the study comprises of 100 listed firms on Tehran Stock Exchange during the period 2010 to 2017. The decile portfolio analysis approach has been used to determine the specific characteristics of stock return predictors. Also, the time series of the CAPM model and the EGARCH model are applied to extract conditional and unconditional idiosyncratic volatility on individual securities. In addition, a multivariate regression with a combination of data was used to examine the quality of the relationship between the firm-specific characteristics predicting stock return and the future idiosyncratic volatility of individual securities in the conditional and unconditional framework. The results of the portfolio analysis show that cross-sectional return variations of firms are associated with firms-specific characteristics such as firm size, book-to-market ratio, liquidity, momentum, and cash flow-to-price ratio. Also, the results show that the reverse and significant impact of the firm size and the cash flow-to-price ratio as well as the direct and significant impact of the book-to-market ratio and liquidity on the future idiosyncratic volatility

کلیدواژه‌ها [English]

  • Conditional Idiosyncratic Volatility
  • Unconditional Idiosyncratic Volatility
  • Firm-Specific Characteristics

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