واکاوی تغییر اثر متغیرهای بنیادین بر بازده در بازار سرمایه ایران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشیار، گروه حسابداری، دانشگاه شهید بهشتی، تهران، ایران

2 مدرس مدعو، دانشکده مدیریت و اقتصاد، دانشگاه صنعتی شریف، تهران، ایران.

3 دانشجوی دکتری مدیریت مالی، دانشگاه شهید بهشتی، تهران، ایران.

چکیده

این پژوهش به بررسی اثر متغیرهای بنیادین و اندازه بر بازده سهام در بازار سرمایه ایران می‌پردازد. هدف این بررسی پاسخ به دو سوال در مورد هر متغیر است. نخست چگونگی تغییر تأثیر این متغیرها بر بازده است که این مسئله با مقایسه اثر متغیرها در سه بازه زمانی 87-1383, 92-1388 و 97-1393 صورت گرفته است. دومین مسئله مورد بررسی، اثر این متغیرها بر بازده در سال 1397 می‌باشد، چرا که این سال از ویژگی‌های خاصی برخوردار و از جمله سال‌هایی بود که بازده بورس از میانگین گذشته فاصله زیادی داشت و می‌توان آن را به عنوان یک دوره غیر معمول در نظر گرفت. این پژوهش درصدد پاسخگویی به این سوال است که آیا این ناهنجاری رخ داده باعث تغییر در تأثیر متغیرها بر بازده می‌شود یا خیر. بدین منظور تأثیر متغیرها بر بازده در دو بازه زمانی 96-1383 و 97-1383 مورد مقایسه قرار گرفت. نتایج حاصل از پژوهش با تکیه بر داده‌های قیمت و صورت‌های مالی شرکت‌های حاضر در بورس اوراق بهادار از سال 1383 تا 1397 با استفاده از روش فاما و فرنچ (1993) و اسدی و اسلامی (1393) نشان می‌دهد که اثر برخی از متغیرها در سال‌های اخیر به طور کلی متفاوت با سال‌‌های ابتدایی بررسی می‌باشد و همچنین رخدادهای سال 1397 باعث تغییر معنادار در تأثیر برخی از متغیرها در بازده شده است.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the change in the effect of fundamental variables on return in Tehran Stock Exchange

نویسندگان [English]

  • Gholamhossein Asadi 1
  • Hossein Abdoh Tabrizi 2
  • Mostafa Nemati 3
1 * Associate Prof., Department of Accounting, Shahid Beheshti University, Tehran, Iran.
2 Visiting Prof., Sharif University of Technology, Tehran, Iran.
3 Ph.D. Candidate in Financial Management, Shahid Beheshti University, Tehran, Iran.
چکیده [English]

In this study, the effect of fundamental variables and size on stock return is considered. The aim of the study is to answer two questions about each variable. The first question is how the effects of variables on the return have changed through time. In order to answer this question, the effect of each variable is considered in three consequential time windows: 2004-08, 2009-13, and 2014-18. The second question is on the effects of variables in 2018. The return of the market in this year significantly deviated from the historical average and it could be marked as an anomaly. The study aims to investigate how this irregularity affects the association between return and variables. In order to answer this question, the effect of each variable is considered in two different time windows: 2004-17, 2004-18. The data in this study consists of price and financial statements of listed companies on the Tehran Stock Exchange from 2004 to 2018 which are analyzed by methods used in Fama and French (1993) and Assadi and Eslami (2014). The results suggest that the effect of some variables has changed over time. The results also have shown that market irregularity in 2018 significantly changed the effect of some variables on stock return.

کلیدواژه‌ها [English]

  • Credit and Business Cycles
  • Liquidity Constraints
  • Firm Performance

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چشم انداز مدیریت مالی
دوره 11، شماره 33
اردیبهشت 1400
صفحه 57-84

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