تحلیل رفتاری بازده سهام براساس مدل‌های قیمت‌گذاری دارایی‌ها در چارچوب نظریه چشم انداز: شواهدی از شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه حسابداری، دانشگاه صنعتی شاهرود، شاهرود، ایران.

2 استادیار، گروه مدیریت، دانشگاه صنعتی شاهرود، شاهرود، ایران.

چکیده

بخش عمده تحقیقات دو دهه اخیر در حیطه مدل های ارزش گذاری دارایی ها، شناخت دقیق تر متغیرهای تاثیرگذار بر بازده سهام و در نهایت کاهش خطاها و توضیح بهتر بازده سهام در این مدل ها بوده است. از سوی دیگر طی سال های گذشته تحقیقات گسترده ای در خصوص مباحث مالی رفتاری در خصوص توضیح بازده سهام توسط ویژگی های روانشناختی و رفتاری سرمایه گذاران انجام گرفته است. در این راستا این پژوهش در پی تحلیل رفتاری بازده سهام براساس مدل های قیمت گذاری دارایی ها در چارچوب نظریه چشم انداز در شرکت-های پذیرفته شده در بورس اوراق بهادار تهران بوده است. این پژوهش با استفاده از نمونه ای شامل 120 شرکت پذیرفته شده در‌ بورس اوراق بهادار تهران در دوره زمانی سال های 1387 تا 1399 و با استفاده از رویکرد رگرسیونی فاما-مکبث انجام گرفته است. نتایج بدست آمده نشان می دهد که نظریه چشم انداز تاثیری معنادار بر توضیح بازده سهام در مدل‌‌های ارزش گذاری دارایی های سرمایه ای، مدل سه عاملی فاما و فرنچ و مدل پنچ عاملی فاما و فرنچ داشته است، به طوری که با ورود نظریه چشم انداز به این مدل ها، بازده توضیح داده نشده آنها به شکل معناداری کاسته شده است.

کلیدواژه‌ها

عنوان مقاله [English]

Behavioral Analysis of Stock Returns Based on Assets Pricing Models in the Framework of Prospect Theory: Evidence from Companies Listed on the Tehran Stock Exchange

نویسندگان [English]

  • Mohsen Lotfi 1
  • Abdolmajid Abdolbaghi ataabadi 2
1 Assistant Prof, Department of Accounting, Shahrood University of Technology, Shahrood, Iran.
2 Assistant Prof, Department of Management, Shahrood University of Technology, Shahrood, Iran.
چکیده [English]

The major part of the research of the last two decades in the field of assets pricing models has been to more accurately identify the variables affecting stock returns and ultimately reduce errors and better explain stock returns in these models. On the other hand, in recent years, extensive research has been conducted on behavioral finance issues to explain stock returns by the psychological and behavioral characteristics of investors. In this regard, this study seeks to analyze the behavior of stock returns based on assets pricing models in the framework of prospect theory in companies listed on the Tehran Stock Exchange. This study was conducted using a sample of 120 companies listed on the Tehran Stock Exchange in the period from 2009 to 2020 and using the Fama-Macbeth regression approach. The results show that prospect theory has a significant effect on explaining stock returns in capital asset pricing models and the three-factor model and the five-factor model of Fama and French, so that with the introduction of prospect theory to this model their unexplained returns have been significantly reduced

کلیدواژه‌ها [English]

  • Prospect Theory
  • Fama–MacBeth Models
  • Stock Returns
  • Assets Pricing Models

مراجع

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چشم انداز مدیریت مالی
دوره 11، شماره 36
دی 1400
صفحه 91-118

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