احساسات سرمایه‌گذاران و رابطه میانگین-واریانس در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مالی، دانشکدگان فارابی، دانشگاه تهران، قم، ایران.

2 کارشناسی ارشد مدیریت مالی، دانشکدگان فارابی، دانشگاه تهران، قم، ایران.

چکیده

رابطه مثبت بین ریسک و بازده زیربنای تئوری‌های کلاسیک مالی است اما پژوهش‌های صورت‌گرفته حاکی از رابطه متفاوت و متناقض بین این دو متغیر است. نظریه‌های مالی رفتاری، نتایج متفاوت به‌دست‌آمده‌ را به احساسات سرمایه‌گذاران در بازار سهام نسبت می‌دهند. در این پژوهش تأثیر احساسات سرمایه‌گذاران حقیقی با شاخص BSI بر رابطه بین ریسک و بازده در 103 شرکت بورس اوراق بهادار تهران بررسی گردیده است. همچنین این رابطه در بین سهام رشدی و ارزشی؛ شرکت‌های با ارزش بازاری بالا و پایین و شرکت‌های دارای قیمت سهام بالا و قیمت سهام ارزان، نیز بررسی شده‌است‌. واریانس شرطی سهم‌ها با استفاده از مدل‌های گارچ استخراج گردیدند و فرضیه‌های پژوهش نیز با روش داده‌های ترکیبی آزمون شدند. نتایج نشان می‌دهد که احساسات تأثیری بر رابطه بین ریسک و بازده در کل نمونه، در شرکت‌های بزرگ، سهام رشدی و شرکت‌های با سهام دارای قیمت بالا ندارد اما احساسات این رابطه را در سهام ارزشی، شرکت‌های کوچک و شرکت‌های با قیمت پایین، تشدید می‌کند. همچنین احساسات منجر به تضعیف رابطه مثبت بین ریسک و بازده در شرکت‌های با ارزش بازاری بالا می‌شود. بر اساس یافته‌های پژوهش، سرمایه‌گذاران باید هنگام ایجاد پرتفوی خود بر اساس واریانس، علاوه بر در نظر گرفتن احساسات سرمایه‌گذاران، به ویژگی‌‌های سهم از لحاظ ارزشی و رشدی بودن، ارزش بازاری شرکت و نیز قیمت سهام شرکت توجه نمایند.

کلیدواژه‌ها

عنوان مقاله [English]

Investor sentiment and mean-variance relationship in Tehran Stock Exchange

نویسندگان [English]

  • Mohammad Nadiri 1
  • ali khani 2
1 Assistant Prof., Department of Management and Accounting, Collage of Farabi, Univercity of Tehran, Qom, Iran
2 Msc in Financial Management, Collage of Farabi, Univercity of Tehran, Qom, Iran.
چکیده [English]

Although a positive mean-variance relation is a cornerstone of traditional finance theory, empirical evidence supporting it is controversial and mixed. According to behavioral finance theory, the mixed risk-return tradeoffs attributes to investor sentiment in the financial market. In this paper, we investigated the effect of individual investor sentiment on the mean-variance relationship in 103 Tehran Stock Exchange firms using the BSI index. Meanwhile, we examined the relationship between small and large companies, high and low-priced firms, and growth and value stocks. The conditional volatility of stocks was calculated with GARCH models, and the research hypotheses were examined using a panel data method. The results show that the risk-return relationship in the total sample, growth stocks, and high-priced entities are less affected by sentiments, but sentiments strengthen the positive mean-variance relation in value stocks, low capitalization, and low-priced firms. However, sentiment does weaken the positive relation in high-capitalization firms. According to the research results, in constructing portfolios based on variance, investors should consider not only the sentiment of investors but also the features of the share in terms of value and growth, the market value of the company, and the stock price of the companies.

کلیدواژه‌ها [English]

  • Investor Sentiment
  • Mean-Variance Relation
  • Risk-Return Trade-Off
  • Conditional Variance
  • Stock Market

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چشم انداز مدیریت مالی
دوره 12، شماره 38
تیر 1401
صفحه 131-160

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