نقش انتشار اطلاعات بر رابطۀ چولگی و بازده آتی سهام

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار حسابداری، دانشکدة اقتصاد، مدیریت و علوم اجتماعی، دانشگاه شیراز، شیراز، ایران

2 دانشجوی دکتری حسابداری، دانشکدة اقتصاد، مدیریت و علوم اجتماعی، دانشگاه شیراز، شیراز، ایران

چکیده

هدف اصلی این پژوهش بررسی رابطة چولگی و بازده آتی سهام و اثر انتشار اطلاعات بر این رابطه است. به‌این‌منظور، داده‌های 89 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران برای دورة پنج‌سالة از 1388 تا 1392 جمع‌آوری و تحلیل شد. برای آزمون فرضیه‌های پژوهش نیز از داده‌های پانل با اثرات ثابت استفاده شد. نتایج نشان داد رابطة منفی و معنادار میان چولگی و بازده ماهیانة سهام وجود دارد. این موضوع بیانگر کارایی نظریة چشم‌انداز تجمعی در بورس اوراق بهادار تهران است. به‌علاوه بر مبنای نتایج پژوهش، اعلام سود بر رابطة چولگی و بازده اثرگذار است. براین‌اساس، در زمان عدم اعلام سود رابطة چولگی و بازده منفی و معنادار است، ولی با اعلام سود رابطة یادشده معناداری خود را از دست می‌دهد.
 

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The role of information release on skewness relation and future stock return

نویسندگان [English]

  • Shokr allah Khajavi 1
  • Ali Alifaal 2
چکیده [English]

This research aims to investigate relationship between skewness and future stock return and the impact of information releases on this relationship. Then, the data of 89 companies listed in Tehran Stock Exchange are collected and analyzed for 2009 to 2013. Furthermore, the fixed effect panel data method is used to examine the hypothesis. The results show that there exists a negative and significant relationship between skewness and future stock return. Moreover, the earnings announcements have high impact on the relationship between skewness and stock return. Hence, skewness is negatively related to stock return when there are no earnings announcements, while this relationship loses its significance when there are such information releases.

کلیدواژه‌ها [English]

  • Cumulative Prospect Theory
  • Information releases
  • Monthly stock return
  • Skewness
Adrian, T. & Rosenberg, J. (2008). Stock returns and volatility: Pricing the short-run and long-run components of market risk, Journal of Finance, 63(6): 2997- 3030.
Amaya, D., Christoffersen, P., Jacobs, K. & Vasquez, A. (2015). Does realized skewness predict the cross-section of equity returns? Journal of Financial Economics, 118(1): 135-167.
Ariely, D. (2009). The End of Rational Economic, Harvard Business Review, 195: 45- 52.
Banaizadeh, A. & Kordlouie, H. R. (2013). Investigation the return of value and growth stock based on book to market value ratio in Tehran Stock Exchange, Quarterly Journal of Knowledge Investment, 2(7): 105- 129. (in Persian)
Barberis, N. & Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices, American Economic Review, 98(5): 2066- 2100.
Barberis, N. (2013). Thirty years of prospect theory in economics: A review and assessment. Journal of Economic Perspectives, 27(1): 173– 196.
Brav, A. & Heaton, J. B. (2002). Competing theories of financial anomalies, Review of Financial Studies, 15(2): 575- 606.
Campbell, R. H. & Siddique, A. (2000). Conditional skewness in asset pricing tests, Journal of Finance, 55(3): 1263- 1295.
Chang, B. Y., Christoffersen, P. & Jacobs, K. (2013). Market skewness risk and the cross section of stock returns, Journal of Financial Economics, 107(1): 46– 68.
Chiao, C., Hung, K. & Srirastava, S. (2003). Taiwan stock market and four-moment asset pricing model. Journal of International Financial Markets, Institutions & Money, 13(4): 355- 381.
Choi, Y. & Lee, S. S. (2014). Realized skewness and future stock returns: The role of information, From https:// economics. Indiana .edu/home/about-us/events/conferences-and-workshops / 2014 spring /files/2014-04-29-01.pdf.
Christi-David, R. & Chaudhry, M. (2001). Coskwness and cokurtosis in futures markets. Journal of Empirical Finance, 8(1): 55- 81.
Conrad, J., Robert, F. D. & Eric, G. (2013). Ex ante skewness and expected stock returns. Journal of Finance, 68(1): 85- 124.
Daniel, K., Hirshleifer, D. & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance, 53(6): 1839- 1885.
De bondt, W., Richard, F. M. & Thaler, H. (1985). Does the stock market over react. Journal of Finance, 40(3): 793- 805.
Huston, E., Kearney, C. & Lynch, M. (2008). Volume and skewness in international equity markets. Journal of Banking and Finance, 32(7): 1255- 1268.
Jegadeesh, N. & Titman S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1): 65– 91.
Kahneman, D. & Tversky A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2): 263- 291.
Kahneman, D. & Tversky A. (1992). Advances in prospect theory, cumulative representation of uncertainty. Journal of Risk and Uncertantity, 5(4): 297- 323.
Khajavi, S. & Ghasemi, M. (2006). Efficient market hypothesis and Behavioral finance. Journal of Financial Research, 7(20): 49- 69. (in Persian)
Knoll, M. (2010). The role of behavioral economics and behavioral decision making in Americans retirement savings decisions. Social Security Bulletin, 70(4): 1- 23.
Lee, S. S. (2012). Jumps and information flow in financial markets. Review of Financial Studies, 25(2): 439- 479.
Levin, A., Lin, C. F. & Chu, J. (2002). Unit root tests in panel data: Asymptotic and finite sample properties. Journal of Econometrics, 108(1): 1- 24.

Moslehshirazi, A. N., Namazi, M., Mohammadi, A. & Rajabi, A. (2012). Prospect theory and modeling of management decision making in industry. Journal of Industrial Management Perspective, 3(10): 9- 33. (in Persian)

Raei, R., Baharvand, S. & Movafaghi, M. (2011). Asset pricing using more determinants (Evidences of Tehran stock market using panel data). Quarterly Journal of Quantitative Economics, 7(4): 101- 115. (in Persian)
Savor, P. (2012). Stock returns after major price shocks: The impact of information. Journal of Financial Economics, 106(3): 635- 659.
Shams, S., Yahyazadehfar, M. & Emami, A. (2011). The Survey of the relationship between disposition effect and cash flows and investment companies performance in Tehran stock exchange. Journal of Financial Research, 12(30): 95- 116. (in Persian)
Shapiro, D. & Zhang, C. X. (2011). Pricing of skewness in emerging markets. Advances in Behavioral Finance­& Economics: The Journal of the Academy of Behavioral Finance, 1(2): 44- 61.
Simon, H. (1959). Theories of decision-making in economics and behavioral science. American Economic Review, 49(3): 253- 283.
Tafazoli, F. (1995). The history of economic thought (From Plato to present). Tehran: Ney publisher. (in Persian)
Tehrani, R., Bagorian, M. & Nabizadeh, A. (2008). examination of the effect of skewness and excess kurtosis on stock returns description through capital asset pricing model. Quarterly Journal of Securities Exchange, 1(4): 35- 52. (in Persian)
Tetlock, P. C. (2010). Does public. Financial news resolve asymmetric information. Review of Financial Studies, 23(9): 3520- 3557.
Thaler, R. (1999). The end of behavorial finance. Financial Analysts Journal, 55(6): 12- 17.
Zhang, X. J. (2013). Book-to-market ratio and skewness of stock returns. Accounting Review, 88(6): 2213- 2240.‌
Zhang, Y. (2005). Individual Skewness and the Cross-Section of Average Stock Returns. Working paper, Yale University.