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
1
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
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