بازدهی مقطعی سهام، ریسک نقدشوندگی و بیقاعدگیهای بازار مالی

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار مدیریت مالی، دانشکدة مدیریت، دانشگاه تهران، تهران، ایران

2 کارشناس ارشد مدیریت مالی، دانشکدة مدیریت، دانشگاه تهران، تهران، ایران

چکیده

دستیابی به مدلی بهینه برای قیمت‌گذاری دارایی‌های سرمایه‌ای همواره موضوعی محوری در مطالعات حوزة مالی به‌شمار آمده‌ است. در پژوهش حاضر، مدل سه عاملی فاما و فرنچ به‌علاوه معیار ریسک نقدشوندگی بازار پاستور و استامبا (2003) را بررسی می‌کنیم. برخلاف عمدة مطالعات گذشته، در این مدل بتای سهم متغیر و عاملی از اندازه و نسبت ارزش دفتری به ارزش بازار است. به‌منظور بررسی مدل مذکور، بازدهی تعدیل‌شده با ریسک، با استفاده از مدل مزبور محاسبه می‌شود و رابطة آن با بی‌قاعدگی‌های بازار مالی آزمون ‌می‌شود. بی‌قاعدگی‌های بررسی‌شده در این پژوهش عبارت‌اند از: اندازة شرکت، نسبت ارزش دفتری به ارزش بازار، نسبت گردش سهام و بازدهی‌های گذشته. داده‌های مورد استفاده به‌صورت ماهانه و برخی نیز به‌طور روزانه برای سال‌های 1380 تا 1393 از شرکت‌های نمونة بورس اوراق بهادار تهران جمع‌آوری شده ‌است. نتایج تحقیق مبین جذب اثر تمام بی‌قاعدگی‌های بررسی‌شده توسط مدل مذکور در دورة مورد بررسی است.
 

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Cross-sectional stock returns, Market liquidity risk, and Financial market anomalies

نویسندگان [English]

  • Gholam reza Aslami 1
  • Azam Honardust 2
چکیده [English]

To achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. In this study we consider Fama and French three-factor model augmented by the Pastor and Stambaugh (2003) liquidity risk factor. Unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. To verify the above mentioned model, risk-adjusted returns calculated using the model and its relationship with financial market anomalies are examined. The examined anomalies in this study are: firm size, ratio of book value to market value, stock turnover ratio and the past returns. Using individual daily and monthly returns of sample’s companies of Tehran Stock Exchange and Securities for the period 1380 to 1393, we find that all considered anomalies can be captured by this model.

کلیدواژه‌ها [English]

  • Capital assets pricing
  • Fama and French three-factor model
  • Financial Market Anomalies
  • Liquidity risk factor
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