تأثیر انواع مالکیت در ایجاد اثر تمایلی در صندوق‎های سرمایه‎گذاری مشترک بورس اوراق بهادار تهران

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 استادیار گروه مدیریت بازرگانی (گرایش مالی)، دانشگاه مازندران، بابلسر، ایران

2 کارشناسی ارشد مدیریت بازرگانی (گرایش مالی)، دانشگاه مازندران، بابلسر ایران

چکیده

در این پژوهش با استفاده از داده‌های مربوط به 24 صندوق سرمایه‎گذاری مشترک پذیرفته شده در بورس اوراق بهادار تهران، در دورۀ زمانی 1389 تا 1393 به بررسی تأثیر انواع مالکیت در ایجاد اثر تمایلی در این صندوق‎ها با به کارگیری روش تخمین حداقل مربعات تعمیم‎یافتۀ برآوردی (EGLS) و روش تخمین گشتاورهای تعمیم‎یافته (GMM) پرداخته شده است. نوع مالکیت به چهار طبقه شامل مالکیت خارجی، مالکیت شرکتی، مالکیت نهادی و مالکیت مدیریتی دسته‎بندی شده است. نتایج آزمون هم‎جمعی کائو حاکی از وجود رابطۀ بلندمدت میان متغیرهای پژوهش است. بر اساس نتایج تخمین‌های روش EGLS و GMM می‎توان گفت ارتباط مثبت و معناداری میان مالکیت نهادی با رفتار مبتنی بر اثر‌ تمایلی در صندوق‎های سرمایه‌گذاری مشترک وجود دارد و همچنین ارتباط منفی معناداری میان مالکیت مدیریتی با اثر ‌تمایلی در این صندوق‎ها برقرار است؛ اما میان مالکیت شرکتی و اثر تمایلی در این صندوق‎ها ارتباط معناداری مشاهده نشد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Investigation of the Effects of Types of Ownershipon Disposition effect of Mutual funds in Tehran Stock Exchange

نویسندگان [English]

  • Shahabeddin Shams 1
  • Amir Teymur Esfandirari Moghaddam 2
1 Assistant Prof. in Business Management (Finance), Mazandaran University, Babolsar, Iran
2 MSc. in Business Management (Finance), Mazandaran University, Babolsar, Iran
چکیده [English]

This paper examines the relationship between mutual fund managers' ownership and the disposition effect, by using the 24 accepted mutual funds in the Tehran Stock Exchange for the period of 2011 to 2015, we investigate the effect of mutual funds’s types of ownershipon their disposition effect by applying Generalized Method of Moments (GMM) and Generalized Least Squares (EGLS) methods of estimations. Ownership structure is divided into four categories including: foreign ownership, corporate ownership, institutional ownership and management ownership. Kao cointegration test results confirm Long-run relationship among variables. Results also show Funds with managerial ownership exhibit significantly less disposition effect than those without, and the disposition measure decreases with managers' percentage ownership. We also find that the disposition effect is positively related to the degree of board independence. In addation results don’t confirm the effect of corporate ownership on mutual funds’s disposition effect.

کلیدواژه‌ها [English]

  • Disposition effect
  • Types of Ownership
  • mutual fund
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