ریسک آب و بازده سهام شرکت‌های معدنی

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

2 کارشناس ارشد، گروه مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

چکیده

هدف: جهان در قرن بیست‌ویکم، در مسیر توسعۀ پایدار با مجموعۀ بزرگی از چالش‌های زیست‌محیطی، اجتماعی و اقتصادی، همچون تغییرات آب‌وهوا و کاهش دسترسی به منابع طبیعی مواجه است. دسترسی به منابع پایدار آب، یکی از چالش‌های جدی شرکت‌های آب‌بر (وابسته به آب) است. صنایع معدنی یکی از مصرف‌کنندگان بزرگ آب هستند که در اثر وقوع بحران آب، به‌شدت تحت تأثیر قرار می‌گیرند. هدف پژوهش حاضر، آزمون قیمت‌گذاری ریسک آب در شرکت‌های معدنی بورس اوراق بهادار تهران و برآورد افت ارزش سهام آن‌ها، در صورت وقوع بحران آب است.
روش: نظر به اینکه منابع آب در دسترس، به میزان بارش حوزۀ آبریز وابسته است، ریسک آب با استفاده از شاخص بارش استاندارد (SPI) اندازه‌گیری شده است و اثر آن بر بازده سهام، پس از کنترل اثر متغیرهای سودآوری، اهرم مالی، اندازۀ شرکت و شدت سرمایه‌گذاری، با استفاده از رگرسیون داده‌های ترکیبی پویا و داده‌های فصلی ۱۱ شرکت طی سال‌های ۱۳۸۷ تا ۱۴۰۱ بررسی شده است. بر این اساس، زیان محتمل در صورت وقوع سناریوی بحران آب با استفاده از آزمون تنش، در چارچوب ارزش در معرض خطر محاسبه شده است. همچنین، اثر شاخص خطر خشک‌سالی، اندازۀ شرکت و کوواریانس بازده بازار با SPI بر ارزش در معرض خطر شرکت‌ها بررسی شد (شاخص ریسک بحران آب، به‌عنوان متغیر سناریو و سایر متغیرها، به‌عنوان متغیرهای غیرسناریو لحاظ شده است).
یافته‌ها: معناداری اثر ریسک بحران آب بر بازده سهام شرکت‌های معدنی، از قیمت‌گذاری ریسک مذکور و تأیید توان این عامل ریسک برای تبیین تغییرات بازده مقطعی سهام این شرکت‌ها حکایت دارد. یافته‌ها نشان می‌دهد که در صورت وقوع بحران آب، شرکت‌های معدنی، بین ۱۵ تا ۴۵ درصد ارزش خود را از دست خواهند داد؛ به‌طوری‌که یک واحد افزایش ریسک آب، باعث می‌شود که بازده اضافی سهام شرکت در سه فصل آتی، حدود ۳ درصد کاهش یابد. میزان خشک‌سالی/ بارش فقط تا ۳ فصل بر بازده سهام شرکت مؤثر است و اثر بلندمدت آن نزدیک صفر است. همچنین، رابطۀ مستقیمی میان شاخص خطر خشک‌سالی و ارزش در معرض خطر شرکت‌های معدنی مشاهده نشد. بررسی بیشتر حکایت دارد از وجود رابطۀ محکم ارزش در معرض خطر و ضریب هم‌بستگی SPI و بازده بازار؛ بدین مفهوم که ضریب هم‌بستگی بالاتر SPI و بازده بازار در وضعیت بحران آب، به ارزش در معرض خطر بیشتر شرکت‌ها منجر خواهد شد. این موضوع را می‌توان به بخشی از ریسک آب مربوط دانست که کلیت بازار را تحت تأثیر قرار می‌دهد.
نتیجه‌گیری: ریسک آب می‌تواند تغییرات بازده مقطعی سهام شرکت‌های معدنی را توضیح دهد. طبق شواهد تجربی به‌دست‌آمده، با وجود قرارگیری شرکت‌ها در مناطق یکسان از منظر خشک‌سالی، اثرپذیری ارزش در معرض خطر بازده سهام شرکت‌های معدنی با یکدیگر متفاوت است؛ بدین معنا که در صورت وقوع بحران منابع آب، عوامل دیگری غیر از خشک‌سالی بر ریسک آب اثرگذارند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Water Risk and Mining Firms’ Stock Return

نویسندگان [English]

  • Maryam Davallou 1
  • Shirin Mehrali 2
1 Associate Prof., Department of Financial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.
2 MSc., DD of Financial Management, Faculty of Accounting and Management , Shahid Beheshti University, Tehran, Iran.
چکیده [English]

Objective
Access to sustainable water resources has recently been raised as a major challenge facing water-dependent companies. The mining industry is one of the huge water users, which can be severely affected by water crises. The purpose of the current research is to test the pricing of water risk in mining companies of the Tehran Stock Exchange (TSE) and to estimate the drop in the value of their shares in the event of a water crisis.
 
Methods
Considering that the availability of water resources hinges on rainfall levels in the catchment area, we assessed water risk using the Standard Precipitation Index (SPI). Employing seasonal data from 2007 to 2011, it used a dynamic panel regression model to assess the effect of water risk on stock returns, controlling for factors such as profitability, leverage, firm size, and capital intensity among 11 companies. Then, the probable loss in a water crisis scenario was calculated using the stress test in the framework of value at risk. Also, the effect of drought hazard index, firm size, and covariance of market return with SPI on the value at risk of firms were investigated.
 
Results
The significance of the water risk effect on stock returns of mining companies indicates the pricing and the confirmation power of this risk factor to explain the changes in stock returns over time, in a way that one unit increase in water risk will cause a decrease of about 3% in the excess return of the firm’s stock three quarters later. Also, the results showed that the amount of rainfall and drought in the region affects the firm's stock returns only up to three seasons, and its long-term effect is zero with a slight tolerance. Additional research findings indicate that during water crises, mining companies may experience a decline in value ranging from 15 to 45 percent. However, there was no direct relationship between the drought risk index and the value at risk of the firm’s value. Further investigations confirmed the existence of a strong relationship between the value at risk and the correlation coefficient of SPI and the market return. This means that the more positive the correlation between SPI and market returns, the greater the value at risk of the firm in water crisis conditions.
 
Conclusion
Water risk can explain part of the changes in stock returns of mining companies. Although companies may be situated in similar drought-prone regions, the level of value at risk for their stocks varies i.e., in case of any water resource crisis, other factors affect water risk other than drought. The shareholders of the larger company will suffer relatively fewer losses due to water risk.

کلیدواژه‌ها [English]

  • Firm value
  • Stock returns
  • Value at Risk
  • Water risk

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تحقیقات مالی
دوره 26، شماره 2
1403
صفحه 232-258

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