تأثیر سرعت تغییرات سود بر نوسانات پرتفوی سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف: سرمایه گذاران در بازار سرمایه به دنبال دستیابی و به کارگیری استراتژی هایی هستند که به مدد آن، بتوانند بر چالش های موجود در بازار فائق آیند. از جمله عوامل مطرح، سرعت تغییرات سود است که عدم شناسایی آن، زمینه ساز تضعیف تحلیل صورت های مالی، واکنش افراطی سرمایه گذاران، عدم تخصیص بهینه پرتفوی توسط آن ها و به تبع، افزایش نوسانات پرتفوی سهام است. از این رو، هدف پژوهش حاضر، بررسی رابطه بین سرعت تغییرات سود و نوسانات پرتفوی سهام است. روش : با توجه به ویژگی ها و اطلاعات قابل دسترس، تعداد 87 شرکت پذیرفته شده در بورس اوراق بهادار تهران از سال 1388 تا 1399 مهیا گردید. برای اندازه گیری متغیر نوسانات پرتفوی سهام، از مدل وانگ و همکاران ( 2010 ) و متغیر سرعت تغییرات سود، از مدل کورونن ( 2013 ) استفاده گردید. همچنین آزمون فرضیه های پژوهش نیز به کمک مدل رگرسیون حداقل مربعات تعمیم یافته صورت پذیرفت. یافته ها: نتایج حاصل مؤید این است بین سرعت تغییرات مثبت و منفی سود با نوسانات پرتفوی سهام رابطه معناداری وجود دارد. نتیجه گیر ی: نوسانات پرتفوی سهام موردتوجه بسیاری از سرمایه گذاران و سیاستگذاران حوزه پولی و مالی قرار گرفته است. افزایش دامنه نوسانات پرتفوی سهام منجر به تضعیف کارکردهای بازارهای مالی می شود به نحوی که تغییرات در قالبی ناپایدار و نامنظم صورت می پذیرند و در نهایت، شرایط نامطمئنی بروز می یابد که تصمیم های اقتصادی با مخاطره و هزینه بیشتری همراه خواهد بود.The Impact of Profit Changes Speed on Stock Portfolio Fluctuations Companies Accepted in Tehran Stock Exchange
Objective : The capital market is considered due to its essential role in collecting financial resources in various ways such as small and large savings, optimizing the circulation of financial resources and directing them towards the expenses and investment needs in productive economic sectors. Even some economists believe that the difference between developed and underdeveloped economies is not only in advanced technology, but it can be seen in the existence of integrated, active and extensive financial markets. A look at the favorable growth of Iran's capital market under the conditions of sanctions and the spread of the Corona virus, shows that entering this market has been the focus of people's attention and interest. Investors in the capital market seek to achieve and implement strategies that can overcome the challenges in the market. Often, investment decisions are considered in the optimal selection of investors' portfolios based on the relationship between risk and return and the level of profitability, which is a factor of the superiority of a share. As a result, profit changes are not hidden from the eyes of investors, and they react to profit changes, but they do not pay attention to the speed of profit changes, which can lead to different risks and, consequently, adverse effects on the stock portfolio. Among the factors are profit changes speed, which the lead to weaken the analysis of financial statements, the extremist reaction of investors, the lack of optimal portfolio allocation by them, and consequently, the increase in stock portfolio fluctuations. Therefore, the purpose of the present study is to investigate the relationship between the profit changes speed and stock portfolio fluctuations. Method : to the available features and information, 87 companies listed on the Tehran Stock Exchange were provided from 2009 to 2020. The Wang et al (2010) model was used to measure the speed of profit changes and The Kuronen (2013) model was used to measure the variable of stock portfolio fluctuations. The research hypotheses were also tested using the generalized least square regression model. Results: The results of the research confirm that there is a significant relationship between the rate of negative and positive profit changes and the stock portfolio fluctuations. In other words,It is expected that by identifying the factors that aggravate the volatility of the stock portfolio and controlling them, the investment risk can be minimized and investors can expect more confidence and efficiency from the capital market. Therefore, according to the theories based on the quality of profit and modern portfolio theories, the results of the first hypothesis show that the speed of positive changes in profit causes a decrease in the volatility of the stock portfolio, and the results of the second hypothesis show that the speed of negative changes in profit increases the volatility of the stock portfolio, which This can greatly help investors and companies in the stock exchange community to take advantage of this important factor and be more careful in attracting investors. Conclusion: The analysis of Iran's economy shows that this country has experienced one of the most challenging economic and social conditions during the past decades. The situation where the three factors of sanctions, Corona and the increase in the monetary base have had a significant impact on its formation and caused the economic markets, including the capital market, to turn into uncertain markets and investors to lean towards low-risk markets, and of course, the consequence of this is supply shocks. and the demand and volatility of the stock portfolio. Stock portfolio fluctuations have attracted the attention of many monetary and financial investors makers and policymakers. Increasing the range of stock portfolio fluctuations leads to a weakening the functions of financial markets. Ultimately, uncertain conditions arise that economic decisions will be more risk and expensive. Therefore, the stock exchange market of Iran has undergone many changes during the past periods, it is not possible to hope to create a more optimal market based on the previous policies and thoughts of the market. As markets move towards scientific and applied analysis, the investment community's need to identify unknown factors will increase. Therefore, considering the speed of profit changes and stock portfolio fluctuations, this can bring significant insight into the capital market and its deeper introduction for investors. Based on this, it is recommended that in the fundamental analysis of stocks under the supervision of capital market analysts, from focusing only on factors such as the review of financial statements and factors that have always been expected by non-academics, to go beyond and in order to identify these factors Known, take steps.
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