سنجش ریسک سقوط قیمت سهام و هم سویی آن با حباب های قیمتی مبتنی بر ساختار قیمت گذاری منطقی سهام (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
شناسایی عوامل مؤثر بر ریسک سقوط قیمت سهام و درک روابط بین این پدیده و عوامل زمینه ای آن به واسطه تأثیر بر تصمیمات مرتبط با سرمایه گذاری و تخصیص بهینه منابع حائز اهمیت است. هدف این پژوهش، سنجش ریسک سقوط قیمت سهام و همسویی آن با حباب های قیمتی مبتنی بر ساختار قیمت گذاری منطقی سهام در بازار سرمایه ایران است. به منظور بررسی و تحلیل فرضیه پژوهش، داده های مربوط به 30 شرکت پذیرفته شده در بورس اوراق بهادار تهران برای دوره زمانی 1390 تا 1401، استخراج و برای آزمون فرضیه پژوهش استفاده شدند. در این پژوهش ابتدا مدل سنجش سقوط قیمت سهام برای شرکت های نمونه برآورد شد. سپس کارایی و اعتبار مدل، با آزمون کوپیک سنجش و ارزیابی و در سطح اطمینان 95 درصد تأیید شد. در ادامه، پس از برآورد مدل های قیمت گذاری دارایی های سرمایه ای، به منظور سنجش هم سویی ریسک سقوط قیمت سهام با حباب های مبتنی بر ساختار قیمت گذاری منطقی سهام، از آزمون های بارتلت، لون و براون - فورساید استفاده شد. نتایج پژوهش نشان می دهند بین واریانس ریسک سقوط قیمت سهام با حباب های مبتنی بر ساختار قیمت گذاری منطقی سهام در شرایط محیطی کشور ما هم سویی وجود ندارد. به عبارت دیگر، در کشور ما شرایط سقوط قیمت سهام همراستا با حباب های قیمتی شکل گرفته مبتنی بر قیمت گذاری منطقی سهام نیست.Assessing the risk of falling stock prices and its alignment with price bubbles based on the rational stock pricing structure
Because the risk of falling stock prices has a significant impact on investment decisions and the optimal allocation of resources, it is essential to understand the factors affecting this phenomenon and its underlying factors. Based on the rational stock pricing structure in the Iranian capital market, this study measures the risk of falling stock prices and its alignment with price bubbles. To analyze and test the research hypothesis, data related to 30 companies admitted to the Tehran Stock Exchange for the period 1390-1401 were extracted. For this study, the stock price fall measurement model was estimated for the sample companies, and then its efficiency was measured and evaluated with the Kupiec test, and it was confirmed at a 95% confidence level. After estimating the capital assets pricing models, this study used Bartlett, Lunn, and Brown-Forside tests to assess the alignment between falling stock prices and bubbles. The results showed that there is no alignment between the variance of the risk of falling stock prices and bubbles based on the rational stock pricing structure in our country's context. Therefore, in our country, falling stock prices in line with price bubbles are not based on rational stock pricing.Introduction The subject of falling stock prices is a complex, ambiguous, multifaceted, and widespread phenomenon that cannot be attributed to a specific factor with certainty. A stock price crash is a phenomenon in which the stock price undergoes a sharp and sudden adjustment, followed by a very large and unusual negative change in the stock price, and is considered a phenomenon synonymous with negative skewness in stock returns. Based on theoretical foundations, the risk of falling stock prices is influenced by a range of internal and external factors such as financial variables, business strategies, managerial ability, information asymmetry, macroeconomic variables, political connections, investors' feelings, and fulfilling social responsibilities of the company. Nevertheless, in the accounting and financial literature, the risk of falling stock prices is mainly due to the accumulation and maintenance of negative news by management and its sudden release in the market, creating negative shocks and the formation of changes in investors' beliefs about the company's value, and as a result, the successive reduction of prices and the fall of stock prices. It seems that the occurrence of the phenomenon of falling stock prices, regardless of the reason or consequences, is rooted in the formation of a price bubble and incorrect pricing due to the effect of the underlying factor(s) that cause it. The formed price bubbles cause incorrect pricing and prevent asset valuation based on capital asset pricing models. Given that in previous research, stock price bubbles have been evaluated and measured in several ways, but so far in domestic research, no research has been done to measure price bubbles through capital asset pricing models. Based on this, the basic question of the current research is whether there is an alignment between the risk of falling stock prices and price bubbles based on the rational stock pricing structure in the environmental conditions of our country. Methods & MaterialThe current research is of a quantitative type and because it is based on the description of the real relationships between the existing data that is expressed in the form of a model, it is considered descriptive research. For this purpose, first, the real aspects of the relations are known and then the model is presented based on the hypothesis and the relevant relations. In this research, first, to complete the theoretical foundations, the library method and the study of reliable sources were used. Then, to collect the research data, Rahavard Novin software and the official website of the Tehran Stock Exchange Company were used. The time domain of the research is the period between 2011 and 2022. The statistical population of the research is the companies admitted to the Tehran Stock Exchange. Next, using a simple random sampling method, 30 companies admitted to the Tehran Stock Exchange were selected as the research sample. FundingIn the recent research, following the research of Chen et al. (2001) and Andror et al. (2016), first the stock price fall measurement model was estimated for the sample companies of the research and then the validity of the model was evaluated with the Kupiec test and it was confirmed at a confidence level of 95%. In the following, after estimating the capital assets pricing models. To measure the alignment of the risk of falling stock prices with bubbles based on the rational stock pricing structure, Bartlett, Levenr, and Brown-Forsythe tests were used. The results of the equality test of the variance of the stock price fall risk with the price bubbles based on the rational stock pricing structure showed that there is no alignment between the stock price fall risk variance and the bubbles based on the rational stock pricing structure. These results show that in the environmental conditions of our country, standard financial models, in which non-emotional investors always force market prices to equal their expected utility, cannot provide a complete insight into asset pricing anomalies in the conditions of collapse and price bubbles. In other words, in our country, the condition of falling stock prices in line with the formed price bubbles is not based on rational stock pricing. Conclusion & ResultsBased on the results of the recent research, it was determined that the behavior model of investors in the environmental conditions of our country is not consistent with classical and logical financial models, and is more related to behavioral financial models that are based on mass behavior and the induction of feelings and emotions, which are defined as false beliefs about future cash flows and risks, and significantly affect the price of assets, and subsequently cause the market to go out of balance. In sum, recent evidence has violated the concept of market efficiency and recognized the impact of psychological biases on investor behavior and asset prices. The results of this research are in line with the research of Fang et al. (2022) and Perdomo Strauch (2020). They showed that the reaction of market prices to changes in the discount rate and the hypothesis of market efficiency are not aligned. In this regard, while paying attention to behavioral models, it is suggested that to protect the interests of investors, encouraging and directing indirect investment in the capital market and using specialized consulting services to find the right entry and exit point to the market should be on the agenda and should be given special attention to investors so that the effects of emotions and emotional decisions can be controlled to some extent.
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