رابطه رتبه اعتباری و بازده سهام با تاکید بر نقش احساسات سرمایه گذاران (مقاله پژوهشی دانشگاه آزاد)
درجه علمی: علمی-پژوهشی (دانشگاه آزاد)
آرشیو
چکیده
اهداف: به طور متعارف تصور می شود، سهام با ریسک زیاد باید بازده بیشتری به همراه داشته باشد؛ با این حال، این تصور ازنظر تجربی نادرست است. دلیل چنین تناقضاتی به احتمال احساسات سرمایه گذاران است؛ بنابراین هدف این پژوهش، بررسی ارتباط احساسات سرمایه گذار، اعتبار تجاری و بازده سهام است.روش: احساسات سرمایه گذاران براساس شاخصی که ترکیبی از قدرت نسبی، خط روان شناسی، حجم معاملات و نرخ تعدیل شده گردش سهام اندازه گیری شده است. برای این منظور داده های ۱۳۰ شرکت به صورت ماهانه برای دوره ۱۳۹۳ تا ۱۳۹۹ (۱۰۹۲۰ ماه-شرکت) جمع آوری شد.نتایج: نتایج به دست آمده، از این دیدگاه حمایت می کند که ریسک اعتباری با بازده آتی سهام رابطه منفی دارد. به همین ترتیب مشاهده شد که احساسات سرمایه گذاران در سهام سفته بازی به طور میانگین بیشتر از سهام سرمایه گذاری است؛ همچنین نتایج حاصل از تحلیل تک متغیره براساس رگرسیون کوانتایل نشان دهنده آن بود که در تمامی کوانتایل ها بین رتبه اعتباری و احساسات سرمایه گذاران رابطه منفی وجود داردThe Relationship between Credit Rating and Stock Returns with an Emphasis on the Role of Investors' Emotions
Conventionally, it is thought that stocks with a high risk should yield higher returns. However, this notion is empirically incorrect. The reason for such a contradiction can be investors' feelings. Therefore, the purpose of this study was to investigate the relationship between investors` sentiments, business credit, and stock returns. For this purpose, the data of 130 companies were collected monthly for the period 2013-2019 (10,920 months-companies). The results supported the view that credit risk has a negative relationship with future stock returns. In the same way, it was observed that the investors' sentiments in speculative stocks are were on average higher than the investment stocks. Also, the results of univariate analysis based on quantile regression showed that there was a negative relationship between credit rating and the investors' sentiments in all the quantiles. Crowdfunding has become a modern and favorite financing channel worldwide. Crowdfunding is a new financing method that helps entrepreneurs acquire the financial resources needed for their projects. This study aimed to investigate the factors affecting individuals' interest in participating and investing in crowdfunding projects. Using the Structural Equations Modeling (SEM) technique, the developed model was tested with the help of Amos software via the data obtained from 318 individuals. This paper examined the direct and indirect contextual variables: awareness of need, altruism, reputation, psychological benefits, efficacy, funder’s trust, and institution-based trust in the investment intention. Finally, it was observed that awareness of need, altruism, values, reputation, psychological benefits, efficacy, funder’s trust, and institution-based trust were the factors influencing people's intention to invest in crowdfunding projects.Keywords: Investors, Credit Rating, Equity Returns, Financial Distress, Cash. IntroductionThe relationship between credit rating and stock returns is a complex one that has been the subject of much research and debate in the field of finance. Credit ratings are is an important indicator of the credit worthiness of a company or entity, and can have a significant impact on its ability to borrow money and issue debt securities. At the same time, stock returns represent the performance of a company's equity, and are closely watched by investors as a key indicator of its financial health.Investor’s sentiment one is a factor that plays a significant role in the relationship between credit rating and stock returns is investor sentiment. Investor sentiment refers to the overall mood or attitude of an investor towards the markets, which can be influenced by a wide range of factors, including economic indicators, political events, and news headlines. When the investors` sentiment is positive, investors tend to be more willing to take risks and invest in stocks with lower credit ratings. This can lead to higher stock returns for companies with weaker credit ratings, as the demand for their shares increases.Conversely, when an investor’s sentiment turns negative, he may become more risk-averse and focus on investing in companies with stronger credit ratings. This can result in lower stock returns for companies with weaker credit ratings, as the demand for their shares decreases.Overall, while credit ratings play an important role in determining a company's ability to raise capital and issue debt, their impact on stock returns is often mediated by investor’s sentiment. Understanding this complex relationship is essential for investors that looking to make informed investment decisions in today's dynamic financial markets. Method and DataThe dependent and independent variables were spending on the stock risk and company’s credit rating, respectively. Investors' sentiment was also a moderating variable. The first hypothesis stated that credit rating had a positive and significant effect on excess stock returns. The second hypothesis stated that investor’s sentiment had a moderating role in the relationship between credit rating and excess stock returns. To collect the data based on the systematic elimination method, 130 companies (10,920 company-month observations) for the time period of 2013-2019 were selected from among the companies admitted to the Tehran Stock Exchange. Also, to test the research hypotheses, the multivariate regression model with panel data, and Ordinary Least Squares (OLS) approach and robust standard errors were used. Research Findings:The results of the univariate quantile regression analysis showed that there was a negative relationship between credit rating and the investors' sentiments in all the quantiles. Also, the results of the first hypothesis revealed that increasing the credit ratings of companies led to an increase in future returns. Also, the second hypothesis demonstrated that stocks with positive sentiments in the past tended to underperform in the next month. In line with investigating the interactive effects of company’s credit rating and investor’s sentiments, it was observed that the investors' sentiments strengthened the effect of credit ratings of the companies' on future returns. In fact, the estimates showed that optimistic sentiments formed by individual investors helped explain the positive relationship between excess returns and credit rating. Discussion of Results and Conclusion: The results of the present research revealed that increasing the credit ratings of the companies led to an increase in future stock returns. These results were against the theoretical background of the view that "higher risk is associated with higher returns". In fact, it could be argued that stocks with low credit ratings were traded because retail investors favored stocks that were speculative in nature, i.e., stocks that had the potential for extraordinary excess returns. Since retail investors bought these stocks for speculative purposes, they overpriced them. However, after increasing the yield over the coming years, the yield decreased and the prices returned to their real values. Therefore, the reason for such a relationship had to be sought in the retail investors’ feelings. Also, it was observed that the investors' sentiments strengthened the effect of the credit ratings of the companies on future returns. In fact, the estimates showed that optimistic sentiments formed by individual investors helped explain the positive relationship between excess returns and credit rating. These results were also confirmed by examining each dimension of the investors' feelings. Therefore, we could confirm the hypothesis that the investors' feelings were the reason for the positive/negative relationship between the credit rating (credit risk) and future stock returns.
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