تأثیر توجه سرمایه گذار بر رابطه بین نوسان نامتعارف و بازده آتی سهام (مقاله پژوهشی دانشگاه آزاد)
درجه علمی: علمی-پژوهشی (دانشگاه آزاد)
آرشیو
چکیده
هدف: نوسان نامتعارف بازده سهام ناشی از ریسک نامتعارف (غیرسیستماتیک) است که با تنوع بخشی مناسب سبد سرمایه گذاری سهام حذف شدنی است. درزمینه ارتباط بین نوسان نامتعارف و بازده سهام شواهد و نتایج مبهمی وجود دارد. هدف پژوهش کنونی بررسی تأثیر توجه سرمایه گذار بر رابطه بین نوسان نامتعارف و بازده آتی سهام است. روش: نمونه آماری شامل 176 شرکت پذیرفته شده در بورس اوراق بهادار تهران در بازه زمانی 1395 تا 1401 است که به روش غربالگری انتخاب شده است. نوسان نامتعارف با استفاده از مدل بازار و توجه سرمایه گذار براساسِ حجم معاملات غیرعادی اندازه گیری شده است. برای آزمون فرضیه ها از الگوهای رگرسیونی چندمتغیره، داده های ماهانه و روش داده های تابلویی استفاده شده است. یافته ها: یافته ها نشان می دهد که نوسان نامتعارف سهام بر بازده آتی سهام تأثیر منفی و معنادار دارد. علاوه براین، توجه سرمایه گذار تأثیر منفی نوسان نامتعارف بر بازده آتی سهام را تقویت می کند که این موضوع ممکن است ناشی از تورش رفتاری توجه محدود سرمایه گذاران باشد. نوآوری: در حوزه نوسان نامتعارف سهام موضوعاتی نظیر کیفیت عملکرد، قابلیت مقایسه و عوامل تعیین کننده نوسانات غیرسیستماتیک بازده سهام بررسی شده است؛ اما در پژوهش های پیشین متغیر توجه سرمایه گذار بررسی نشده است. بنابراین، پژوهش کنونی ازنظرِ حوزه موضوعی و بهره گیری از متغیر توجه سرمایه گذار و بررسی تأثیر آن بر رابطه نوسان نامتعارف و بازده آتی سهام از پژوهش های پیشین متمایز است.The Effect of Investor Attention on the Relationship between Idiosyncratic Volatility and Future Stock Returns
Idiosyncratic volatility of stock returns is caused by idiosyncratic risk. While proper stock portfolio diversification can mitigate idiosyncratic risk, the precise relationship between idiosyncratic volatility and stock returns remains ambiguous. The present study aims to shed light on this relationship by examining the effect of investor attention. It analyzed a sample of 176 companies listed on the Tehran Stock Exchange from 2016 to 2022. Employing the market model, the authors measured idiosyncratic volatility and abnormal trading volume to proxy for investor attention. The findings revealed that idiosyncratic volatility exerts a negative and significant impact on future stock returns. Moreover, it was found that investor attention amplified this negative effect, possibly due to behavioral biases arising from limited attention. Notably, this research diverges from prior studies by emphasizing the role of investor attention, an understudied variable, in shaping the idiosyncratic volatility-stock returns nexus.
Keywords: Stock Return, Idiosyncratic Volatility, Investor Attention.
Introduction
The investigation of risk-return relationships has a rich history in financial literature. According to the traditional asset pricing model, only systematic risk significantly impacts asset returns, while idiosyncratic or unsystematic risk that can be eliminated by diversification by the investor does not affect asset returns. However, empirical evidence concerning the link between idiosyncratic volatility and stock returns is ambiguous. Some studies such as Malkiel and Xu (1997), and Goyal and Santa-Clara (2003) find a positive relationship while some other studies such as Ang et al. (2006) and Jiang et al. (2009) document a negative association. Based on previous studies, investor attention can play an important role in shaping stock prices and affect the relationship between idiosyncratic volatility and future stock returns. Therefore, this study aims to investigate the effect of investor attention on the relationship between idiosyncratic volatility and future stock returns.
Materials and Methods
To test the research hypotheses, we utilize multivariate regression models and panel data methods. The sample consists of 176 companies listed on the Tehran Stock Exchange from 2016 to 2022. The independent variable is the idiosyncratic volatility of stocks, which is calculated through the market model. In addition, the moderating variable, the investor's attention, has been measured by the abnormal volume.
Research Findings
The empirical findings indicate that idiosyncratic volatility has a negative and significant effect on future stock returns. In other words, the higher the idiosyncratic volatility of the stock return, the lower the future monthly return. Moreover, the investor's attention exacerbates the negative effect of idiosyncratic volatility on future stock returns. That is, the greater investor attention causes the idiosyncratic volatility to have a stronger negative effect on future monthly stock returns.
Discussion of Results and Conclusions
The results of the first hypothesis show that idiosyncratic volatility has a negative and significant effect on future returns. In other words, as idiosyncratic volatility increases, stock returns will decrease in the next month. This result is consistent with Ang et al. (2006), Jiang et al. (2009), and Hur and Singh (2022). In the second hypothesis, the effect of investor attention on the negative relationship between idiosyncratic volatility and stock returns was investigated, and it was expected that investor attention would mitigate the negative effect of idiosyncratic volatility on future stock returns. However, the results indicate investor's attention amplifies the negative effect of idiosyncratic volatility on future stock returns. This result diverges from the conclusions drawn by Hur and Singh (2022). This unexpected outcome may be attributed to the behavioral bias associated with limited attention among investors. When attention is constrained, investors may react inaccurately to available information or evaluate it incorrectly, leading to exacerbated negative effects of idiosyncratic volatility on future stock returns.
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