بررسی تأثیر انحراف از اهرم مالی به میانگین بر بازده اضافی راهبردهای شتاب سود و مومنتوم (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف : راهبردهای معاملاتی شتاب از جمله نابهنجاری ها و استثنائات بازار سرمایه است که برای بهره گیری از همبستگی سریالی موجود در بازدهی اوراق بهادار به کار می روند، انحراف از اهرم مالی به میانگین یکی از عوامل موثر بر این نابهنجاری است؛ از اینرو هدف اصلی این پژوهش، بررسی تأثیر انحراف از اهرم مالی به میانگین بر بازده اضافی راهبردهای معاملاتی شتاب است. روش: بازدهی اضافی راهبردهای معاملاتی شتاب شامل شتاب سود و مومنتوم از طریق خرید سهام برنده گذشته و فروش سهام بازنده گذشته سنجش شده و برای اندازه گیری متغیر انحراف از اهرم مالی به میانگین از روش شبیه سازی بوت استرپ استفاده شده است. بدین منظور، نمونه ای متشکل از 1430 سال- شرکت پذیرفته شده در بورس اوراق بهادار تهران طی سال های 1399 - 1387 با استفاده از رگرسیون چندمتغیره بررسی شده است. یافته ها: یافته ها نشان داد انحراف از اهرم مالی به میانگین برای راهبردهای 3 و 6 ماهه با بازده اضافی شتاب سود و مومنتوم دارای رابطه منفی و معنادری است؛ اما برای راهبردهای ۱۲ و 24 ماهه انحراف از اهرم مالی به میانگین بر بازده اضافی شتاب سود و مومنتوم تأثیر ندارد. نتیجه گیری: نتایج نشان می دهد بهترین راهبرد برای بررسی تأثیر انحراف از اهرم مالی به میانگین بر بازده اضافی شتاب سود و مومنتوم، راهبردهای زمانی کوتاه مدت و میان مدت است. راهبردهای زمانی یک ساله و دو ساله به دلیل تأثیر عوامل اقتصادی در بلندمدت بر سود و قیمت سهام نمی توانند مفهوم تمایل اهرم مالی به سمت میانگین را توضیح دهند.Investigating The Effect of Deviation from Leverage to The Mean on Additional Returns of Profit Acceleration and Momentum Strategies
Objective : Investors which enter the capital market, seek to find ways and try to formulate and apply strategies that can win in the market and earn additional returns. This view is in direct opposition to the market efficiency hypothesis; Because the efficient market hypothesis states, there is no specific trend and pattern in the performance of securities prices, and the behavior of prices is random and unpredictable. According to the efficient market hypothesis, portfolio performance is independent of its past performance; But in the trading strategies of acceleration, one tries to predict the future performance by using the past performance and create additional returns. Based on the hypothesis of an efficient market, acceleration trading strategies are among the anomalies and exceptions of the capital market, which are used to take advantage of the serial correlation in the yield of securities. There are different types of momentum trading strategies. Profit acceleration and momentum strategies are two of the most widely used acceleration trading strategies. In this regard, the concept of deviation from financial leverage to the average is one of the factors that can affect this abnormality of the capital market. Deviation from the financial leverage to the average means that the changes in the financial leverage have a deviation towards the average regardless of the financing decisions and the existence of the target financial leverage. Deviation from financial leverage to the mean seems a surprising concept at first sight; But the explanation of this issue is very simple; Because there is a rationale for why the average debt ratio that is below the limit increases and those that are above it decrease, even with random financing decisions. The phenomenon of deviation from leverage to the mean is one of the factors affecting this anomaly When the company seeks to use more equity for financial provision, the ratio of financial leverage increases; Therefore, the company bears the cost of issuing shares and does not reach its goal, which increases the cost of the company's profit and, as a result, reduces the profit acceleration over time. Therefore, it seems that the deviation from the financial leverage to the average has a negative effect on the additional return of the profit acceleration strategy. On the other hand, increasing the percentage of debt in the capital structure increases the company's risk and the attractiveness of the company's shares decreases for investors, and as a result, the share price decreases, and this price decrease over time reduces the additional momentum return; Therefore, the concept of deviation from the financial leverage to the average has a negative effect on the excess return of momentum. The additional return of trading strategies including profit acceleration and momentum strategies means that stocks that have recently had a surprise in profit or stock price will continue to act in the same direction in the near future. In other words, a stock that has had a positive adjustment will have a good yield in the near future. Based on what was said, the company's financial leverage ratio, regardless of financing decisions, tends to the average and affects changes in profit and momentum; Therefore, in this research, by using the Monte Carlo simulation method and making random changes in the amount of debt and equity, the effect of the concept of deviation from financial leverage to the average on the additional return of profit acceleration and momentum strategies is investigated. Method : This research in terms of its purpose is a part of applied research, and in terms of methodology, it is a post-occurrence causal correlation research. In this research, to collect information in the field of literature and research background, the required information has been collected by reading books, articles and searching on internet sites. Also, in order to collect the necessary information to test the hypotheses, Rahvard Navin software, Stock Exchange website and Codal website were used. The additional return of acceleration trading strategies, including profit acceleration and momentum is measured by buying past winning stocks and selling past losing stocks, and the Bootstrap simulation method has been used to measure the variable of deviation from leverage to the mean. For this purpose, a sample consisting of 1430 companies listed on the Tehran Stock Exchange during the years 2008-2020 has been investigated using multivariate regression. Results : The results of the research showed that the deviation from leverage to the mean for 3- and 6-month strategies has a negative and significant relationship with profit acceleration and momentum; But for 12- and 24-months strategies, the deviation from the leverage to the mean does not affect on the profit acceleration and momentum. The negative and significant value of the variable coefficient of deviation from the financial leverage to the average for the period of 3 and 6 months means that there is an inverse and significant relationship between the increase in the deviation from the financial leverage to the average and the additional yield of profit acceleration in the time period of 3 and 6 months. This result shows that by increasing the financial leverage and moving away from the average (optimal financial leverage), the abnormal return rate around the profit announcement in the time horizon of 3 and 6 months is reduced, and vice versa, as the financial leverage decreases and approaches the optimal financial leverage, the return rate Abnormality around earnings announcement increases in 3 and 6 month’s time horizon. In other words, there is a possibility of increasing the additional yield of profit acceleration in the Tehran Stock Exchange in the time horizon of 3 and 6 months by reducing the concept of deviation from financial leverage to the average. Conclusion : This result shows that the best strategy for investigating the effect of deviation from leverage to the mean on the additional return of profit acceleration and momentum is short-term and medium-term time strategies. One-year and two-year time strategies cannot explain the phenomenon of deviation from leverage to the mean due to the long-term effect of economic factors on profits and stock prices. Also, the phenomenon of deviation from leverage to the mean shortens the managers' hands to optimize the leverage and reduces the profit acceleration and momentum acceleration; Therefore, choosing the right optimal leverage and correcting it in a timely manner is an effective factor in continuing the trend of future earnings and returns of companies.
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