پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شماره‌ها | 915 |
| تعداد مقالات | 7,509 |
| تعداد مشاهده مقاله | 12,182,867 |
| تعداد دریافت فایل اصل مقاله | 8,618,584 |
بررسی اهمیت ریسک غیرسیستماتیک هر ورقه بهادار : نگاهی دیگر به ریسک غیرسیستماتیک و بازده | ||
| راهبرد مدیریت مالی | ||
| مقاله 1، دوره 6، شماره 1 - شماره پیاپی 20، اردیبهشت 1397، صفحه 1-24 اصل مقاله (4.52 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2018.12991.1212 | ||
| نویسندگان | ||
| معین نیکوسخن* 1؛ محمد اسماعیل فدایی نژاد2 | ||
| 1کارشناسی ارشد، مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران | ||
| 2دانشیار، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران، | ||
| چکیده | ||
| در این پژوهش، رابطه میان ریسک غیر سیستماتیک و بازده بر اساس چارچوب مدل GARCH-in mean به‌صورت ورقه بهادار به ورقه بهادار در بورس اوراق بهادار تهران طی دوره زمانی 1380 تا 1394 موردبررسی قرارگرفته است. شواهد حاکی از آن است که به‌طور متوسط 27 درصد از سهام رابطه معنی‌داری را میان ریسک غیر سیستماتیک و بازده تجربه کردند. این در شرایطی است که شرکت‌هایی با ارتباط منفی دارای سهم بسیار بیشتری از شرکت‌هایی با ارتباط مثبت در تغییرات نسبت کل اوراق بهادار با ارتباط معنی‌دار می‌باشند (19 درصد). نتایج حاصل از بررسی اثر ویژگی‌های شرکت بر احتمال مشاهده این رابطه معنی‌دار نشان می‌دهد که برخی ویژگی‌ها هم احتمال رابطه مثبت و هم احتمال رابطه منفی را تحت تأثیر قرار می‌دهند، درحالی‌که مابقی ویژگی‌ها تنها احتمال یکی از رابطه‌های مثبت یا منفی را متأثر می‌سازند. این شواهد نشان می‌دهد که عوامل توضیح‌دهنده رابطه مثبت ریسک غیر سیستماتیک و بازده متفاوت از عواملی هستند که رابطه منفی را توضیح می‌دهند. | ||
| کلیدواژه‌ها | ||
| ریسک غیرسیستماتیک؛ بازده مورد انتظار؛ مدل GARCH-in mean؛ ویژگی‌های شرکت | ||
| عنوان مقاله [English] | ||
| The Investigation of the Importance of Individual Securities Idiosyncratic Risk: Another Look at Idiosyncratic Risk and Expected Returns | ||
| نویسندگان [English] | ||
| Moien Nikusokhan1؛ Muhammad Esmaeil Fadaei Nejad2 | ||
| 1MSc. In Financial Management, Faculty of Accounting and Management, Shahid Beheshti University, Tehran, Iran | ||
| 2Associate Prof, Faculty of Accounting and Management, Shahid Beheshti University, Tehran, Iran | ||
| چکیده [English] | ||
| This study investigates the relationship between idiosyncratic risk and return based on the model (GARCH)-in-mean for individual by individual securities in Tehran Stock Exchange during the period from 2001 to 2015. The evidence suggests that, on average, 27% of stocks experienced a significant relationship between idiosyncratic risk and return. This is the way that companies with a negative relationship comprise a far greater proportion than those with a positive relationship in changes with the proportion of all securities (19%). The results of investigating the effect of characteristics on the probability of a significant relationship between returns and idiosyncratic risk indicate that some characteristics influence the probability of a positive and a negative relationship, while the rest of characteristics appear to affect only a positive or negative relationship. This evidence implies that the factors that explain a positive connection between idiosyncratic risk and returns are different from the factors that explain a negative connection. | ||
| کلیدواژه‌ها [English] | ||
| Idiosyncratic Risk, Expected Returns, GARCH-in-mean Model, Firm Characteristic | ||
| مراجع | ||
|
- دولو، مریم و حمیدی زاده، محمدرضا. (1392). «راهبرد سرمایه‌گذاری مبتنی بر ریسک غیر سیستماتیک و ساختار مالکیت». فصلنامه مطالعات مدیریت راهبردی، 16، 109-129 - رجبی، عظیم و دولو، مریم. (1394). «بررسی آناتومیک رابطه بازده سهام با نوسان پذیری غیر سیستماتیک؛ شواهدی از بورس اوراق بهادار تهران». فصلنامه علمی-پژوهشی مدیریت دارایی و تأمین مالی، 10، 37-48 - Ang, A, Hodrick, Y, Xing, and X, Zhang. (2006).»The Cross Section of Volatility and Expected Returns«. Journal of Finance, 61, 259-299. - Ang, A, Hodrick, Y, Xing, and X, Zhang. (2009). »High Idiosyncratic Volatility and Low Returns: International and Further US Evidence«. Journal of Financial Economics, 91, 1-23. - Bali, T, Cakici, N. (2008). »Idiosyncratic volatility and the cross-section of expected returns?«. Journal of Financial and Quantitative Analysis, 43 29–58. - Black, F. (1972). »Capital Market Equilibrium with Restricted Borrowing«. Journal of Business, 45, 444-455. - Boehme, R.D, Danielsen, B.R, Kumar, P, & Sorescu, S.M. (2009). »Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977) «. Journal of Financial Markets, 12, 438-468. - Boyer, B, Mitton, T, and Vorkink, K. (2007). »Idiosyncratic volatility and skewness: time-series relations and the cross-section of expected returns«. Working paper, Brigham Young University. - Brockman, P, Schutte, M. (2007). »Is idiosyncratic volatility priced? The international evidence«. Working paper, University of Missouri. - Campbell, JY, Lettau, M, Malkiel, BG, and Xu, Y. (2001). »Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk«. Journal of Finance, 16, 1-43. - Chua, C, Goh, J, and Zhang, Z. (2007). »Idiosyncratic volatility matters for the cross-section of returns-in more ways than one«. Working paper, China International Conference in Finance, July 2006. - Connolly, R.A, Rendleman, R.J. (2007). »A Simulation-Based Assessment of Cross-Sectional CAPM Testing Methodology«. Working paper, University of North Carolina. - Davallou, M, and Hamidizadeh, M.R. (1392). »Investment Strategy Based on Idiosyncratic Risk & Ownership Structure«. Journal of Strategic Management Studies-, 16, 109-129. (in Persian) - Davallou, M, and Rajabi, A. (1394). »An Anatomic Study of the Relationship between Stock Return and Idiosyncratic Volatility Evidences from Tehran Stock Exchange«. Journal of Asset Management and Financing, 3, 37-48. (in Persian) - Doran, J.S, Jiang, D and Peterson, D.R. (2008). »Gambling in the New Year? The January Idiosyncratic Volatility Puzzle«. Working Paper, Florida State University. - Drost, F.C, Nijman, T.E. (1993). »Temporal Aggregation of GARCH Processes«. Econometrica, 61, 909-927. - Fu, F. (2009). »Idiosyncratic risk and the cross-section of expected stock returns«. Journal of Financial Economics, 91, 24-37. - Goetzmann, W.N, Kumar, A. (2008). »Equity portfolio diversification«. Review of Finance, 12, 433-463 - Grinstein, Y, Michaely, R. (2005). »Institutional Holdings and Payout Policy«. Journal of Finance, 60, 1389-1426. - Guo, H, and Savickas, R. (2006). »Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns«. Journal of Business and Economic Statistics, 24, 43-56. - Huang, W, Liu, Q, Rhee, S.G, and Zhang, L. (2010). »Return reversals, idiosyncratic risk and expected returns«. Review of Financial Studies, 23, 147-168 - Jiang, GJ, Xu, D, and Yao, T. (2009). »The information content of idiosyncratic volatility«. Journal of Financial and Quantitative Analysis, 44, 1-28. - Jiang, X, Lee, B. (2006). »The Dynamic Relation Between Returns and Idiosyncratic Volatility«. Financial Management, 35, 43-65. - Kahneman, D, and A, Tversky. (1979). »Prospect Theory: An Analysis of Decision Under Risk«. Econometrica, 47. 263-292. - Kan, R, Zhang, C. (1999). »Two-Pass Tests of Asset Pricing Models with Useless Factors«. Journal of Finance, 54, 203-235. - Kim, D. (1995). »The Errors in the Variables Problem in the Cross Section of Expected Stock Returns«. Journal of Finance, 50, 1605-1634. - Lee, B.S, and Li, L. (2016). »The Idiosyncratic Risk-Return Relation: A Quantile Regression Approach Based on the Prospect Theory«. Journal of Behavioral Finance, 17, 124-143. - Lee, JBT. (2008). »Higher Idiosyncratic Moments and the Cross-Section of Expected Stock Returns«. PhD Thesis. University of Washington. - Levy, H. (1978). »Equilibrium in an imperfect market: a constraint on the number of securities in the portfolio«. American Economic Review, 68, 643-658. - Lintner, J. (1965a). »The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets«. Review of Economics and Statistics, 47, 13-37. - Liu, Y, and Ping, W. (2013). »Model selection and relationship between idiosyncratic volatility and expected stock returns: evidence from Chinese A-share Market«. International Conference on Service Systems and Service Management: Refereed papers from the 10th International Conference on Service Systems and Service Management (522-526). Hong Kong: IEEE. - Malkiel, B.G, and Xu, Y. (1997). »Risk and Return Revisited«. Journal of Portfolio Management, 24, 9-14. - Malkiel, B.G, and Xu, Y. (2004). »Idiosyncratic Risk and Security Returns«. Working Paper, American Finance Association Meeting, May 2004. - Markowitz, H. (1952). »Portfolio Selection«. Journal of Finance, 7, 77-91. - Meddahi, N, Renault, E. (2003). »Temporal Aggregation of Volatility Models«. Journal of Econometrics, 119, 355-379. - Mendonça, F.P, Klotzle, M.C, Pinto, A.C.F, Montezano, R.M.S. (2012). »The relationship between idiosyncratic risk and returns in the Brazilian stock market«. Revista Contabilidade & Finanças, 23. 246-257. - Merton, R.C. (1987). »A Simple Model of Capital Market Equilibrium with Incomplete Information«. Journal of Finance, 42, 483-510. - Nelson, D.B. (1991). »Conditional Heteroskedasticity in Asset Returns: A New Approach«. Econometrica, 59 , 347-370. - Rachwalski, M, and Wen,Q. (2016). » Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation«. The Review of Asset Pricing Studies, 6, 303-328. - Roll, R, Ross S.A. (1994). »On the Cross-Sectional Relation Between Expected Returns and Betas«. Journal of Finance, 49, 101-121. - Sharpe, W.F. (1964). »Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk«. Journal of Finance, 19, 425-442. - Spiegel, M, and Wang, X. (2006). »Cross-Sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk«. Working Paper, Yale University. - Tinic, S.M, and West, R.R. (1986). »Risk, Return and Equilibrium: A Revisit«. Journal of Political Economy, 94, 126-147. - Wan, C, and Xiao, Z. (2014). »Idiosyncratic Volatility, Expected Windfall and the Cross-Section of Stock Returns«. Advances in econometrics, 33. 713-749 | ||
|
آمار تعداد مشاهده مقاله: 19,357 تعداد دریافت فایل اصل مقاله: 3,403 |
||