اثر ارزشی – رشدی به عنوان سازه مصنوعی قیمت گذاری اشتباه بازاربا تکیه بر تورش های رفتاری:استراتژی ناسازگار،سازگار

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری حسابداری ،گروه حسابداری ،واحد نجف آباد،دانشگاه آزاداسلامی ،نجف آباد،ایران.

2 استادیارحسابداری،گروه حسابداری، واحد نجف آباد، دانشگاه آزاد اسلامی، نجف آباد، ایران

چکیده

برتری سهام ارزشی به‌عنوان سهامی که درگذشته عملکرد ضعیف داشته است، نسبت به سهام رشدی که درگذشته عملکرد مطلوب داشته و بازار انتظار دارد این عملکرد در آینده نیز تداوم داشته باشد، اثبات‌شده است؛ اما تفسیر چرایی بازده آن جای بحث دارد و این اندیشه را در ذهن پژوهشگر ایجاد کرده است که ممکن است قیمت‌گذاری اشتباه بازار توجیه‌کننده برتری سهام ارزشی باشد. بر این اساس پژوهش حاضر به کمک استراتژی ناسازگار به بررسی اثر ارزشی (رشدی) به‌عنوان محصول مصنوعی قیمت‌گذاری اشتباه بازار پرداخته است. مطالعه حاضر از نوع کاربردی است و با رویکرد همبستگی انجام‌شده است. جامعه آماری شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران است. داده‌ها از 210 شرکت برای دوره زمانی 1386 تا 1398 جمع‌آوری شد و به روش داده‌های ترکیبی، مقطعی و سری زمانی در قالب رگرسیون فاما و مکبث مورد تحلیل قرار گرفت. شواهد نشان داد زمانی که شرکت‌های ارزشی با شرکت‌هایی که بنیادی قوی دارند ترکیب می‌شود و استراتژی ناسازگار شکل می‌گیرد بازده مثبت آتی ایجاد می‌شود و وقتی شرکت‌های رشدی با بنیادی‌های ضعیف ترکیب می‌شود بازده منفی به همراه دارد. این پژوهش دریچه‌ای برای بررسی قیمت‌گذاری دستوری دولت و اثر معامله گران مزاحم بر بازار سهام فراهم کرده است.

کلیدواژه‌ها

عنوان مقاله [English]

Value -Glamour Effects as Artifact Structures of Market Mispricing Relying on Behavioral Biases: Inconsistent, Consistent Strategy

نویسندگان [English]

  • Sedigheh Mazaheri 1
  • Khadije Ebrahimi Kahrizsangi 2
  • Arezoo Aghaei Chadegani 2
1 PhD Candidate in Accounting, Department of accounting, Najaf Abad branch, Islamic Azad University, Najaf Abad, Iran
2 Assistant Professor of Accounting, Department of Accounting, Najaf Abad branch .Islamic Azad University,,Najaf Abad, Iran
چکیده [English]

The superiority of value stocks as stocks performed poorly in the past was proven over glamour stocks that performed well in the past, and the market expects this performance to continue in the future. The interpretation of the reason for its returns was debatable, and researchers might think that market mispricing may justify the superiority of value stocks. Accordingly, with the help of inconsistent strategy, the present study aimed to investigate the value (glamour) effect as an artifact product of market mispricing. The present study was an applied one and took a correlation approach. The statistical population comprised the companies listed on the Tehran Stock Exchange. The data were collected from 210 listed companies from 2007 to 2019 using a mixed, cross-sectional, and time series method and analyzed by Fama and Macbeth regression. Evidence suggested that when value companies are combined with firms with strong fundamentals and an inconsistent strategy is formed, future positive returns are generated and it has negative returns, when glamour firms are combined with weak fundamentals. This study might provide a ground for government order pricing and the effect of noise traders on the stock market.

کلیدواژه‌ها [English]

  • "value effect
  • ":"glamour effect
  • ":"market mispricing":"inconsistent strategy":

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