قیمت گذاری ریسک غیرسیستماتیک: شواهدی از بورس اوراق بهادار تهران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار دانشگاه شهید بهشتی

2 استادیار دانشگاه شهیدبهشتی

چکیده

هدف این پژوهش، آزمون تجربی قیمت گذاری ریسک غیرسیستماتیک در بورس اوراق بهادار تهران طی
سال های 1378 تا 1389 می باشد. پژوهش حاضر ا ز نو ع پس رویدادی است که بر مبنای تجزیه تحلیل
داده های مشاهده شده و با استفاده از رویکرد مطالعه پرتفوی انجام شده است. نمونه آماری شامل 11880
مشاهده فصل- شرکت از 270 شرکت پذیرفته شده در بورس اوراق بهادار تهران می باشد. نتایج نشان
می دهد سرمایه گذاران بابت تحمل ریسک غیرسیستماتیک، انتظار پاداش (صرف ریسک) دارند. عملکرد
پرتفوی های مومنتومی مبتنی بر ریسک غیرسیستماتیک همواره مثبت و از نظر آماری معنادار است. افزون بر
آن، آزمون های قوت نتایج موید آن است که این عملکرد مثبت با منظور نمودن تاثیر معاملات اندک، تغییر
شیوه تخمین نوسان پذیری غیرسیستماتیک و الگوی وزنی محاسبه بازده کماکان به قوت خود باقی است.

کلیدواژه‌ها


عنوان مقاله [English]

Idiosyncratic risk Pricing: Evidence from Tehran Stock Exchange

نویسندگان [English]

  • Mohammad Arabmazar Yazdi 1
  • Ahmad Badri 1
  • Maryam Davallou 2
چکیده [English]

The purpose of this research is the empirical test of idiosyncratic risk pricing in Tehran Stock Exchange during 1378 to 1389. The research is considered as “Ex-post facto” that has been done using “portfolio study approach” and is based on observational data. The statistical sample composed of 11880 firms/season observations from 270 listed companies in Tehran Stock Exchange. Results show that investors expect to compensate (obtain risk premium) for bearing idiosyncratic risk. The performance of momentum portfolios based on idiosyncratic risk always is positive and statistically significant. Furthermore, the robustness tests confirm that this positive performance is not influenced by weak trading effects, change in idiosyncratic volatility estimation method and weighting scheme of return computation

کلیدواژه‌ها [English]

  • Asset Pricing
  • Idiosyncratic Risk
  • Thin Trading
بزرگ اصل، موسی و صاحبقرانی، امیرعباس ( 1392 ) پیش بینی بازده غیرعادی بر
مبنای مدل مبتنی ب ر شتاب سود و صنعت در بورس اوراق بهادا ر تهران، مطالعات
.67-53 ، تجربی حسابداری مالی، سال 11 ، شماره 38
2. مهرانی، ساسان، اسکندری، قربان و گنجی، حمیدرضا( 1393 ) رابطه بین کیفیت سود،
هموارسازی سود و ریسک سهام، مطالعات تجربی حسابداری مالی، سال 11 ، شماره
.139-117 ، 42
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