استفاده از اختلاف قیمت پیشنهادی خرید و فروش به عنوان پراکسی برای هزینه معاملاتی در تعدیل مدل قیمت‌گذاری دارایی سرمایه‌ای مبتنی بر مصرف

الموضوعات :

صدیقه علیزاده ¹ (گروه اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه سیستان و بلوچستان، زاهدان ایران)
محمد نبی شهیکی تاش ² (گروه اقتصاد دانشکده اقتصاد و مدیریت دانشگاه سیستان و بلوچستان-زاهدان-ایران)
رضا روشن ³ (گروه اقتصاد، دانشکده ادبیات و علوم انسانی دانشگاه خلیج فارس، بوشهر، ایران)

تاريخ الإرسال : 01 الأربعاء , شعبان, 1441 تاريخ التأكيد : 01 الجمعة , رمضان, 1441 تاريخ الإصدار : 05 الثلاثاء , صفر, 1442

الکلمات المفتاحية: ریسک نقدشوندگی, CCAPM سنتی, CCAPM تعدیل شده با نقدشونگی, اختلاف قیمت پیشنهادی خرید و فروش,

ملخص المقالة :

هدف این مطالعه برآورد معیار اختلاف قیمت پیشنهادی خرید و فروش با استفاده از داده‌های روزانه و به کاربردن این معیار به عنوان پراکسی برای هزینه‌های معاملاتی است. در ادامه با استفاده از این نوع هزینه‌های معاملاتی و ریسک نقدشوندگی به تعدیل مدل قیمت‌گذاری دارایی سرمایه‌ای مبتنی بر مصرف پرداخته می‌شود. به منظور انجام آزمون‌های تجربی، داده‌های روزانه از 47 شرکت پذیرفته شده در بورس اوراق بهادار تهران و برای دوره 1388 تا 1396 جمع‌آوری می‌گردد. پژوهش مبتنی بر بیست پرتفوی است؛ که براساس معیارهای نقدشوندگی لئو، حجم معاملات، اندازه و گیبس ساخته می‌شود. نتایج این مطالعه نشان می‌دهد که مدل قیمت گذاری دارایی سرمایه‌ای مبتنی بر مصرف سنتی عملکرد ضعیفی در توضیح بازدهی سهام مقطعی دارد و مدل CCAPM تعدیل یافته نسبت به مدل سنتی بخش بزرگتری از تغییرات بازدهی را توضیح می‌دهد. همچنین نتایج نشان می‌دهد که ورود متغیرهای هزینه معاملاتی و ریسک نقدشوندگی منجر بهبود عملکرد مدل CCAPM می‌شود.

المصادر:

 [1] Acharya, V.V., Pedersen, L.H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics,77,375-410      .                                                                                                                                                               [2]Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Market,. 5,31–56                                                                                                                                                            [3]Amihud, Y., Mendelson, H., (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17, 223–249.

[4] Breeden, D.T., Litzenberger, R.H. (1978). Prices of state-contingent claims implicit in option prices”, Journal of Business, 621-561.

 [5] Brennan, M. J.,  Subrahmanyam, A. (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns. Journal of Financial Economics, 41(3),441-464.

[6] Buss, A., Dumas, B., (2013). The equilibrium dynamics of liquidity and illiquid asset prices. Working Paper

[7] Chor.dia, T., Roll, R,. & Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1),3-28.

[8] Chordia, T., Roll, R., Subrahmanyam, A., (2000). Commonality in liquidity. Journal of Financial Economics 56, 3–28.

[9] Cochrane, J. H. (2005). Asset Pricing, Revised Edition. (Princeton, NJ: Princeton University Press).

[10] Corwin, S.A., Schultz, P. (2012). A simple way to estimate bid-ask spreads from daily high and low prices. Journal of Finance, 67, 719–760.

[11] Friend, I., Westerfield, R., (1980). Co-skewness and capital asset pricing. Journal of Finance 35, 897–913.

[12] Gârleanu, N., Pedersen, L.H., (2013). Dynamic trading with predictable returns and transaction costs. Journal of Finance 68, 2309–2340.

[13] Ghalibaf, H., Pourfard, SH. (2017). Government Policy and exploitation of entrepreneurial opportunities, quarterly journal of fiscal and Economic policies. 4 (16), 29-65                                                       [14] George, T., Kaul, G. and M. Nimalendran, (1991), Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 623-656.

[15] Hasbrouck, J. (2004), “. Liquidity in the futures pits: inferring market dynamics from incomplete data” , Journal of Financial and Quantitative Analysis, 39(2), 305-326

[16] Hasbrouck, J. (2009), “Trading costs and returns for U.S. equities: estimating effective costs from daily data”, Journal of Finance, 64(3), 1445–1477

[17] Jones, C.M., 2001. A century of stock market liquidity and trading costs. Working Paper. Graduate School of Business, Columbia University                                                                                                                                

[18]Kim, V.,Na, H. (2017). Higher-momen.t liquidity risks and the cross-section of stock returns, Journal of Financial Markets, 38(2018), 39-59.

[19] Lesmond, David, Joseph Ogden, and Charles Trzcinka, (1999), A new estimate of transactions costs, Review of Financial Studies 12, 1113-1141.

[20] Lettau, M., Ludvigson, S. (2001). Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. Journal of Political Economy, 109, 1238– 1287.

[21] Liu, W. (2006). A liquidity augmented capital asset pricing model. Journal of financial Economics, 82, 631–671.

[22] Liu, W., Luo D., & Zhao H. (2015). Transaction costs, liquidity risk, and the CCAPM. Journal of Banking & Finance, 63 (2016), 126–145.

[23] Liu, W., Strong, N., (2008). Biases in Decomposing Holding-Period Portfolio Returns. The Review of Financial Studies. 21(5), 2243-2274.

[24]Lo, A.W., Mamaysky, H. and Wang, J. (2004), “Asset prices and trading volume under fixed transactions costs”,  Journal of Political Economy, 112, 1054-1090

[25] Márquez, E., Nieto, B., Rubio, G., (2014). Stock returns with consumption and illiquidity risks. International Review of Economics and Finance 29, 57–74.

[26] Pastor, L., Stambaugh, R.F. (2003). Liquidity risk  and expected stock returns. Journal of Political Economy, 111, 642–685.

[27] Petkova, R. (2006). Do the Fama-French Factors Proxy for Innoations in Predictive Variables? Journal of Finance, 61(2),581-612.

[28] Roll, R., (1984), A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance 39, 127-1139.

[29] Rubinstein, M., (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science 7, 407–425.

[30] Sadka, R. (2006). Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80(2),309-349.

[31] Sharpe, W., (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.

[32]Yogo, M. (2006). A consumption-based explanation of expected stock returns. Journal of Finance, 61, 539–580.

[33] Guiyuan, M., Chi Chung, S. and Soong-ping Z. (2019). Dynamic portfolio choice with return predictability and transaction costs, European Journal of Operational Research.(278)3, 967-988.

[34] Fama, E.F., French, K.R., 2008. Dissecting anomalies. Journal of Finance, 63, 1653– 1678.

 

]35[بادآوری نهندی، یونس؛ مهدی و اژدر ملکی (1392). بررسی تاثیر نقدشوندگی سهام بر بازده سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهران، پژوهش­نامه اقتصاد و کسب و کار، 4(5)، صص 89-98

]36[جعفری، ع.، هنرمند، م.، ذوالفقاری، ح. و رسائیان، ا. (1391). رابطه بین دوره نگهداری سهام با اختلاف قیمت پیشنهادی خرید و فروش سهام، ارزش بازار شرکت و نوسانات بازده در بورس اوراق بهادار تهران. دانش مالی تحلیل اوراق بهادار، 5(16)، 59-41

]37[خدامی­پور، احمد. و امیری، اسماعیل. (1396). هزینه معاملات سهام و قیمت سهام: نقش تعدیلی سرمایه­گذاران نهادی. مجله بررسی­های حسابداری، 4(15)، 66-45

]38[ قالیباف اصل، حسن، پورفرد، شهرروز. (1395)، قیمت­گذاری ریسک نقدشوندگی در بازار بورس اوراق بهادار، فصلنامه سیاست­ها مالی و اقتصادی، 4(16)، 29-65.

]39[مهرانی، ساسان. رسائیان، امیر (1388)، نقدشوندگی سهام و نقدشوندگی دارایی­ها، حسابرس. شماره 46 .52-56

]40[نیکو سخن، م. و فدایی نژاد، م. (1397). بررسی اهمیت ریسک غیرسیستماتیک هر ورقه بهادار: نگاه دیگر به ریسک غیر سیستماتیک و بازده. راهبرد مدیریت مالی،6(20)، 24-1

 

 

[1] Acharya, V.V., Pedersen, L.H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics,77,375-410      .                                                                                                                                                               [2]Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Market,. 5,31–56                                                                                                                                                            [3]Amihud, Y., Mendelson, H., (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17, 223–249.

[10] Corwin, S.A., Schultz, P. (2012). A simple way to estimate bid-ask spreads from daily high and low prices. Journal of Finance, 67, 719–760.

[11] Friend, I., Westerfield, R., (1980). Co-skewness and capital asset pricing. Journal of Finance 35, 897–913.

[12] Gârleanu, N., Pedersen, L.H., (2013). Dynamic trading with predictable returns and transaction costs. Journal of Finance 68, 2309–2340.

[13] Ghalibaf, H., Pourfard, SH. (2017). Government Policy and exploitation of entrepreneurial opportunities, quarterly journal of fiscal and Economic policies. 4 (16), 29-65                                                       [14] George, T., Kaul, G. and M. Nimalendran, (1991), Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 623-656.

[15] Hasbrouck, J. (2004), “. Liquidity in the futures pits: inferring market dynamics from incomplete data” , Journal of Financial and Quantitative Analysis, 39(2), 305-326

[16] Hasbrouck, J. (2009), “Trading costs and returns for U.S. equities: estimating effective costs from daily data”, Journal of Finance, 64(3), 1445–1477

[17] Jones, C.M., 2001. A century of stock market liquidity and trading costs. Working Paper. Graduate School of Business, Columbia University                                                                                                                                 

[18]Kim, V.,Na, H. (2017). Higher-momen.t liquidity risks and the cross-section of stock returns, Journal of Financial Markets, 38(2018), 39-59.

[19] Lesmond, David, Joseph Ogden, and Charles Trzcinka, (1999), A new estimate of transactions costs, Review of Financial Studies 12, 1113-1141.

[20] Lettau, M., Ludvigson, S. (2001). Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. Journal of Political Economy, 109, 1238– 1287.

[21] Liu, W. (2006). A liquidity augmented capital asset pricing model. Journal of financial Economics, 82, 631–671.

[22] Liu, W., Luo D., & Zhao H. (2015). Transaction costs, liquidity risk, and the CCAPM. Journal of Banking & Finance, 63 (2016), 126–145.

[23] Liu, W., Strong, N., (2008). Biases in Decomposing Holding-Period Portfolio Returns. The Review of Financial Studies. 21(5), 2243-2274.

[24]Lo, A.W., Mamaysky, H. and Wang, J. (2004), “Asset prices and trading volume under fixed transactions costs”,  Journal of Political Economy, 112, 1054-1090

[25] Márquez, E., Nieto, B., Rubio, G., (2014). Stock returns with consumption and illiquidity risks. International Review of Economics and Finance 29, 57–74.

[26] Pastor, L., Stambaugh, R.F. (2003). Liquidity risk  and expected stock returns. Journal of Political Economy, 111, 642–685.

[27] Petkova, R. (2006). Do the Fama-French Factors Proxy for Innoations in Predictive Variables? Journal of Finance, 61(2),581-612.

[28] Roll, R., (1984), A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance 39, 127-1139.

[29] Rubinstein, M., (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science 7, 407–425.

[30] Sadka, R. (2006). Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80(2),309-349.

[31] Sharpe, W., (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.

[32]Yogo, M. (2006). A consumption-based explanation of expected stock returns. Journal of Finance, 61, 539–580.

[33] Guiyuan, M., Chi Chung, S. and Soong-ping Z. (2019). Dynamic portfolio choice with return predictability and transaction costs, European Journal of Operational Research.(278)3, 967-988.

[34] Fama, E.F., French, K.R., 2008. Dissecting anomalies. Journal of Finance, 63, 1653– 1678.

[4] Breeden, D.T., Litzenberger, R.H. (1978). Prices of state-contingent claims implicit in option prices”, Journal of Business, 621-561.

 [5] Brennan, M. J.,  Subrahmanyam, A. (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns. Journal of Financial Economics, 41(3),441-464.

[6] Buss, A., Dumas, B., (2013). The equilibrium dynamics of liquidity and illiquid asset prices. Working Paper

[7] Chor.dia, T., Roll, R,. & Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1),3-28.

[8] Chordia, T., Roll, R., Subrahmanyam, A., (2000). Commonality in liquidity. Journal of Financial Economics 56, 3–28.

[9] Cochrane, J. H. (2005). Asset Pricing, Revised Edition. (Princeton, NJ: Princeton University Press).

35 Badavori Nahandi, Yunus; Mehdi and Azder Maleki (2012). Investigating the impact of stock liquidity on stock returns of companies listed on the Tehran Stock Exchange, Research Journal of Economics and Business, 4(5), pp. 89-98

36Jaafari, A., Artman, M., Zulfiqari, H. and Tashchan, A. (2011). The relationship between the stock holding period and the difference in the bid price of buying and selling shares, the company's market value and the yield fluctuations in the Tehran Stock Exchange. Financial Knowledge of Securities Analysis, 5(16), 41-59

37 Khodamipour, Ahmed. and Amiri, Ismail. (2016). Stock transaction cost and stock price: the moderating role of institutional investors. Accounting Review Journal, 4(15), 45-66

38 Qalibaf Assal, Hassan, Porfard, Shahrrouz. (2016), liquidity risk pricing in the stock market, Financial and Economic Policy Quarterly, 4(16), 65-29.

39Mehrani, Sasan. Tassachan, Amir (2008), liquidity of shares and liquidity of assets, auditor. No. 46.52-56

40 Niko Sokhon, M. and Fedainejad, M. (2017). Examining the importance of unsystematic risk of each security: another look at unsystematic risk and returns. Financial Management Strategy, 6(20), 1-24.