ارزیابی کارایی پیش‌بینی بازده سهام مبتنی بر ریسک در صنایع منتخب بازار سرمایه
الموضوعات : Risk Management
حمیدرضا اخباری
1
,
حیدر محمدزاده سالطه
2
,
رسول برادران حسن زاده
3
,
مهدی زینالی
4
1 - گروه حسابداری، واحد تبریز، دانشگاه آزاد اسلامی، تبریز، ایران.
2 - گروه حسابداری، واحد مرند، دانشگاه آزاد اسلامی، مرند، ایران.
3 - گروه حسابداری، واحد تبریز، دانشگاه آزاد اسلامی، تبریز، ایران.
4 - گروه حسابداری، واحد تبریز، دانشگاه آزاد اسلامی، تبریز، ایران.
الکلمات المفتاحية: پیش‌بینی بازده سهام, ریسک, صنایع منتخب بازار سرمایه, کارایی,
ملخص المقالة :
هدف: از مهم‌ترین اقدامات در حوزة سرمایه‌گذاری، تخصیص بهینة منابع و کسب حداکثر بازده است. در این میان، پیش‌بینی بازده سهام می‌تواند متأثر از ریسک باشد. این مطالعه با هدف ارزیابی کارایی پیش‌بینی بازده سهام مبتنی بر ریسک در صنایع منتخب بازار سرمایه انجام گردید.
روش‌شناسی پژوهش: پژوهش حاضر از منظر هدف جزء تحقیق‌های کاربردی می‌باشد. همچنین باتوجه‌به ماهیت اطلاعات، از نوع پژوهش‌های پس‌رویدادی می‌باشد. از لحاظ نوع استدلال در زمره پژوهش‌های استدلال استقرایی و از منظر تئوری جزء تئوری‌های اثباتی می‌باشد. اطلاعات و داده‌های موردنیاز جهت تحلیل کارایی عمدتاً از صورت‌های مالی شرکت‌ها، منابع اطلاعاتی بانک مرکزی و منابع سازمان بورس اوراق بهادار استخراج شده و پس از تهیه جداول و طبقه‌بندی (پردازش اولیه) در نرم‌افزار اکسل به وسیله نرم‌افزار R و GAMS مورد تجزیه‌وتحلیل آماری قرار گرفته است. لازم به ذکر است نمونه آماری پژوهش حاضر شامل 101 شرکت از 9 صنعت متفاوت در بازه زمانی 1392 تا 1400 می‌باشد.
یافته‌ها: نتایج نشان داد بازار سرمایه ایران طی دو سال 1399 و 1400 کارایی کامل را از بعد پیش‌بینی بازده سهام تجربه نکرده است. از طرفی شاهد روند نزولی کارایی بازده سهام در طی بازه زمانی پژوهش بودیم که دلیل ان هم عدم قبول و مدیریت نادرست بازار سرمایه از دیدگاه عوامل کلان اقتصادی می‌باشد. به عبارتی ریسک سیستماتیک و غیرسیستماتیک در شرایط فعلی اقتصادی ایران، امکان پیش‌بینی بازده‌های آتی سهام را در بازار سرمایه ایران به علت شرایط نا اطمینان اقتصادی پاسخگو نیست. یعنی رسیدن به کارایی کامل با محدودیت‌هایی همراه است.
اصالت / ارزش‌افزوده علمی: فعالان بازار سرمایه برای اینکه تصمیم‌گیری منطقی داشته باشند، باید به ریسک سیستماتیک و غیرسیستماتیک در راستای کارایی بازار سهام ایران با درنظرگرفتن شرایط کلان اقتصادی توجه لازم را داشته باشند.
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