مدل رژیم سوییچینگ مارکوف در راستای ارزیابی قیمتگذاری دارایی و ابهام در بازار سهام
محورهای موضوعی : مهندسی مالی
مریم ایدی زاده
1
,
حسن قدرتی قزاانی
2
,
علی اکبر فرزین فر
3
,
حسین پناهیان
4
1 - گروه مدیریت صنعتی، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران.
2 - گروه مدیریت، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران.
3 - گروه حسابداری، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران.
4 - گروه مدیریت و حسابداری، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران.
کلید واژه: قیمتگذاری دارایی, رژیم سوییچینگ مارکوف, ابهام در بازار سهام,
چکیده مقاله :
پژوهش حاضر باهدف طراحی مدل رژیم سوییچینگ مارکوف در راستای ارزیابی قیمتگذاری دارایی و ابهام در بازار سهام ایران به انجام رسیده است. جهت برآورد مدل مارکوف به روش حذفی سیستماتیک 130 شرکت انتخاب و بر پایه عملکرد 1400 به دودسته 50 شرکت برتر و شرکت‌های نا برتر تقسیم و مبتنی بر فرایندهای تصادفی جهت تعیین رژیم‌های مارکوف، پورتفوی‌های سرمایه‌گذاری تشکیل‌شده و بر پایه برآورد مارکوف رژیم‌های صعودی و نزولی تعریف و پارامترهای مارکوف برآورد گردیدند. برآورد رگرسیونی ارتباط بین بازده و عوامل مؤثر در شرکت‌های تحت بررسی صرف‌نظر از دسته‌بندی‌ها نشان داد که بین ریسک، درجات ابهام نرمال و لاپلاس با بازده ارتباط معکوس (تأثیر منفی) وجود داشته و عوامل تعیین‌کننده صرف ریسک بازار، بازده دارایی، بازده سرمایه، نوسان سود، جریانات نقدی، ارزش شرکت، نقد شوندگی دارایی‌ها، فرصت‌های رشد، گردش دارایی و اندازه شرکت، با بازده سهام ارتباط معنی‌داری داشته‌اند. در بین شرکت‌های برتر بازده اضافی (صرف ریسک سهام) کمتر معمولاً با نوسانات ریسک کمتر و درجه ابهام بالاتر همراه بوده و صرف ریسک سهام بالاتر با نوسانات ریسک بالاتر و درجه ابهام کمتر همراه است.
The current research has been carried out with the aim of designing the Markov switching regime model in order to evaluate the asset pricing and uncertainty in the stock market in Iran's stock market. In order to estimate the Markov model by systematic elimination method, 130 companies were selected and based on their performance, 1400 were divided into two categories, the top 50 companies and the lowest companies, and based on random processes to determine Markov regimes, investment portfolios were formed and based on the estimation of the Markov regime were estimated. The regression estimation of the relationship between efficiency and effective factors in the companies under investigation, regardless of the categories, showed that there was an inverse relationship between risk, normal and Laplace uncertainty degrees with efficiency, and the only determining factors were market risk and asset efficiency. , return on capital, profit volatility, cash flows, company value, asset liquidity, growth opportunities, asset turnover and company size have a significant relationship with stock returns. Among top companies, lower additional returns are usually associated with lower risk fluctuations and higher degree of uncertainty, and higher share risk spending is associated with higher risk fluctuations and lower degree of uncertainty.
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