بررسی عملکرد استراتژی معاملاتی معکوس در بورس اوراق بهادار تهران بر اساس معیارهای ریسک شرکت

محورهای موضوعی : سرمایه‌گذاری

ابراهیم قشقایی ¹ ( گروه مدیریت، واحد مسجدسلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران. )
اله کرم صالحی ² ( گروه حسابداری، واحد مسجدسلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران. )
علی محمودی راد ³ ( گروه ریاضیات کاربردی، واحد مسجدسلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران. )

تاریخ دریافت : 1401/09/22 تاریخ پذیرش : 1402/01/10 تاریخ انتشار : 1402/01/01

کلید واژه: اهرم مالی, ریسک اعتباری, ریسک سیستماتیک, ریسک نقدینگی, استراتژی معاملاتی معکوس,

چکیده مقاله :

هدف: در تئوری مالی سنتی، این گزاره وجود دارد که در هر بورس اوراق بهادار، کارایی در بازار سهام حاکم است. بااین‌حال، شواهدی از ناهنجاری های بازار، مانند اثر حرکت و اثر معکوس وجود دارد. هدف از این مطالعه بررسی عملکرد استراتژی تجاری معکوس تحت معیارهای ریسک است که برای دستیابی به این هدف، چهار فرضیه مطرح شد.روش‌شناسی پژوهش: روش این پژوهش توصیفی از نوع همبستگی است. جامعه آماری شامل کلیه شرکت های پذیرفته‌شده در بورس اوراق بهادار تهران در دوره زمانی 1392 تا 1399 می باشد که با استفاده از روش نمونه گیری حذفی سیستماتیک تعداد 118 شرکت به‌عنوان نمونه انتخاب شدند. در این پژوهش سود معکوس به‌عنوان متغیر وابسته و ریسک سیستماتیک، ریسک نقدینگی، ریسک اعتباری و اهرم مالی به‌عنوان متغیرهای توضیحی در نظر گرفته شد.یافته‌ها: یافته ها نشان داد که ریسک سیستماتیک بر سود معکوس در تمامی دوره های تشکیل و نگهداری پرتفوی اثر مثبت دارد. ریسک نقدینگی تأثیر معناداری بر سود معکوس ندارد. ریسک اعتباری و اهرم مالی تأثیر مثبتی بر سود معکوس دارند. همچنین نتایج نشان داد که تأثیر ریسک سیستماتیک، ریسک اعتباری و اهرم مالی بر سود معکوس در دوره 24ماهه بیش از دوره 12 و 36ماهه است.اصالت / ارزش‌افزوده علمی: نتایج این مطالعه به سرمایه‌گذاران و مدیران پرتفوی کمک می‌کند که هنگام سرمایه‌گذاری از طریق استراتژی معاملاتی معکوس، ریسک‌های شرکت را در نظر بگیرند. علاوه بر این، فعالان بازار باید در هنگام استفاده از استراتژی سرمایه‌گذاری معکوس، روی ریسک سیستماتیک، ریسک اعتباری و اهرم مالی بالا تمرکز کنند؛ زیرا این ابعاد ریسک فرصت‌هایی را برای آن‌ها فراهم می‌کند تا بازدهی غیرعادی به دست آورند.

چکیده انگلیسی:

Purpose: In traditional financial theory, the efficient market hypothesis states that market efficiency prevails in every stock exchange. However, evidence of market anomalies such as momentum effect and reversal effect exists. The aim of this study is to examine the performance of the reverse trading strategy under risk measures. To achieve this objective, four hypotheses were proposed.Methodology: This research employs a descriptive correlational method. The population of the study consists of all listed companies in the Tehran Stock Exchange during the period from 2013 to 2020. A systematic sampling technique was used to select a sample of 118 companies. Reverse profit is considered as the dependent variable, while systematic risk, liquidity risk, credit risk, and financial leverage are considered as explanatory variables.Findings: The findings indicate that systematic risk has a positive effect on reverse profit in all holding and formation periods. Liquidity risk does not have a significant impact on reverse profit. Credit risk and financial leverage have a positive effect on reverse profit. Furthermore, the results show that the influence of systematic risk, credit risk, and financial leverage on reverse profit is greater in the 24-month period compared to the 12-month and 36-month periods.Originality / Value: The results of this study provide valuable insights for portfolio investors and managers to consider company risks when investing through the reverse trading strategy. Additionally, market participants should focus on high levels of systematic risk, credit risk, and financial leverage when utilizing the reverse trading strategy, as these risk dimensions present opportunities for them to achieve extraordinary returns.

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