نقش محتوای اطلاعاتی متقابل سود از شاخص‌های بازار در هم‌زمانی بازده و عملکرد پرتفوی با رویکرد آنتروپی توأم

محورهای موضوعی : مهندسی مالی

حسن زارعی ¹ (گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.)
مجید داودی نصر ² (گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.)
مجید زنجیردار ³ (گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.)

تاریخ دریافت : 1401/10/01 تاریخ پذیرش : 1402/02/30 تاریخ انتشار : 1402/09/02

کلید واژه: آنتروپی توأم, اطلاع متقابل سود, شاخص‌های بازار, عملکرد پرتفوی, هم‌زمانی بازده,

چکیده مقاله :

هدف: هدف از انجام این پژوهش بررسی نقش محتوای اطلاعاتی متقابل سود از شاخص‌های بازار در هم‌زمانی بازده و عملکرد پرتفوی بوده است. روش‌شناسی پژوهش: این پژوهش کاربردی و توصیفی - تحلیلی می‌باشد. جامعه آماری آن کلیه شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران طی سال‌های 1391 تا 1400 بوده که پس از غربالگری، تعداد 118 شرکت به‌عنوان نمونه آماری موردمطالعه قرار گرفت. جهت سنجش محتوای اطلاعاتی متقابل متغیرها از آنتروپی توأم استفاده شد. از نرم‌افزار ره‌آورد نوین و سایت سازمان بورس، جهت جمع‌آوری داده‌ها و از آزمون‌های تی‌ استودنت، مقایسه میانگین، زوجی، برابری واریانس لوین، بوت‌استرپ در آزمون فرضیه‌ها و از نرم‌افزار R جهت تجزیه‌وتحلیل استفاده گردید. یافته‌ها: نتایج نشان داد که میزان اطلاع متقابل سود شرکت از شاخص‌های بازار، اگرچه منجر به هم‌زمانی بیشتر در بازده می‌شود، اما ازنظر آماری معنی‌دار نیست. همچنین نتایج نشان داد که پرتفوی‌های دارای ضریب اطلاع متقابل از سود، عملکرد متفاوتی را نسبت به پرتفوی‌های سنتی دارند. یافته‌های پژوهش بیانگر آن است که پرتفوی‌ حاصل از چندک 20 درصد ضریب اطلاع متقابل، درمجموع و در دوره‌های نگه‌داری 6، 9 و ۱۲ماهه، عملکرد مطلوب‌تری از پرتفوی‌های سنتی و سایر پرتفوی‌ها داشته است. اصالت / ارزش‌افزوده علمی: دانش‌افزایی این پژوهش شامل استفاده از ابزار آنتروپی توأم در سنجش محتوای اطلاعاتی متقابل سود از بازار و بررسی اثر آن در هم‌زمانی و ارائه یک الگوی جدید تشکیل پرتفوی می‌باشد.

چکیده انگلیسی:

Objective: The purpose of this research was to examine the role of the mutual information content of earnings from market indices in the synchrony of returns and portfolio performance. Research Methodology: This study was applied, descriptive, and analytical. The statistical population consisted of all companies listed on the Tehran Stock Exchange during the years 2012 to 2021. After screening, 118 companies were selected as the statistical sample. Joint entropy was used to measure the mutual information content of the variables. The Rahavard Novin software and the website of the Securities and Exchange Organization were used for data collection. Student's t-tests, mean comparison, paired tests, Levene's test for equality of variances, and bootstrap in hypothesis testing were employed, along with the R software for analysis. Findings: The results indicated that while the mutual information of company earnings from market indices leads to greater synchrony in returns, it is not statistically significant. Additionally, the results showed that portfolios with a coefficient of mutual information from earnings perform differently than traditional portfolios. The findings of the study suggest that portfolios formed from the top 20% coefficient of mutual information, overall and in holding periods of 6, 9, and 12 months, performed better than traditional and other portfolios. Originality / Value: The contribution of this research includes the use of joint entropy as a tool to measure the mutual information content of earnings from the market and examining its effect on synchrony, as well as presenting a new model for portfolio formation.

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