ارزیابی کارایی پیش‌بینی بازده سهام مبتنی بر ریسک در صنایع منتخب بازار سرمایه
محورهای موضوعی : مدیریت ریسک
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.
کلید واژه: پیش‌بینی بازده سهام, ریسک, صنایع منتخب بازار سرمایه, کارایی,
چکیده مقاله :
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.
Purpose: One of the key tasks in the field of investment is the optimal allocation of resources and the attainment of maximum returns. In this regard, stock return forecasting can be influenced by risk factors. This study aims to evaluate the efficiency of risk-based stock return forecasting in selected industries of the Iranian capital market.
Research Methodology: This study is applied in terms of its objective. Considering the nature of the data, it is classified as a post-event (ex-post facto) research. The reasoning method follows an inductive logic, and in terms of theoretical orientation, it is grounded in positive theory. The required data and information for the efficiency evaluation were mainly obtained from the financial statements of firms, databases of the Central Bank of Iran, and the resources of the Tehran Stock Exchange. After initial processing and classification in Excel, the data were statistically analyzed using R and GAMS software. It is noteworthy that the research sample includes 101 firms from 9 different industries over the period 2013 to 2021.
Findings: The results indicate that the Iranian capital market did not experience full efficiency in stock return forecasting during 2020 and 2021. Moreover, a downward trend in stock return efficiency was observed throughout the research period, which is attributable to the lack of acceptance and improper management of the capital market from a macroeconomic perspective. In other words, in Iran’s current economic conditions, systematic and unsystematic risk factors fail to adequately support reliable forecasts of future stock returns, due to heightened macroeconomic uncertainty. Therefore, achieving full efficiency is subject to various constraints.
Originality / Value: For rational decision-making, capital market participants need to properly account for both systematic and unsystematic risk in line with the efficiency of the Iranian stock market, while considering prevailing macroeconomic conditions.
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