بررسی تاثیر اختیار واقعی ناشی از انعطاف پذیری بر بازده سهام
محورهای موضوعی : دانش مالی تحلیل اوراق بهادارمصطفی حیدری هراتمه 1 , شمس‌اله شیرین‌بخش 2
1 - هیات علمی دانشگاه ازاد اسلامی واحد نراق، نراق، ایران.
2 - دانشیار گروه اقتصاد دانشگاه علامه طباطبایی، تهران، ایران.
کلید واژه: اختیارات واقعی, فرصت های سرمایه گذاری, انعطاف پذیری, Panel - Data,
چکیده مقاله :
در این تحقیق، نتایج نشان می دهد رابطه ی مثبت بازدهی - نوسان در سطح شرکت، متاثر از اختیارات واقعی خود شرکت است. در راستای نظریه ی اختیارات واقعی، می توان استنتاج و بیان نمود که: الف)رابطه مثبتنوسان- بازدهدر سطح شرکت برای شرکت هایی که دارای اختیارات واقعی بیشتری هستند، بسیار قوی تر نشان می دهد و از میزان حساسیت ارزش (بازدهی) سهام شرکت نسبت به تغییرات میزان نوسان بازده، بعد از به کارگیری اختیارات واقعی توسط شرکت ها به طرز چشم گیری کاسته می شود. ب) مسئولین و مدیران عملگرا و مجری قابلیت های انعطاف پذیری در زمینه های مختلف سرمایه گذاری، قادر به تبیین و تشریح تغییرات مقطعی در رابطه نوسان - بازدهخواهند بود . بنابراین رابطه نوسان - بازدهی برای شرکت هایی که دارای محدودیت های عملیاتی کمتر و قابلیت های بیشتر جهت پاسخگویی بیشتر و بهتر به درخواست های نامعین (انعطاف پذبری بیشتر) می باشند، بسیار قوی تر است . در مدل های مربوط به اختیارات واقعی، انعطاف پذیری مدیریتی، باعث تحدب تابع ارزش شرکت در ارتباط با ارزش فرآیند پایه شرکت می شود . بنابراین، با توجه به نظریه ی نابرابری ینسن، حساسیت ارزش شرکت نسبت به نوسان در دارایی های پایه، ضمن افزایش، باید به تقویت انعطاف پذیری شرکت نسبت به تغییر تصمیمات سرمایه گذاری و عملیاتی آن، کمک کند.
In this study, evidence is presented that shows the positive stock return-volatility relationship at the firm level is due to firm's real options. In the real options theory, it can be deduced:A) that the positive stock return-volatility at the firm level for those firms with more real options is much stronger and that the level of the sensitivity of the firm's stock return in response to the changes in the stock return volatility is significantly reduced due to the use of real options.B) that, the relationship between return – volatility for companies that have fewer restrictions and greater capabilities to better respond to uncertain demands (greater flexibility) are much stronger. In the real options models, managerial flexibility leads to greater firm's value convexity function . Thus, according to the theory of Jensen's inequality, sensitivity of the firm's value due to volatility in firm's underlying assets, while increasing, it should help to strengthen the company's flexibility to the changes in investment decisions and operations.
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