ارزیابی عملکرد مدیران شرکتهای سرمایه گذاری در بورس اوراق بهادار تهران
محورهای موضوعی : مدیریت بازرگانیمحمود لاری دشت بیاض 1 , محمدرضا بهمنش 2 , محبوبه فاطمی 3
1 - استادیار گروه حسابداری دانشگاه فردوسی مشهد
2 - دانشجوی دکتری حسابداری دانشگاه فردوسی مشهد/ عضو هیات علمی موسسه آموزش عالی عطار مشهد
3 - عضو هیات علمی موسسه آموزش عالی عطار مشهد
کلید واژه: ارزیابی عملکرد, شرکتهای سرمایه گذاری, مدل چهار عاملی کارهارت, عامل توالی بازده های گذشته,
چکیده مقاله :
از آنجایی که شرکتهای سرمایه گذاری با ایجاد سبدی از سهام، ریسک سرمایه گذاری را کاهش می دهند، باید از مدیرانی استفاده نمایند که توان کافی جهت ایجاد سبد بهینه ای از سرمایه گذاری ها را داشته باشند. بنابراین با توجه به اهمیت نقش مدیران در این شرکتها، باید عملکرد آنها مورد ارزیابی دقیق قرار گیرد. هدف این تحقیق ارزیابی عملکرد مدیران شرکتهای سرمایه گذاری بورس اوراق بهادار تهران با استفاده از مدلهای کپم، فاما-فرنچ و کارهارت می باشد. سوال اصلی تحقیق این است که کدامیک از این مدلهادر ارزیابی عملکرد مدیران نسبت به دو مدل دیگر از دقت بالاتری برخوردار است؟ جهت پاسخ به این پرسش، داده های شرکتهای سرمایه گذاری بورس اوراق بهادار تهران، در 35 دوره ماهانه مورد بررسی قرار گرفت و با استفاده از روش پنل دیتا فرضیه های تحقیق مورد آزمون قرار گرفت. نتایج تحقیق حاکی از این است که در ارزیابی عملکرد مدیران شرکتهای سرمایه گذاری مدل کارهارت نسبت به دو مدل کپم و فاما-فرنچ از دقت بالاتری برخوردار است.
Since investment companies by creating a portfolio of stocks reduce investment risk, Shouldbeemployedmanagers that haveenough power to create the optimalportfolio of investments. Considering theimportance ofthe role ofmanagersin the companies, shouldbecarefully evaluatedtheir performance. The aim of this study is to evaluate the performance of investment companies’s managers in Tehran Stock Exchange using capm, Fama-French and Carhart models. The main research questionis whichofthesemodelsinevaluating the performance ofmanagersis more accuratethanothermodels?Toanswer this question, the data of investment companiesinTehran Stock Exchangeduring the35monthperiodwere evaluatedusingpanel dataandhypotheseswere tested.The results suggest that in evaluating the performance of investment companies’s managers, Carhartmodelis more accuratethan theothertwo models.
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Bartholdy, J.,& Pear, P. (2005), Estimation of Expected Return: CAPM. Fama and French. International Review of Financial Analysis, 14, 407-427.
Carhart, M. M. (1997), On Persistence in Mutual Fund Performance. Journal of Finance, 52, 57-82.
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Jabbari, R., Salehi Sadaghiani, J.,& Amiri, M. (2012), Portfolio Performance Evaluation and Selection of Investment Fund Shares. Journal of Operations Research and its Applications, 32, 1-19,(In Persian).
Mojtahedzadeh, V., & Robatmili, M. (2007), Compare the Performance of the Capital Asset Pricing Model by Fama and French Three-Factor in Anticipation of the Expected Return on the Tehran Stock Exchange.10, 14-22,(In Persian).
Nshvadyan, K. (2008),Fama French Three-Factor Model Tested in the Tehran Stock Exchange. Journal of Sharif, 45, (In Persian).
Otten. R.,& Bams, D. (2004), How to Measure Mutual Fund Performance: Economic Versus Statistical Relevance. Accounting and Finance, 44, 203-222.
Pourzamani, Z.,& Bashiri, A. (2013),Carhart Model to Predict the Expected return to Growth Stocks and Value Separation.Financial Engineering and Portfolio Management, 16, 93-107, (In Persian).
Srikanth, V. (2014),An Empirical Study of Financial Performance Evaluation throw Cash Flow Statement of an Indian Manufactureing Company.International Journal of Arts and Science Research, 1, 49-56.
Vadiee, M. H., & Hosseini, S. M. (2012), Relationship between Performance Evaluation and Abnormal Stock Returns.Accounting empirical research, 4, 73-87,(In Persian).
_||_Artmann. S. P., Finter, A., Kempf, S. K.,& Theissen,E. (2010), The Cross-Section of German Stock Returns: New Data and New Evidence. Retrieved fromhttp://www.ssrn.com.
Bartholdy, J.,& Pear, P. (2005), Estimation of Expected Return: CAPM. Fama and French. International Review of Financial Analysis, 14, 407-427.
Carhart, M. M. (1997), On Persistence in Mutual Fund Performance. Journal of Finance, 52, 57-82.
Esmaeili, R.(1998), Risk Analysis and Stock Returns of Investment in Tehran Stock Exchange, Master's Thesis,Tehran: University of Tehran, (In Persian).
Eslami, B., Reza Tehrani, G.,& Shirazian, Z. (2005),The Relationship between Investment Firms' Performance Based on Three Criteria Trainer, Jensen, Sharp Size (Market Value) and Liquidity. Financial Research, 19, 3-24, (In Persian).
Investment Company Institude. (2003), Mutual Funds Fact Book. Retrieved fromhttp://www.ici.org.
Jabbari, R., Salehi Sadaghiani, J.,& Amiri, M. (2012), Portfolio Performance Evaluation and Selection of Investment Fund Shares. Journal of Operations Research and its Applications, 32, 1-19,(In Persian).
Mojtahedzadeh, V., & Robatmili, M. (2007), Compare the Performance of the Capital Asset Pricing Model by Fama and French Three-Factor in Anticipation of the Expected Return on the Tehran Stock Exchange.10, 14-22,(In Persian).
Nshvadyan, K. (2008),Fama French Three-Factor Model Tested in the Tehran Stock Exchange. Journal of Sharif, 45, (In Persian).
Otten. R.,& Bams, D. (2004), How to Measure Mutual Fund Performance: Economic Versus Statistical Relevance. Accounting and Finance, 44, 203-222.
Pourzamani, Z.,& Bashiri, A. (2013),Carhart Model to Predict the Expected return to Growth Stocks and Value Separation.Financial Engineering and Portfolio Management, 16, 93-107, (In Persian).
Srikanth, V. (2014),An Empirical Study of Financial Performance Evaluation throw Cash Flow Statement of an Indian Manufactureing Company.International Journal of Arts and Science Research, 1, 49-56.
Vadiee, M. H., & Hosseini, S. M. (2012), Relationship between Performance Evaluation and Abnormal Stock Returns.Accounting empirical research, 4, 73-87,(In Persian).
