اندازه گیری شانس و مهارت در ارزیابی عملکرد مدیران شرکت های سرمایه گذاری
محورهای موضوعی : مدیریت بازرگانیمهدی مرادی 1 , محمدعلی باقرپور ولاشانی 2 , محمدرضا بهمنش 3
1 - دانشیار گروه حسابداری دانشگاه فردوسی مشهد
2 - استادیار گروه حسابداری دانشگاه فردوسی مشهد
3 - دانشجوی دکتری حسابداری دانشگاه فردوسی مشهد و عضو هیات علمی موسسه آموزش عالی عطار مشهد
کلید واژه: ارزیابی عملکرد, شرکتهای سرمایه گذاری, آلفای جنسن, شانس و مهارت,
چکیده مقاله :
در این تحقیق ابتدا کسب بازده مازاد خالص توسط مدیران شرکتهای سرمایه گذاری مورد آزمون قرار گرفته و سپس با استفاده از بازده مازاد خالص، شانس و مهارت در این شرکتها اندازه گیری شده است. معیار اندازه گیری بازده مازاد خالص در این تحقیق، آلفای جنسن می باشد و داده های تحقیق برای 25 شرکت سرمایه گذاری بورس اوراق بهادار تهران طی 36 دوره ماهانه استخراج گردید. پس از تأیید کسب بازده مازاد خالص توسط این شرکتها، آنها بر اساس آلفای جنسن به سه دسته (a<0, a=0, a>0) تقسیم و در نهایت شانس در شرکتهای سرمایه گذاری اندازه گیری شد. نتیجه تحقیق حاکی از این است که در سطح اطمینان 10% انتظار می رود 22% شرکتهای سرمایه گذاری با مهارت باشند، اما تنها 19% از این شرکتها با مهارت و 3% شرکتهای شانسی بوده، در نتیجه شانس، بازده مازاد کسب کرده اند. به طور مشابه در سطح اطمینان 10% انتظار می رود 10% شرکتهای سرمایه گذاری بدون مهارت باشند، اما تنها 7% از این شرکتها بدون مهارت و مابقی شرکتهای شانسی بوده اند.
This study has examined the net yield surplus earned by the investment companies Managers, and using the net yield surplus the chance and skill were also examined.The measurement criterion for net sur plus was Jensen’s Alpha and research data for 25 bourse bonds investment companies of Tehran were extracted during 36 months periods. After the approval of net yield surplus earned by these companies they were devided into three categories based on Jensen’s Alpha (a <0, a = 0, a> 0) and finally chance was measured in the investment companies. The results showed thatin 10 percent level of confidence it is expected that 22 percent of investment companies were considered skillful,but only 19 percent of them were skillful and 3 percent of them were by chance. Similarly, in 10 percent level of confidence the investment companies were without skill, but exactly 7 percent were without skill, the rest of them were by chance.
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