تأثير ارزش گذاري نادرست بر بازده سهام؛ كاربردي از الگوي پنج عاملي

The Effect of the Mispricing on Stock Returns: An Application of the Five-Factor Model

ﺳﺮﻣﺎﯾﻪ ﮔﺬاري ﻣﻄﻤﺌﻦ ﺑﺮاي ﯾﮏ ﺳﺮﻣﺎﯾﻪ ﮔﺬار واﺑﺴﺘﻪ ﺑﻪ اﯾﻦ اﺳﺖ ﮐﻪ ﺑﺪاﻧﺪ اﻓﺰاﯾﺶ ﻗﯿﻤﺖ رخ داده در ﻫﺮ ﺳﻬﻢ واﻗﻌﯽ اﺳﺖ ﯾﺎ ﺣﺒﺎب ﻗﯿﻤﺘﯽ ﺑﺎﻋﺚ اﯾﻦ رﺷﺪ ﻗﯿﻤﺖ ﺷﺪه اﺳﺖ. ﺑﻪ ﻣﻨﻈﻮر ﺑﺮرﺳﯽ ﻧﻘﺶ و اﺛﺮ ﺣﺒﺎب ﻗﯿﻤﺘﯽ ﺑﺮ ﺑﺎزده ﺳﻬﺎم دادهﻫﺎي ﻣﺎﻫﺎﻧﻪ ﻧﻤﻮﻧﻪاي ﺷﺎﻣﻞ 276 ﺷﺮﮐﺖ از ﺑﺎزار ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺮاي دو دورهي روﻧﻖ و رﮐﻮد ﺑﺎزار در ﯾﮏ ﻣﺪل ﭘﻨﺞ ﻋﺎﻣﻠﯽ ﺑﮑﺎر ﮔﺮﻓﺘﻪ ﺷﺪه اﺳﺖ. ﺗﺨﻤﯿﻦ اﻟﮕﻮي ﺗﺤﻠﯿﻠﯽ ﻧﺸﺎن ﻣﯽدﻫﺪ ﮐﻪ ارزﺷﮕﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم در دورهي روﻧﻖ در ﺗﻤﺎم ﭘﺮﺗﻔﻮﻫﺎ اﺛﺮ ﻣﺜﺒﺖ و ﻣﻌﻨﺎدار ﺑﺮ ﺑﺎزده ﺳﻬﺎم دارد. اﻣﺎ در دورهي رﮐﻮد ﺗﻨﻬﺎ در ﭘﻨﺞ ﭘﺮﺗﻔﻮي اﺛﺮ ﻣﺜﺒﺖ و ﻣﻌﻨﺎدار ﻣﺸﺎﻫﺪه ﺷﺪه اﺳﺖ. اﯾﻦ ﻧﺘﺎﯾﺞ ﺑﻪ اﯾﻦ ﻣﻌﻨﺎﺳﺖ ﮐﻪ در دوره رﮐﻮد ارزﺷﮕﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم ﺑﺎ ﺑﺎزدﻫﯽ ﺑﺎﻻﺗﺮ در ﺳﻬﻢ ﻣﺮﺑﻮﻃﻪ ﻫﻤﺮاه ﻧﯿﺴﺖ اﻣﺎ اﯾﻦ راﺑﻄﻪ در دوره روﻧﻖ ﺗﻘﻮﯾﺖ ﻣﯽﺷﻮد. ﻫﻤﭽﻨﯿﻦ ﺿﺮﯾﺐ ﻋﺎﻣﻞ ﺻﺮف رﯾﺴﮏ ﺑﺎزار در دورهي رﮐﻮد در ﭘﺮﺗﻔﻮﻫﺎي ﺑﺰرگ ﻣﺜﺒﺖ و ﻣﻌﻨﺎدار اﺳﺖ وﻟﯽ در دورهي روﻧﻖ در ﭘﺮﺗﻔﻮﻫﺎي ﺑﺰرگ ﻣﻌﻨﺎدار ﺑﻮده وﻟﯽ ﻋﻼﻣﺖ ﺛﺎﺑﺘﯽ را ﻧﺸﺎن ﻧﻤﯽدﻫﺪ. ﻋﺎﻣﻞ اﻧﺪازه ﻫﻢ در دورهي روﻧﻖ و ﻫﻢ در دورهي رﮐﻮد در ﭘﺮﺗﻔﻮﻫﺎي ﺑﺰرگ راﺑﻄﻪي ﻣﻨﻔﯽ و ﻣﻌﻨﺎداري ﺑﺎ ﺑﺎزدﻫﯽ ﺳﻬﺎم دارد. ﻋﺎﻣﻞ ﻣﻮﻣﻨﺘﻮم در دورهي رﮐﻮد در ﭘﺮﺗﻔﻮﻫﺎي ﺑﺰرگ و ارزﺷﯽ ﻣﻌﻨﺎدار اﺳﺖ وﻟﯽ در ﻫﺮ دو دوره ﻋﻼﻣﺖ ﺛﺎﺑﺘﯽ را ﻧﺸﺎن ﻧﻤﯽدﻫﺪ اﯾﻦ ﻋﺎﻣﻞ در دورهي روﻧﻖ در ﭘﺮﺗﻔﻮﻫﺎي ﺑﺰرگ ﻣﻌﻨﺎدار اﺳﺖ

A safe investment for an investor depends on knowing if the price increase is real or the mispricing is causing the price to rise. In order to examine the role and effect of the mispricing on the return on stocks of monthly data, a sample of 276 companies from the Tehran Stock Exchange has been used for two periods of Boom and Substantiv in a five-factor model. Analysis of the analytical model shows that mispricing of stocks during the boom period in all portfolios has a positive and significant effect on stock returns, but during the recession, only five portfolios had a positive and significant effect. These results mean that in the recession period, incorrect valuation of stocks is not associated with higher returns on the relevant share, but this relationship is strengthened during the boom period. Also, the factor of market risk in the recession period in large portfolios is positive and significant, but in the boom period in large portfolios it is significant but does not show a fixed sign. The size factor has a negative and significant relationship with stock returns both in the boom period and in the recession period in large portfolios. In addition, the value factor in the recession period in large portfolios is a positive and significant value, but in the boom period it is only positive and significant in large portfolios. The momentum factor is significant in the recession period in large and valuable portfolios, but does not show a fixed sign in both periods. This factor is significant in the boom period in large portfolios.