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ناهنجاری ریسک درماندگی و قیمتگذاری سهام | ||
| راهبرد مدیریت مالی | ||
| مقاله 3، دوره 12، شماره 4 - شماره پیاپی 47، دی 1403، صفحه 67-96 اصل مقاله (528.93 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2024.46680.2913 | ||
| نویسندگان | ||
| مرضیه حسین زاده1؛ غلامرضا منصور فر* 2؛ فرزاد غیور3 | ||
| 1کارشناسی ارشد مدیریت مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران. | ||
| 2دانشیار گروه حسابداری و مدیریت مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران | ||
| 3استادیار گروه حسابداری و مدیریت مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران | ||
| چکیده | ||
| رابطه منفی ریسک درماندگی و بازده سهام به عنوان ناهنجاری ریسک درماندگی شناخته شده و پژوهشهای اخیر یکی از عوامل ایجاد کننده این ناهنجاری را قیمتگذاری اشتباه سهام میدانند. به همین منظور هدف پژوهش حاضر در وهله اول بررسی تاثیر ریسک درماندگی بر بازده سهام به منظور شناسایی ناهنجاری ریسک درماندگی بوده و در مرحله بعد، پژوهش حاضر اثر تعدیلی قیمتگذاری اشتباه سهام را بر رابطه بین ریسک درماندگی و بازده سهام، بررسی می‌کند. به منظور آزمون فرضیه‌های پژوهش، تعداد 106 شرکت در طی سالهای 1401-1391 به عنوان نمونه منتخب انتخاب شده و برای تجزیه و تحلیل دادهای آن از الگوی رگرسیونی چند متغیره با استفاده از داده‌های پنل استفاده شده است. یافته‌های پژوهش بیانگر آن است که ریسک درماندگی مالی بر بازده سهام تاثیر منفی و معنی‌دار داشته اما اثر تعدیلی قیمتگذاری اشتباه بر رابطه منفی بین ریسک درماندگی مالی و بازده سهام مورد تایید قرار نگرفته است. به عبارت دیگر، بر اساس نتایج پژوهش که اثرگذاری منفی ریسک درماندگی بر بازده سهام، وابسته به قیمتگذاری اشتباه سهام نمی‌باشد. | ||
| کلیدواژه‌ها | ||
| بازده سهام؛ ریسک درماندگی؛ ناهنجاری ریسک درماندگی؛ قیمتگذاری اشتباه سهام | ||
| عنوان مقاله [English] | ||
| Distress Risk Anomaly and Stock Pricing | ||
| نویسندگان [English] | ||
| Marzieh Hosseinzadeh1؛ Gholamreza Mansourfar2؛ Farzad Ghayour3 | ||
| 1MSc. Department of Accounting, Faculty of Economics and Management, Urmia University, Urmia, Iran | ||
| 2Associate Prof., Department of Accounting, Faculty Economic and Management, Urmia University, Urmia, Iran | ||
| 3Assistant Professor, Department of Accounting, Faculty of Economics & Management, Urmia University, Urmia, Iran | ||
| چکیده [English] | ||
| The negative relationship between the distress risk and stock returns is known as the abnormality of the risk of distress risk, and recent studies consider stock mispricing as one of the factors that cause this abnormality. For this reason, the aim of this research is to first investigate the impact of the distress risk on stock returns in order to identify the abnormality of the distress risk, and in the next step, this research has examined the moderating effect of stock mispricing on the relationship between distress risk and stock returns. In order to test the hypotheses of the research, a number of 106 companies were selected as a selected sample during the years 2012-2022, and to analyze its data from a multivariate regression model using panel data, the results were examined. The findings of the research proved that the distress risk had a negative and significant effect on stock returns, but the moderating effect of mispricing on the negative relationship between the risk of distress risk and stock returns was not confirmed. In other words, the results of the research show that the negative impact of the risk distress risk on stock returns is not dependent on the stock mispricing. | ||
| کلیدواژه‌ها [English] | ||
| Stock returns, Distress risk, Distress risk anomaly, Stock mispricing | ||
| مراجع | ||
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