بررسی عملکرد استراتژی معاملاتی معکوس در بورس اوراق بهادار تهران بر اساس معیارهای ریسک شرکت

الموضوعات :

ابراهیم قشقایی ¹ , اله کرم صالحی ² , علی محمودی راد ³

1 - گروه مدیریت، واحد مسجدسلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران.
2 - گروه حسابداری، واحد مسجدسلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران.
3 - گروه ریاضیات کاربردی، واحد مسجدسلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران.

تاريخ الإرسال : 19 الثلاثاء , جمادى الأولى, 1444 تاريخ التأكيد : 08 الخميس , رمضان, 1444 تاريخ الإصدار : 29 الثلاثاء , شعبان, 1444

الکلمات المفتاحية: اهرم مالی, ریسک اعتباری, ریسک سیستماتیک, ریسک نقدینگی, استراتژی معاملاتی معکوس,

ملخص المقالة :

هدف: در تئوری مالی سنتی، این گزاره وجود دارد که در هر بورس اوراق بهادار، کارایی در بازار سهام حاکم است. بااین‌حال، شواهدی از ناهنجاری های بازار، مانند اثر حرکت و اثر معکوس وجود دارد. هدف از این مطالعه بررسی عملکرد استراتژی تجاری معکوس تحت معیارهای ریسک است که برای دستیابی به این هدف، چهار فرضیه مطرح شد.روش‌شناسی پژوهش: روش این پژوهش توصیفی از نوع همبستگی است. جامعه آماری شامل کلیه شرکت های پذیرفته‌شده در بورس اوراق بهادار تهران در دوره زمانی 1392 تا 1399 می باشد که با استفاده از روش نمونه گیری حذفی سیستماتیک تعداد 118 شرکت به‌عنوان نمونه انتخاب شدند. در این پژوهش سود معکوس به‌عنوان متغیر وابسته و ریسک سیستماتیک، ریسک نقدینگی، ریسک اعتباری و اهرم مالی به‌عنوان متغیرهای توضیحی در نظر گرفته شد.یافته‌ها: یافته ها نشان داد که ریسک سیستماتیک بر سود معکوس در تمامی دوره های تشکیل و نگهداری پرتفوی اثر مثبت دارد. ریسک نقدینگی تأثیر معناداری بر سود معکوس ندارد. ریسک اعتباری و اهرم مالی تأثیر مثبتی بر سود معکوس دارند. همچنین نتایج نشان داد که تأثیر ریسک سیستماتیک، ریسک اعتباری و اهرم مالی بر سود معکوس در دوره 24ماهه بیش از دوره 12 و 36ماهه است.اصالت / ارزش‌افزوده علمی: نتایج این مطالعه به سرمایه‌گذاران و مدیران پرتفوی کمک می‌کند که هنگام سرمایه‌گذاری از طریق استراتژی معاملاتی معکوس، ریسک‌های شرکت را در نظر بگیرند. علاوه بر این، فعالان بازار باید در هنگام استفاده از استراتژی سرمایه‌گذاری معکوس، روی ریسک سیستماتیک، ریسک اعتباری و اهرم مالی بالا تمرکز کنند؛ زیرا این ابعاد ریسک فرصت‌هایی را برای آن‌ها فراهم می‌کند تا بازدهی غیرعادی به دست آورند.

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