نقش محتوای اطلاعاتی متقابل سود از شاخص‌های بازار در هم‌زمانی بازده و عملکرد پرتفوی با رویکرد آنتروپی توأم

الموضوعات :

حسن زارعی ¹ , مجید داودی نصر ² , مجید زنجیردار ³

1 - گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.
2 - گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.
3 - گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.

تاريخ الإرسال : 28 الخميس , جمادى الأولى, 1444 تاريخ التأكيد : 30 السبت , شوال, 1444 تاريخ الإصدار : 09 الخميس , جمادى الأولى, 1445

الکلمات المفتاحية: آنتروپی توأم, اطلاع متقابل سود, شاخص‌های بازار, عملکرد پرتفوی, هم‌زمانی بازده,

ملخص المقالة :

هدف: هدف از انجام این پژوهش بررسی نقش محتوای اطلاعاتی متقابل سود از شاخص‌های بازار در هم‌زمانی بازده و عملکرد پرتفوی بوده است. روش‌شناسی پژوهش: این پژوهش کاربردی و توصیفی - تحلیلی می‌باشد. جامعه آماری آن کلیه شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران طی سال‌های 1391 تا 1400 بوده که پس از غربالگری، تعداد 118 شرکت به‌عنوان نمونه آماری موردمطالعه قرار گرفت. جهت سنجش محتوای اطلاعاتی متقابل متغیرها از آنتروپی توأم استفاده شد. از نرم‌افزار ره‌آورد نوین و سایت سازمان بورس، جهت جمع‌آوری داده‌ها و از آزمون‌های تی‌ استودنت، مقایسه میانگین، زوجی، برابری واریانس لوین، بوت‌استرپ در آزمون فرضیه‌ها و از نرم‌افزار R جهت تجزیه‌وتحلیل استفاده گردید. یافته‌ها: نتایج نشان داد که میزان اطلاع متقابل سود شرکت از شاخص‌های بازار، اگرچه منجر به هم‌زمانی بیشتر در بازده می‌شود، اما ازنظر آماری معنی‌دار نیست. همچنین نتایج نشان داد که پرتفوی‌های دارای ضریب اطلاع متقابل از سود، عملکرد متفاوتی را نسبت به پرتفوی‌های سنتی دارند. یافته‌های پژوهش بیانگر آن است که پرتفوی‌ حاصل از چندک 20 درصد ضریب اطلاع متقابل، درمجموع و در دوره‌های نگه‌داری 6، 9 و ۱۲ماهه، عملکرد مطلوب‌تری از پرتفوی‌های سنتی و سایر پرتفوی‌ها داشته است. اصالت / ارزش‌افزوده علمی: دانش‌افزایی این پژوهش شامل استفاده از ابزار آنتروپی توأم در سنجش محتوای اطلاعاتی متقابل سود از بازار و بررسی اثر آن در هم‌زمانی و ارائه یک الگوی جدید تشکیل پرتفوی می‌باشد.

المصادر:

Aabo, T., Pantzalis, C., & Park, J. C. (2017). Idiosyncratic volatility: An indicator of noise trading? Journal of Banking & Finance, 75, 136–151.

Alemanni, B., Maggi, M., & Uberti, P. (2021). Unleveraged Portfolios and Pure Allocation Return. Journal of Risk and Financial Management, 14(11), 550.

Aminizadeh, F. (2022). Examining the relationship between product competition and information content with an emphasis on institutional owners. Specialized Scientific Quarterly of New Research Approaches in Management and Accounting, 6(20), 954-972. [In Persian]

Amiri, M., Hoseini, S. M., Babajani, J., & Salimi, M. J. (2019). The Role of Stock Price Synchronicity on Portfolio Optimization. Journal of Accounting Advances, 11(2), 35-82. [In Persian]

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. The Journal of Finance, 61(1), 259–299.

Arian Tabar, A., Filsaraei, M., & Bakhtiari, F. (2022). Examining the role of lack of transparency of financial information and audit quality on the relationship between aggressive taxation and stock price concurrency. Scientific Journal of Budget and Finance Strategic Research, 3(4), 89-127. [In Persian]

Aslani, M., Setayesh, M. R., Janani, M. H., & Hematfar, M. (2022). Comparison of Performance of Selected Stock Portfolios Based on Constraint Theory Criteria with Traditional Grid Matrix Model. Journal of Investment Knowledge, 11(41), 219-248. [In Persian]

Avramov, D., Kaplanski, G., & Subrahmanyam, A. (2018). The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective. SSRN.

Baghoomian, R., Rajabdorri, H., & Khanizolan, A. (2021). Relationship between Financial Report Readability and Stock Return Synchronicity with the Moderating role of Institutional Ownership and Information Asymmetry. Empirical Studies in Financial Accounting, 18(71), 57-86. [In Persian]

Barkhordari, M. H., Rezaei, M. (2015). Optimal portfolio determination of stuck efficient industry using cover analysis of data from the perspective of institutional investors (Case Study: Ansar Bank). Journal of Development In Monetary and Banking Management, 2(5), 53-72. [In Persian]

Blitz, D., Vliet, P. van, & Baltussen, G. (2020). The Volatility Effect Revisited. The Journal of Portfolio Management, 46(2), 45–63.

Chen, W., Liu, Y., Bakker, E. M., & Lew, M. S. (2021). Integrating information theory and adversarial learning for cross-modal retrieval. Pattern Recognition, 117, 107983.

Daryabor, A., Rahnamay Roodposhti, F., Nikoomaram, H., & Ghaffari, F. (2019). Portfolio Optimization in Capital Market Bubble Condition. Financial Knowledge of Securities Analysis, 11(40), 113-126. [In Persian]

Du, K., & Huddart, S. (2020). Economic persistence, earnings informativeness, and stock return regularities. Review of Accounting Studies, 25(4), 1263–1300.

Durnev, A., Morck, R., & Yeung, B. (2004). Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation. The Journal of Finance, 59(1), 65–105.

Escobar-Anel, M., Wahl, M., & Zagst, R. (2021). Portfolio optimization with wealth-dependent risk constraints. Scandinavian Actuarial Journal, 2022(3), 244–268.

Fallahpour, S., Tondnevis, F; Hashemi, S. M. A. (2015). Optimizing index tracker portfolio using stable single index model based on index of 50 most active companies of Tehran Stock Exchange. Financial Engineering and Portfolio Management, 6(24), 115-134. [In Persian]

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.

Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of Financial Economics, 128(2), 234–252.

Fernandes, N., & Ferreira, M. A. (2009). Insider Trading Laws and Stock Price Informativeness. The Review of Financial Studies, 22(5), 1845–1887.

Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1–25.

Ghasemi, G., Khodamipour, A., & Shamsadini, K. (2022). The role of economic policy uncertainty in the relationship between voluntary disclosure of information and information asymmetry. Advances in Finance and Investment, 3(6), 31-52. [In Persian]

Greenwood, R. (2007). Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights. Review of Financial Studies, 21(3), 1153–1186.

Han, C.-H., & Wang, K. (2022). Stressed portfolio optimization with semiparametric method. Financial Innovation, 8(1).

Harris, R., & Mazibas, M. (2022). Portfolio optimization with behavioural preferences and investor memory. European Journal of Operational Research, 296(1), 368–387.

Heydari, M., & Abdoli, M. (2022). Information Content of Financial Reporting and the development of interactive capability with stakeholders: Pygmalion Theory Test. Journal of Investment Knowledge, 11(44), 75-102. [In Persian]

Hou, K., Peng, L., & Xiong, W. (2013). Is R-Squared a Measure of Market Inefficiency? Working Papers.

Huang, W., Liu, Q., Ghon Rhee, S., & Wu, F. (2012). Extreme downside risk and expected stock returns. Journal of Banking & Finance, 36(5), 1492–1502.

Ifonie, R. R. (2012). Pengaruh asimetri informasi dan manajemen laba terhadap cost of equity capital padaperusahaan real estate yang terdaftar di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa Akuntansi, 1(1), 103–107.

Jin, L., & Myers, S. (2006). R² around the world: New theory and new tests. Journal of Financial Economics, 79(2), 257–292.

Jones, E. A. E., Kyiu, A. K., & Li, H. (2020). Earnings informativeness and trading frequency: Evidence from African markets. International Journal of Finance & Economics, 26(1), 1064–1086.

Kamyabi, Y., & Parhizgar, B. (2016). The Study of the Relationship between Institutional Investors and Stock Price Synchronicity in Listed Companies in Tehran Stock Exchange. Journal of Investment Knowledge, 5(17), 165-186. [In Persian]

Khandaker, T. M .S. (2009). Empirical analysis of stock return synchronicity: A comparison of developed and emerging markets. Royal Melbourne Institute of Technology (Australia) ProQuest Dissertations Publishing.

Lahmiri, S., & Bekiros, S. (2020). Renyi entropy and mutual information measurement of market expectations and investor fear during the COVID-19 pandemic. Chaos, Solitons & Fractals, 139, 110084.

Long, H., Jiang, Y., & Zhu, Y. (2018). Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets. Finance Research Letters, 24, 129–136.

Long, H., Zaremba, A., & Jiang, Y. (2020). Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China. Economic Research-Ekonomska Istraživanja, 33(1), 160–181.

Lotfi, M., & Delshad, A. (2021). An Explanation of the Role of Earnings Quality in Increasing Stock Price Informational Content of Stock Price: Evidences of the Synchronous Flexibility. Scientific Journal of Budget and Finance Strategic Research, 1(4), 69-110. [In Persian]

Luan, F., Zhang, W., & Liu, Y. (2022). Robust international portfolio optimization with worst‐case mean‐CVaR. European Journal of Operational Research, 303(2), 877-890.

Martins, O. S., & Ayres, L. (2021). Firm Informativeness, Information Environment, and Accounting Quality in Emerging Countries. The International Journal of Accounting, 56(1), 2150004.

Moshtagh, S., Hosseinzadeh Lotfi, F., & Fadayi Nezhad, E. (2021). Presentation Optimization portfolio model from market index prediction model despite of the long term memory with neural network. Financial Engineering and Portfolio Management, 12(47), 450-469. [In Persian]

Nelwan, M. L., Simatupang, C., & Tansuria, B. I. (2020). Value Relevance of Accounting Information in the Presence of Earnings Management. Jurnal Reviu Akuntansi Dan Keuangan, 10(2), 321-334.

Nguyen, H., Lan, Y., & Treepongkaruna, S. (2018). Firm-specific Return Variation and Stock Returns. SSRN Electronic Journal.

Rahnamay Roodposhti, F., Nikoomaram, H., Toloei Eshlaghy, A., Hosseinzadeh Lotfi, F., Bayat, M. (2015). Investigating the effectiveness of portfolio optimization based on the stable model with classical optimization in predicting portfolio risk and return. Financial Engineering and Portfolio Management, 6(22), 29-60. [In Persian]

Razmi, H., Namvarfard, A. (2014). Investigating the impact of information transparency and stock price information on the simultaneity of stock returns in Tehran Stock Exchange. The second international conference of research in engineering, science and technology. [In Persian]

Taghizadeh, K., Mullah Alizadeh Zavardehi, S., Salehi, A. K., & Mahmoudi Rad, A. (2022). Evaluation of the optimal portfolio portfolio using market criteria using multi-criteria decision criteria under conditions of uncertanty in the Iranian capital market. Advances in Finance and Investment, 3(6), 101-128. [In Persian]

Zhang, W., Li, X., Shen, D., & Teglio, A. (2016). R² and idiosyncratic volatility: Which captures the firm-specific return variation? Economic Modelling, 55, 298–304.

Zhao, L. (2020). The Effect of Tax Authority Enforcement on Earnings Informativeness. Social Science Research Network.