تبیین شتاب قیمت سهام برنده در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه حسابداری، واحد اهواز، دانشگاه آزاد اسلامی، اهواز، ایران

2 گروه حسابداری، دانشگاه خاتم، تهران، ایران

3 گروه حسابداری، واحد مسجد سلیمان، دانشگاه آزاد اسلامی، مسجد سلیمان، ایران

4 دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهید چمران، اهواز، ایران

10.30495/afi.2022.1945244.1065

چکیده

اخیراً شناخت رفتارهای خلاف قاعده در بازارهای مالی، فرض کارایی را شدیداً به چالش کشانده است. شتاب قیمت یکی از آن خلاف قاعده‌هایی است که فاما و فرنچ (1996) از آن به عنوان "بازده کوتاه‌مدت توضیح داده نشده" یاد کردند. هدف این پژوهش الگوسازی پدیده شتاب سهام برنده در بازار سرمایه ایران می‌باشد. به منظور توضیح پدیده مذکور از روش کیفی نظریه برخاسته از داده و ابزار مصاحبه استفاده گردید. بدین صورت، با 32 نفر از صاحب‌نظران فعال در دو طیف حرفه‌ای و دانشگاهی در سال 1397 مصاحبه‌های عمیق انجام گرفت. در این پژوهش داده‌های گردآوری شده در سه مرحله کد‌گذاری، سپس نتایح به صورت الگوی پارادایمی کمی شده با روش رتبه بندی سلسله مراتب فازی و روایت یک داستان ارایه گردیده است. یافته‌های پژوهش، عوامل عِلی شتاب را در سطح رفتاری؛ عوامل بستری را در سه سطح جامعه، اقتصاد کلان و بازار؛ عوامل مداخله‌گر را در چهار سطح اقتصاد جهانی، اقتصاد کلان، بازار و شرکت؛ راهبردها نیز در چهار سطح جامعه، اقتصاد کلان، بازار و نهاد‌های سرمایه‌گذاری و مالی و پیامدها در سطح بازار، کشف کردند.

نتایج پژوهش نشان می دهد به‌منظور توسعه بازار نباید به پدیده شتاب سهام برنده به‌عنوان یک فرصت سفته‌بازی نگاه کرد بلکه خلاف قاعده‌ای است که از نظر خبرگان با راهبردهای ارایه شده، می ‌بایست تعدیل گردد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

winner stock momentum in Iran

نویسندگان [English]

  • Mehdi Elhaei Sahar 1
  • Rezvan Hejazi 2
  • Allah Karam Salehi 3
  • Hossein Moltafet 4
1 Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran
2 Department of Accounting, Khatam University, Tehran, Iran
3 Department of Accounting, Masjed-soleiman Branch, Islamic Azad University, Masjed-soleiman, Iran
4 Social Science Department, Faculty of Economics and social science, Shahid Chamran University, Ahvaz, Iran
چکیده [English]

Lately, the anomalies in capital markets have severely challenged the efficient hypothesis. The winner stock momentum is one of the anomalies called the unexplained short-term return by Fama and French (1996). The current study attempts for explaining the winner stock momentum in the Iranian capital market.

The grounded theory method was used to explain wining stock momentum. To this end, in-depth interviews were held with 32 specialists working in the professional and academic grounds in 2018. The collected data were encoded in three stages, and the results were presented as a conceptual paradigm. Then, to quantify the model by the fuzzy analytic hierarchy process, a pairwise comparison questionnaire was distributed among the specialists. The research results are presented as a qualitative-quantitative model and the story extracted by grounded theory.

The study discoveries recognized the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and market levels, the intervening factors in the global economics, macroeconomics, market, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level.

The study results propose that the winner stock momentum phenomenon must not be considered a speculation opportunity. Rather, it is an anomaly that has to be controlled with the suggested strategies.

کلیدواژه‌ها [English]

  • Winner stock momentum
  • Iranian capital market
  • Grounded Theory
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