بررسي ارتباط بازده سهام با نسبتهاي بازار درشركتهاي شيميايي و دارويي

Investigating Stock Return using Market Ratios in firms listed on the Pharmaceutical and Chemical

موضوع اصلي اين تحقيق بررسي و تجزيه و تحليل رابطه بازده سهام با نسبتهاي بازار در گروههاي صنعتي شيميايي و دارويي بورس اوراق بهادار تهران است. بدين منظور سه فرضيه تدوين و يك مدل رگرسيوني چند متغيره استخراج و يك بار در سطح كليه شركتها و بار ديگر در سطح دو گروه صنعتي مورد مطالعه برازش گرديد. بازه زماني تحقيق طي سالهاي 1387 الي 1394 بود و براي بررسي صحت فرضيه ها از الگوي داده هاي تركيبي استفاده گرديد. نتايج حاصل از آزمون فرضيه ها در سطح كليه شركتها و دو گروه صنعتي نشان داد كه به اسثثناء ضريب سود هر سهم و قيمت به ارزش دفتري كه در سطح صنعت شيميايي معنادار نبودند، تمام ضرايب در سطح شركتها وصنعت دارويي معنادار هستند. بنابراين كليه فرضيه هاي ارائه شده در تحقيق تاييد گرديد.

The main purpose of this research is to investigate and analyze the correlation between stock return and market ratios in companies listed on chemical and pharmaceutical industries of Tehran’s stock market.To this end, three hypotheses using a multiple-variable regression model were tested once at the level of all firms and then at the level of two industrial groups. The period of the research was from 2008 to 2015 and based on the systematic elimination method, 28 companies within two industries were selected. The combined data pattern was used for the estimation of the hypotheses. The multiple-variable regression model was estimated once for all firms and once for each industry. Research findings showed that despite Price to book value and Earning Per Share ratios which were not significant in the chemical industry, other independent variables were significant at the level of all firms as well as the pharmaceutical industry. As a result, the three research hypotheses were accepted. Results help stakeholders to predict stock return using the information obtained from the financial accounting system in the form of accounting multiple variables. Thus, the results of this research will assist the users to better decide on their own purchases, sales and investments and act on opportunities more competently.