بررسي فرضيه معكوس شدن روندهاي بازدهي در بلندمدت در بازار بورس اوراق بهادار تهران

Investigating the Reverse Hypothesis of Long-run Return Trends inTehran Stock Exchange

اﯾﻦ ﻣﻄﺎﻟﻌﻪ ﺑﺎ اﺳﺘﻔﺎده از اﻃﻼﻋﺎت 178 ﺷﺮﮐﺖ ﭘﺬﯾﺮﻓﺘﻪﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان در دوره زﻣﺎﻧﯽ 1396-1388 ﺑﻪ ﺑﺮرﺳﯽ اﺛﺮات ﻣﻌﮑﻮس ﺑﻠﻨﺪﻣﺪت ﻣﯽﭘﺮدازد. ﻓﺮﺿﯿﻪ اﺛﺮات ﻣﻌﮑﻮس ﯾﺎ ﺑﺎزﮔﺸﺘﯽ ﺑﻠﻨﺪﻣﺪت دﻻﻟﺖ ﺑﺮ آن دارد ﮐﻪ ﭘﺮﺗﻔﻮيﻫﺎي ﺑﺎزﻧﺪه )ﺑﺮﻧﺪه( در ﺑﻠﻨﺪﻣﺪت ﺑﻪ ﭘﺮﺗﻔﻮيﻫﺎي ﺑﺮﻧﺪه )ﺑﺎزﻧﺪه( ﺗﺒﺪﯾﻞ ﻣﯽﺷﻮﻧﺪ. ﻧﺘﺎﯾﺞ ﺣﺎﺻﻞ از ﭘﮋوﻫﺶ ﺣﺎﺿﺮ، اﯾﻦ ﻓﺮﺿﯿﻪ را ﺗﺄﯾﯿﺪ ﻣﯽﮐﻨﺪ و وﺟﻮد ﺳﻮدﻫﺎي ﺑﺎزﮔﺸﺘﯽ در ﺑﺎزدﻫﯽﻫﺎي ﺳﻬﺎم ﺑﺮاي ﯾﮏ دوره زﻣﺎﻧﯽ 36 ﻣﺎﻫﻪ را ﻧﺸﺎن ﻣﯽدﻫﺪ. ﺑﻌﻼوه اﺛﺮات ﺑﺎزﮔﺸﺘﯽ ﻣﺬﮐﻮر ﻧﺎﻣﺘﻘﺎرن اﺳﺖ و ﻧﺘﯿﺠﻪ ﻣﺬﮐﻮر در ﻣﻮرد ﺳﻬﺎمﻫﺎي ﺑﺮﻧﺪه ﺻﺎدق ﻧﯿﺴﺖ. ﻫﻤﭽﻨﯿﻦ در اداﻣﻪ، اﯾﻦ ﻣﻄﺎﻟﻌﻪ ﺑﻪ ﺑﺮرﺳﯽ اﯾﻦ ﻣﻮﺿﻮع ﻣﯽﭘﺮدازد ﮐﻪ اﯾﻦ اﻓﺰاﯾﺶ ﺑﺎزدﻫﯽﻫﺎي آﺗﯽ ﺳﻬﺎمﻫﺎي ﺑﺎزﻧﺪه ﺑﻪ اﻓﺰاﯾﺶ رﯾﺴﮏ آنﻫﺎ ﺑﺮﻣﯽﮔﺮدد. ﺑﻪﻋﺒﺎرتدﯾﮕﺮ ﺳﻬﺎمﻫﺎي ﺑﺮﻧﺪه )ﺑﺎزﻧﺪه( در ﺑﻠﻨﺪﻣﺪت ﺣﺘﯽ ﭘﺲ از ﺗﻌﺪﯾﻼت روي رﯾﺴﮏ ﻫﻤﭽﻨﺎن ﺑﺎزﻧﺪه )ﺑﺮﻧﺪه( ﺧﻮاﻫﻨﺪ ﺑﻮد. ﺑﺪﯾﻦ ﻣﻨﻈﻮر از ﻣﺪل CAPM اﺳﺘﻔﺎده ﺷﺪ ﮐﻪ اﯾﻦ ﻣﺪل ﻧﺘﻮاﻧﺴﺖ ﺣﺘﯽ ﺑﺎوﺟﻮد ﮐﻨﺘﺮل اﺛﺮات اﻧﺪازه، ارزش و ﻧﻘﺪﯾﻨﮕﯽ، ﺳﻮدﻫﺎي ﺑﺎزﮔﺸﺘﯽ ﺑﻠﻨﺪﻣﺪت را ﺑﺮ اﺳﺎس رﯾﺴﮏ آنﻫﺎ ﺑﻪﻃﻮر ﮐﺎﻣﻞ ﺗﻮﺿﯿﺢ دﻫﺪ. در ﻣﻘﺎﺑﻞ اﺳﺘﻔﺎده از ﻣﺪلﻫﺎي ﭼﻨﺪﻋﺎﻣﻠﯽ ﻗﯿﻤﺖ ﮔﺬاري داراﯾﯽ ﺗﻮاﻧﺴﺖ ﺑﻪﻃﻮر ﮐﺎﻣﻞ ﺳﻮدﻫﺎي ﺑﺎزﮔﺸﺘﯽ ﺑﻠﻨﺪﻣﺪت را ﺑﻪ ﻧﺤﻮ رﺿﺎﯾﺖﺑﺨﺸﯽ ﺗﺒﯿﯿﻦ ﮐﻨﺪ. در اﯾﻦ ﺗﻮﺿﯿﺢدﻫﻨﺪﮔﯽ، اﺛﺮ اﻧﺪازه اﻫﻤﯿﺖ ﺑﯿﺶﺗﺮي ﻧﺴﺒﺖ ﺑﻪ ﺳﺎﯾﺮ ﻋﻮاﻣﻞ رﯾﺴﮑﯽ دارد. اﯾﻦ ﻧﺘﺎﯾﺞ ﻧﺸﺎن ﻣﯽدﻫﺪ ﮐﻪ ﭘﺮﺗﻔﻮي ﺑﺎزﻧﺪه در ﻣﻘﺎﯾﺴﻪ ﺑﺎ ﭘﺮﺗﻔﻮي ﺑﺮﻧﺪه ﺷﺎﻣﻞ ﺳﻬﺎمﻫﺎي ﺑﺎ اﻧﺪازه ﺑﻪ ﻧﺴﺒﺖ ﮐﻮﭼﮏﺗﺮي ﻣﯽﺑﺎﺷﻨﺪ ﮐﻪ رﯾﺴﮏ ﺑﺎﻻﺗﺮي دارﻧﺪ؛ ﺑﻨﺎﺑﺮاﯾﻦ، ﺑﺎﻻﺗﺮ ﺑﻮدن ﺑﺎزدﻫﯽﻫﺎي ﭘﺮﺗﻔﻮي ﺑﺎزﻧﺪه ﻧﺴﺒﺖ ﺑﻪ ﭘﺮﺗﻔﻮي ﺑﺮﻧﺪه ﭼﯿﺰي ﺟﺰ ﺟﺒﺮان رﯾﺴﮏ ﺳﺒﺪﻫﺎي ﺑﺎزﻧﺪه ﻧﯿﺴﺖ و ﻧﻤﯽﺗﻮان راﻫﺒﺮد ﺳﺮﻣﺎﯾﻪ- ﮔﺬاري ﻣﻌﮑﻮس را ﺑﻪﻋﻨﻮان اﺳﺘﺮاﺗﮋي ﺗﺤﺼﯿﻞ ﺳﻮد ﻏﯿﺮﻋﺎدي در ﺑﺎزار ﺑﻮرس ﺗﻬﺮان در ﻧﻈﺮ ﮔﺮﻓﺖ

This study investigates the long-run reversal effects using the data of 178 listed companies in Tehran Stock Exchange for a period of 2009-2017. The hypothesis of long-run reversal (contrarian) effect implies that loser (winner) portfolios become winner (loser) portfolios in the long-run. The result shows the existence of reversal profits in stock returns for a period of 36 months. In addition, this reversal effects are asymmetrical and the result is not true for the winner stocks. In the following, the study examines whether this increase in the future return of loser stocks be attributed to their increased risk. In other words, winner stocks will still be losers in the long run even after riskadjustments. For this purpose, the CAPM was used. This model cannot fully explain the long-run reversal profits even by controlling the effects of size, value, and liquidity. In the contrary, multifactor asset pricing models were able to fully explain the long-run reversal profits, in which size has a greater significance effect than other risk factors. These findings suggest that the longrun loser portfolio consists of small stocks with a higher risk as compared to the winner portfolio. Therefore, the excess profits from loser portfolios are nothing but compensation for the risk held. Accordingly, the contrarian investment strategy cannot be considered as a strategy to earn abnormal returns in Tehran Stock Exchange.