این پژوهش به بررسی رابطه نظام‌مند میان بازده سهام و ریسک درماندگی مالی شرکت‌ها با استفاده از دو معیار Z آلتمن و امتیاز O اولسون، می‌پردازد. همچنین به بررسی این موضوع می‌پردازد که هر یک از متغیرهای بتا، B/M و اندازه با توجه به شدت ریسک درماندگی مالی، چه نقشی در توضیح بازده سهام دارند. بدین منظور از روش تشکیل سبد‌سرمایه‌گذاری (چندک‌بندی) و از داده‌های سالانه بورس اوراق بهادار تهران از سال 1382 الی 1390بهره گرفته می‌شود. نتایج این پژوهش نشان می‌دهد که بازده سهام دارای رابطه منفی با ریسک درماندگی مالی است. از سوی دیگر، اثر B/M و اندازه، مستقل از ریسک درماندگی هستند. بنابراین به نظر می‌رسد ریسک درماندگی مالی در بورس اوراق‌بهادار تهران غیرنظام‌مند است. همچنین این پژوهش نشان داد که شرکت‌های کوچک بیشتر در معرض ریسک درماندگی قرار دارند.
A relation of the distress risk and equity returns puzzle- Empirical evidence from the Tehran Stock Exchange
نویسندگان [English]
farshad salim1؛ sara shahryari2؛ Mohammad Esmaeil Fadaei Nejad2
1payam noor university
2Shahid Beheshti University
چکیده [English]
In this research, we test for the systematic relationship between distress risk and equity returns based on the two measures of financial distress risk, Altman's Z score and the other Ohlson' O score. Also, we test the role of beta, B/M and size factors in explaining the equity returns by the three factor model of Fama and French (1992). For this reason, we use portfolio formation method like Outecheva (2007) and Garlappi and Yan (2011). We use annual data of TSE from 1382 to 1390. Findings show that returns are negatively related to financial distress. On the other hand, BM and Size effects are independent from financial distress risk. So it seems financial distress risk is unsystematic. Also findings show that Small stocks become highly financially distressed more often than companies of bigger size.
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