اثر سود انباشته، سرمایه مشارکت ‌شده و نسبت ارزش دفتری بر ارزش بازار در داده‌های مقطعی بازده سهم‌های حاضر در بورس اوراق بهادار تهران

نسبت «ارزش دفتری بر ارزش بازار» به عنوان یک متغیر غیر‌عادی در ادبیات مالی شناخته می‌شود. این متغیر قدرت توضیح‌دهندگی بالایی در پیش‌بینی بازدهی شرکت‌ها در بازارهای سرمایه  دارد. با این حال، درک چرایی قدرت توضیح‌دهندگی آن همچنان محل بحث است. در این پژوهش، ما به دنبال ارائه تبیینی از قدرت توضیح‌‌دهندگی نسبت «ارزش دفتری بر ارزش بازار» در توضیح بازدهی سالانه‌ داده‌های مقطعی سهم‌های حاضر در بورس اوراق بهادار تهران هستیم. ارزش دفتری را می‌توان به دو بخش «سود انباشته»  و «سرمایه مشارکت‌ شده» با معنای اقتصادی متفاوت برای استفاده کنندگان از صورت های مالی، تفکیک کرد. پرسش اصلی این است که آیا نسبت «ارزش دفتری بر ارزش بازار» توانایی پیش‌بینی بازدهی شرکت‌ها در بازارهای سرمایه را دارد یا فقط یک پدیده تصادفی. فرضیه ما این است که قدرت پیش‌بینی نسبت «ارزش دفتری بر ارزش بازار» ناشی از مولفه‌ای از حقوق صاحبان سهام است که قدرت سودآوری شرکت را نمایندگی‌ می‌کند. با استفاده از روش فاما و مکبث، بازدهی‌ سالانه داده‌های مقطعی شرکت‌های حاضر در بورس اوراق بهادار تهران در سال‌های 1400-1380 روی نسبت «ارزش دفتری بر ارزش بازار» و دو مولفه آن برازش شد. هیچ‌کدام از دو مولفه‌ «ارزش دفتری بر ارزش بازار» نمی‌توانند قدرت پیش‌بینی این نسبت را ناپدید کنند؛ با این حال نسبت «سود انباشته بر ارزش بازار» می‌توانست در کنار نسبت «ارزش دفتری بر ارزش بازار» از خود قدرت پیش‌بینی نشان دهد. در این مقاله متغیر «سود انباشته بر ارزش دفتری» به عنوان عامل توضیح‌دهنده بازدهی آتی سهام در بازار سهام ایران معرفی می شود که می تواند اطلاعات بیشتری رو در اختیار فعالان بازار مالی قرار دهد.

retained earnings, and book-to-market in the cross section of expected returns in tehran stock exchange market

the book-to-market ratio is known as an anomaly variable in the financial literature. this variable has a high explanatory power in predicting the returns of companies in different capital markets across world; but understanding why it has the power to explain is still a matter of debate. in this study, we seek a clear understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the tehran stock exchange. book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. our hypothesis is that the predictive power of the book-to-market ratio arises from a component of book value that could be a good proxy for underlying earnings yield. using the method of fama and macbeth (1973), we regress the annual return of cross-sectional data of companies listed on the tehran stock exchange for the years 2001-2019 on the ratio of book-to-market ratio and its two components. neither component of book-to-market ratio could eliminate the predictive power of this ratio; however, the ratio of retained earnings-to-market ratio could show predictive power along with the book-to-market ratio. we contribute to the literature by providing additional evidence from tehran’s stock exchange.1- introductionthe book-to-market ratio is known as an anomaly variable in the financial literature. it has appeared as a key explanatory variable with high explanatory power in predicting the returns of firms in capital markets across the world, however, understanding the mechanism through which this financial factor functions and its origin of  the explanatory power is still a matter of research debates. empirical researches on the returns and “book to market value” can be divided into two strands. the first group aims to examine the existence of abnormal returns on the ratio of book to market value in the stock markets. this stream of works aim to answer the question of whether the book to market value is able to predict companies’ returns in capital markets or the returns is caused by other sources including random noise. rosenberg et al. (1985) show, for instance, that in the us capital market, the strategy of the book to market value can yield abnormal returns for investors. in terms of this strategy, at the beginning of each month, the shares with a high book to market value are bought and the shares that have a low book to market value ratio are sold. a relationship between the ratio and average stock returns for the period 1981-1981 in the capital markets of switzerland, france, germany and the united kingdom has also been observed by coppole, rollie and sharp (1992).  the second stream of studies on the book to market value seeks to understand the cause of its explanatory power. this issue is an active research area and is still subject of discussions and has been studied from various aspects. one of the most highly cited of them is fama and french (1993), which attributes high returns in stocks with a higher magnitude of book to market value , to higher systematic risk. in contrast, daniel and titman (1997) introduces the hypothesis of equity characteristics and by providing empirical evidence argues that the returns premia on high book-to-market stocks does not arises because of the co-movements of these stocks with pervasive factors. it is the characteristics of the share rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns. so, these are not associated with greater risk tolerance. ball, gerakos, linnaeus, and nikolaev (2020) examines the book to market value through its components (retained earnings and contributed capital) in the us capital market.