بررسی عوامل موثر بر همزمانی بازده سهام

همزمانی بازدۀ سهام حوزه نسبتاً جدیدی در پژوهش های مالی و اقتصادی است که رابطه نزدیکی با توسعه اقتصادی، ثبات بازارهای مالی و کارایی بازار دارد. همچنین کاربردهایی در اندازه گیری آگاهی دهندگی قیمت، قیمت گذاری دارایی ها، پیش بینی ریزش قیمت سهام، و ... دارد. همچنین همزمانی می تواند به منظور اندازه گیری کارایی بازار استفاده شودو عوامل زیادی بر همزمانی بازده سهام تاثیر گذار می باشد که هدف پژوهش حاضر بررسی عوامل موثر بر همزمانی بازده سهام است. در راستای دستیابی به این هدف برای آزمون فرضیه‌ها از داده‌های 155 شرکت از شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران در طی سال‌های 1385 تا 1396 استفاده شده است. یافته که نتایج پژوهش نشان داد که بازده سالانه سهام و گردش معاملات و اندازه شرکت و نقدشوندگی سهام بر همگام سازی بازده سهام تاثیر معنی‌داری و مثبت دارد. سهامداران نهادی بر همگام‌سازی بازده سهام تاثیر معنی‌داری و منفی دارد. عمر شرکت و تمرکز مالکیت و فرصت رشد بر همگام‌سازی بازده سهام تاثیر معنی‌داری ندارد.

Investigating Factors Affecting Stock Returns Concurrency

212 DOI: 10.22099/JAA.2020.36175.1984   Journal of Accounting Advances (JAA) Journal homepage: www.jaa.shirazu.ac.ir/?lang=en ABSTRACT Received: 2020120 Accepted: 20201026   Stock returns concurrency, a  relatively new field in financial and economic research that is closely linked to economic development, financial market stability and market efficiency, is also  used in measuring price awareness, asset pricing, forecasting,  and stocks synchronization can be used to measure market efficiency.  Many factors affect the synchronization of stock returns. The aim of this study was to investigate the factors influencing the efficiency of equity shares. To this end, to test the hypotheses, data from 155 companies listed in Tehran Stock Exchange during (change these to English years 1385 to 1396) were used. Findings showed that annual stock returns, turnover, and company size and stock liquidity had a significant and positive effect on stock return synchronization. Institutional shareholders have a significant and negative impact on stock return synchronization. Company life and ownership concentration and growth opportunity do not have a significant impact on stock return synchronization. 1IntrouductionTheoretically, some researchers have argued that it is difficult to measure the interpretation of information efficiency by the coefficient of explanation with standard models. Some researchers argue that in efficient markets, stock prices respond only to previously unpredictable earnings announcements. As the company improves the surrounding information environment, this leads to access to companyspecific information for all market participants. That way, Market participants improve their expectations and forecasts of future companyspecific events Therefore, the probability of these forecast events being included in the prevailing prices and with the event occurring in the future, prices will not respond to the news. Hence, high value stocks today will have a low proprietary change in the company in the future and have a high coefficient of explanation. Company managers are usually interested in information issues with company executives. Real and legal investors also place great importance on companyspecific information when selecting stock portfolios. The efficiency of information in the area of financial economy has been extensively studied as to whether it affects immediate rise or fall in stock prices. So, according to the material above and following the results of previous research the main question of the present study is, what factors affect the synchrony of stock returns?. Is the method in this research, and the aim of the method and nature, correlation or consistency? In terms of method and nature, research is solidarity or consistency. From the point of view of research, the type of research is applied by type of research.   2 Hypotheses        In order to present the hypotheses and with regard to the expression of the problem, the presented goals are also followed by previous research by Gravel et al. (2017). H1: Annual stock returns affect synchronization of stock returns. H2: Ownership structure affects the synchronization of stock returns. H3: Turnover affects synchronization of stock returns. H4: Company life affects stock return synchronization. H5: The size of the company affects the synchronization of stock returns. H6: Growth opportunities have an impact on synchronizing stock returns.     3 Results        In examining the significance of the model since the probability value of F statistic in the model is less than 5% (0.000), it is confirmed with 95% significance of the whole model. Model determination also shows that 4.6% of the dependent variable of stock return synchronization is explained by the variables entered in the model.   4 Conclusion and Discussion        The findings of this study suggest that increasing the percentage of institutional ownership increased control of institutional investors in the Tehran Stock Exchange, restricting the ability for managers to cash in and capture the company’s cash flows that reduces companyspecific risk by managers. As a result, it reduces R and simultaneously reduces stock prices. In other words, the higher the percentage ownership of an institutional investor in a company, the lower its equity price        The findings of this study indicate synchronization between institutional investors and stock price, and there is a negative relationship.        Size and age were used to capture the attention of businessmen in this study. Older companies are more efficient and less costly than smaller ones to invest, so investors optimally select and learn more about large companies. Larger companies have richer information environments, so their stock returns are higher and their SPS less. As such, the correlation between size and SPS is negative However, large corporations are showing changes in macroeconomic information. The price behavior of these companies leads to similar market volatility and larger SPS. These companies also have more diversified operations and are cooperating with the market, leading to a positive relationship between size and SPS.        Confirmation of synchronous relation is consistent with representational and marketing theories and this is confirmed when the information environment in a capital market is more transparent, investors will use the fundamental information of companies to make investment decisions and stock price synchronization is reduced.   Keyword: Stock Return Simulation, Stock Liquidity, Ownership Concentration.