Abstract:
ﺗﺤﻘﻴﻖ ﺣﺎﺿﺮ، وﺟﻮد راﺑﻄﻪ ﺑﻴﻦ اﻧﺪازه ﺷﺮﻛﺖ و ﻧﺴﺒﺖ ﻗﻴﻤـﺖ ﺑـﻪ ﺳـﻮد ﺳﻬﺎم، ﺑﻪ ﻋﻨﻮان ﻣﺘﻐﻴﺮﻫﺎی ﻣﺴﺘﻘﻞ و رﻳﺴﻚ ﻧﻈﺎمﻣﻨﺪ )ﺑﺘﺎ( ﺑﻌﻨﻮان ﻣﺘﻐﻴﺮ واﺑﺴﺘﻪ را ﺑﺮاﺳﺎس اﻃﻼﻋﺎت ﻣﺎﻟﻲ 211 ﺷﺮﻛﺖ اﻧﺘﺨﺎﺑﻲ از ﺑﻴﻦ ﺷﺮﻛﺖﻫﺎی ﭘﺬﻳﺮﻓﺘﻪ ﺷـﺪه در ﺑﻮرس ﺗﻬﺮان در ﻓﺎﺻﻠﻪ ﺳﺎلﻫﺎی 3831 ﺗﺎ 8831 ﺑﺮرﺳﻲ ﻛﺮده اﺳﺖ در اﻳﻦ ﺗﺤﻘﻴﻖ ﺑﺮای ﺳﻨﺠﺶ وﺟﻮد و ﻣﻴﺰان راﺑﻄﻪ ﺑﻴﻦ ﻣﺘﻐﻴﺮﻫـﺎ از ﺿـﺮﻳﺐ ﻫﻤﺒﺴـﺘﮕﻲ ﭘﻴﺮﺳﻮن و ﺑﺮای ﺳﻨﺠﺶ اﺛﺮ ﻫﺮ ﻣﺘﻐﻴﺮ ﻣﺴﺘﻘﻞ ﺑﻄﻮر ﺟﺪاﮔﺎﻧﻪ ﺑﺮ ﻣﺘﻐﻴﺮ واﺑﺴـﺘﻪ از رﮔﺮﺳﻴﻮن ﻗﺪم ﺑﻪ ﻗﺪم اﺳﺘﻔﺎده ﺷﺪه اﺳﺖ ﻧﺘـﺎﻳﺞ ﺗﺤﻘﻴـﻖ ﺑﻴـﺎﻧﮕﺮ وﺟـﻮد راﺑﻄـﻪ ﻣﻌﻨﻲدار ﺑﻴﻦ ﻣﺘﻐﻴﺮﻫﺎی ﻣﻮرد ﻣﻄﺎﻟﻌﻪ ﻣﻲﺑﺎﺷﺪ
Introduction: Investment is one of the fundamental and crucial elements in the process of economical development of any countries. Stock markets as the symbol of investing fluctuate due to economical changes. Investing managers، managers and other people exchange their stock and other properties in this market. In order to sustain their funds and gain more profits these investors need to scrutinize factors affecting these markets under different economical situations. They try to invest their properties to gain the most profits and the least risk. Systematic risk (beta) as one of the most effective factors in predicting the appropriate required rate of return of portfolios helps investors in this regard. Understanding systematic risk of usual portfolio of various companies، investors consider financial investment more confidentially.
Research questions and hypotheses: The aim of the present study was to investigate any significant relationship between company sizes (Market value of stocks، Book value of stocks، level of company sale، and trade volume of stocks) and ratio of price on benefit as an independent variable and systematic risk of usual portfolio as a dependent variable. The study includes one main hypothesis and five minor hypotheses. The main hypothesis states that there is a significant relationship between company size and systematic risk based on thecapital asset pricing model.
The other research hypotheses are as follows
1) There is a significant relationship between market value of stocks and systematic risk based on thecapital asset pricing model.
2) There is a significant relationship between book value of stocks and systematic risk based on thecapital asset pricing model.
3) There is a significant relationship between level of company sale and systematic risk based on thecapital asset pricing model.
4) There is a significant relationship between trade volume of stocks and systematic risk based on thecapital asset pricing model.
5) There is a significant relationship between prices to earnings per share ration P/E systematic risk based on thecapital asset pricing model.
Method: This research is an applied research because the results of the study can directly be applied for analysis of the amount of stock systematic risk from financial lists. According to the types of variables regression and correlation coffined equations were applied in this research. The statistical sample of this study was all accepted companies in Tehran stock markets. 112 companies were selected according to systematic deletion rule based on screening financial lists. The study covered the period of 1383-87. The research hypotheses were tested with Pearson correlation to find any relationship. To measure the impact of each variables individually on dependent variable step by step regression analysis using the least square in the level of 95، Coefficient of determination (R2)، adjusted coefficient of determination index (R2) were used. SPSS and Excel were applied for presenting statistical graphs، tables، modeling and analysis of data.
Results: The findings of the research revealed that there is no relationship between market value of stocks and systematic risk based on thecapital asset pricing model CAPM. No relationship was found between book value of stocks and systematic risk based on thecapital asset pricing model. Moreover، the data showed that there is a significant relationship between level of company sale and systematic risk based on thecapital asset pricing model. The analysis of data disclosed that there is a significant relationship between trade volume of stocks and systematic risk based on thecapital asset pricing model. However، no relationship was found between price to earnings per share ration P/E systematic risk based on thecapital asset pricing model. Based on step by step regression results it become clear that two variables--level of company sale and trade volume of stocks--which had significant relationship with systematic risk can predict 0.0317 systematic risk fluctuations.
Discussion and Conclusion: The impacts of factors such as company size on systematic risks can shed some lights on this issue and guide investors to experience less risks. The sufficient information regarding company size and beta factor and the ease of their calculation persuade other researchers to study these concepts in depth. The empirical results provided support for significant relationship between variables; however some of these relationships were not significant and were not reliable. In other words، the under investigated variables could not meet more that 0.317 systematic risk changes. Although linear regression was applied to predicting the relationship between variables in this study، it is suggested to use non-linear، second level، algorithmic equation for further research because weak or no relationship in linear method does not indicate the lack of correlation or no significant relationship among variables.
Machine summary:
"ﻣﺠﻠﻪ ﭘﻴﺸﺮﻓﺖ ﻫﺎی ﺣﺴﺎﺑﺪاری داﻧﺸﮕﺎه ﺷﻴﺮاز دوره ی ﭼﻬﺎرم، ﺷﻤﺎره ی اول، ﺑﻬﺎر و ﺗﺎﺑﺴﺘﺎن 1931، ﭘﻴﺎﭘﻲ 3/26، ﺻﻔﺤﻪ ﻫﺎی 72- 74 )ﻣﺠﻠﻪ ی ﻋﻠﻮم اﺟﺘﻤﺎﻋﻲ و اﻧﺴﺎﻧﻲ ﭘﻴﺸﻴﻦ( ﻣﻄﺎﻟﻌﻪی اﺛﺮات اﻧﺪازهی ﺷﺮﻛﺖ ﺑﺮ رﻳﺴﻚ ﻧﻈﺎمﻣﻨﺪ ﻣﺒﺘﻨﻲ ﺑﺮ ﻣﺪل ﻗﻴﻤﺖﮔﺬاری داراﻳﻲﻫﺎی ﺳﺮﻣﺎﻳﻪای دﻛﺘﺮ ﻓﺮﻫﺎد ﺷﺎهوﻳﺴﻲ ﻳﻮﺳﻒ ﺟﻠﻴﻠﻴﺎن داﻧﺸﮕﺎه آزاد اﺳﻼﻣﻲ واﺣﺪ ﻛﺮﻣﺎﻧﺸﺎه ﭼﻜﻴﺪه ﺗﺤﻘﻴﻖ ﺣﺎﺿﺮ، وﺟﻮد راﺑﻄﻪ ﺑﻴﻦ اﻧﺪازه ﺷﺮﻛﺖ و ﻧﺴﺒﺖ ﻗﻴﻤـﺖ ﺑـﻪ ﺳـﻮد ﺳﻬﺎم، ﺑﻪ ﻋﻨﻮان ﻣﺘﻐﻴﺮﻫﺎی ﻣﺴﺘﻘﻞ و رﻳﺴﻚ ﻧﻈﺎمﻣﻨﺪ )ﺑﺘﺎ( ﺑﻌﻨﻮان ﻣﺘﻐﻴﺮ واﺑﺴﺘﻪ را ﺑﺮاﺳﺎس اﻃﻼﻋﺎت ﻣﺎﻟﻲ 211 ﺷﺮﻛﺖ اﻧﺘﺨﺎﺑﻲ از ﺑﻴﻦ ﺷﺮﻛﺖﻫﺎی ﭘﺬﻳﺮﻓﺘﻪ ﺷـﺪه در ﺑﻮرس ﺗﻬﺮان در ﻓﺎﺻﻠﻪ ﺳﺎلﻫﺎی 3831 ﺗﺎ 8831 ﺑﺮرﺳﻲ ﻛﺮده اﺳﺖ در اﻳﻦ ﺗﺤﻘﻴﻖ ﺑﺮای ﺳﻨﺠﺶ وﺟﻮد و ﻣﻴﺰان راﺑﻄﻪ ﺑﻴﻦ ﻣﺘﻐﻴﺮﻫـﺎ از ﺿـﺮﻳﺐ ﻫﻤﺒﺴـﺘﮕﻲ ﭘﻴﺮﺳﻮن و ﺑﺮای ﺳﻨﺠﺶ اﺛﺮ ﻫﺮ ﻣﺘﻐﻴﺮ ﻣﺴﺘﻘﻞ ﺑﻄﻮر ﺟﺪاﮔﺎﻧﻪ ﺑﺮ ﻣﺘﻐﻴﺮ واﺑﺴـﺘﻪ از رﮔﺮﺳﻴﻮن ﻗﺪم ﺑﻪ ﻗﺪم اﺳﺘﻔﺎده ﺷﺪه اﺳﺖ ﻧﺘـﺎﻳﺞ ﺗﺤﻘﻴـﻖ ﺑﻴـﺎﻧﮕﺮ وﺟـﻮد راﺑﻄـﻪ ﻣﻌﻨﻲدار ﺑﻴﻦ ﻣﺘﻐﻴﺮﻫﺎی ﻣﻮرد ﻣﻄﺎﻟﻌﻪ ﻣﻲﺑﺎﺷﺪ .
13 ﺑﺮرﺳﻲ اﻳﻦ ﻣﻄﻠﺐ ﺑﻮد ﻛﻪ: ﺑﻴﻦ اﻧﺪازهی ﺷﺮﻛﺖ )ﺟﻤﻊ داراﻳﻲ( و ﻧﺴﺒﺖ اﻫﺮم ﻣـﺎﻟﻲ ﺷـﺮﻛﺖ )ﺑﺪﻫﻲ( و اﻫﺮم ﻋﻤﻠﻴﺎﺗﻲ ﺑﺎ ﻣﻴﺰان رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺷﺮﻛﺖ، راﺑﻄﻪی ﻣﻌﻨﺎداری وﺟـﻮد دارد ﻳﺎ ﺧﻴﺮ؟ ﻣﺤﻘﻘﻘﺎن ﭘﺲ از ﮔﺮدآوری اﻃﻼﻋﺎت و آﻣﺎر ﻛﻠﻴﻪی ﺷﺮﻛﺖﻫﺎی دورهی ﻣﻮرد ﺑﺮرﺳﻲ، از ﺗﻜﻨﻴﻚﻫﺎی آﻣـﺎری رﮔﺮﺳـﻴﻮن ﺧﻄـﻲ، وارﻳـﺎﻧﺲ، اﻧﺤـﺮاف ﻣﻌﻴـﺎر و ﺿـﺮﻳﺐ ﻫﻤﺒﺴـﺘﮕﻲ و آزﻣﻮنﻫﺎی ﻣﺮﺑﻮﻃﻪ ﺑﺮای آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎ اﺳﺘﻔﺎده ﻧﻤﻮد، ﻧﺘﺎﻳﺞ ﺗﺤﻘﻴﻖ ﺑﻴﺎﻧﮕﺮ وﺟـﻮد راﺑﻄـﻪی ﻣﻌﻨﺎدار ﺑﻴﻦ ارزش دﻓﺘﺮی داراﻳﻲﻫﺎ و رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ )ﺑﺘﺎ( ﺑﻮد، ﻫﻢﭼﻨﻴﻦ اﺛﺒﺎت ﺷـﺪ ﻛـﻪ ﺑﻴﻦ ﻓﺮوش و رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ راﺑﻄـﻪای وﺟـﻮد ﻧـﺪارد، راﺑﻄـﻪی ﺑـﻴﻦ اﻫـﺮم ﻋﻤﻠﻴـﺎﺗﻲ و رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ )ﺑﺘﺎ( ﺗﺎﻳﻴﺪ ﻧﺸﺪ، اﻣﺎ ﻧﺘﺎﻳﺞ ﺣﺎﻛﻲ از ﺗﺎﺛﻴﺮ اﻫﺮم ﻣـﺎﻟﻲ)ﻧﺴـﺒﺖ ﺑـﺪﻫﻲ ( ﺑـﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﻮد."