راهبرد سرمایه‌گذاری مبتنی بر ریسک غیرسیستماتیک و ساختار مالکیت

نوع مقاله: علمی-

نویسندگان

1 استادیار،‌دانشگاه شهید بهشتی

2 استاد، دانشگاه شهید بهشتی

چکیده

هدف پژوهش حاضر بررسی تأثیر ساختار مالکیت شرکت‌ها بر بازده ناشی از راهبرد سرمایه‌گذاری مبتنی بر ریسک غیرسیستماتیک است. برای این منظور نمونه‌ای متشکل از 270 شرکت پذیرفته­شده در بورس اوراق بهادار تهران طی سال‌های 1378 تا 1389 مورد بررسی قرار گرفته است. جهت آزمون رابطه متغیرهای اخیر، از رویکرد تحلیل پرتفوی مبتنی بر طبقه‌بندی دوگانه استفاده می‌گردد. نتایج حاصل از این پژوهش نشان می‌دهد بر خلاف آنچه انتظار می‌رفت، با افزایش سهم مالکیت نهادی در ساختار مالکیت شرکت‌ها، بازده ناشی از راهبرد سرمایه‌گذاری مبتنی بر ریسک غیرسیستماتیک، تقویت می‌گردد. بر این اساس احتمالاً میزان مالکیت نهادی در بورس اوراق بهادار تهران شاخص مناسبی برای تنوع‌بخشی پرتفوی و تخصص سرمایه‌گذاران نمی‌باشد و یا در غیر این‌صورت، نحوۀ اثرگذاری آن را باید در مضامینی غیر از تنوع‌بخشی پرتفوی و تخصص سرمایه‌گذاران جست­وجو نمود.

کلیدواژه‌ها


عنوان مقاله [English]

Investment Strategy Based on Idiosyncratic Risk & Ownership Structure

نویسندگان [English]

  • Maryam Davallou 1
  • Mohammad Reza Hamidizadeh 2
1 Assistant Professor, Shahid Beheshti University
2 Professor, Shahid Beheshti University
چکیده [English]

     The purpose of this research is investigation of firms' ownership structure on return of investment strategy based on idiosyncratic risk. So, a sample composed of 270 listed companies in Tehran Stock Exchange is examined during 1378 to 1389. Portfolio study approach based on dual sorting is used to test the relation between later variables. The results show that against what was expected, higher institutional ownership in ownership structure amplifies return of investment strategy based on idiosyncratic risk. It seems that probably either institutional ownership in Tehran Stock Exchange is not accurate proxy for portfolio diversification and investors expertise or its effect should be explore in factors other than portfolio diversification and investors expertise.

کلیدواژه‌ها [English]

  • Ownership structure
  • Idiosyncratic Risk
  • Diversification
  • Investors Expertise
 

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