راهبرد سرمایه‌گذاری با تغییرات دما و ارزش شرکت‌ها

نوع مقاله: علمی

نویسندگان

1 دکتری، گروه حسابداری و مدیریت، واحد بین‌الملل کیش، دانشگاه آزاد اسلامی، جزیره کیش، ایران.

2 دانشیار، دانشگاه آزاد اسلامی، واحد علوم تحقیقات

3 استادیار، دانشگاه آزاد اسلامی، واحد تهران جنوب

چکیده

تغییرات دما بر میزان بهره­وری کارکنان و دستگاه­های تولیدی شرکت­ها و به تبع آن سود عملیاتی شرکت‌ها اثرگذار است. بر اساس مدل گردون، ارزش شرکت حاصل تنزیل سودهای تقسیمی آن شرکت به‌صورت مادام­العمر است. از آنجا که دمای هوا در طول زمان در حال تغییر است، اگر سرمایه­گذاران برای تحمل ریسک تغییرات دما صرف­ریسک در نظر بگیرند، ارزش شرکت­ها در طول زمان تغییر خواهد یافت. در پژوهش حاضر رابطه تغییرات دما (از طریق صرف ریسک دما) و ارزش شرکت­ها در طول زمان بررسی می‌شود. در این پژوهش از روشی متفاوت به نام «پرتفوی ردیاب» صرف­ریسک تغییرات دما استخراج شده و سپس با مدل دو عاملی بازده مورد انتظار سرمایه­گذاران در مقاطع مختلف زمانی برآورد می­شود. در نهایت با استفاده از مدل گردون، ارزش شرکت­ها در طول زمان محاسبه می­گردد. برای این منظور، نمونه‌ای متشکل از حدود 160 شرکت­ پذیرفته شده در بورس اوراق بهادار تهران در بازه زمانی 1385 تا 1396 بررسی شده است. برای بررسی فرضیات پژوهش از روش سری زمانی استفاده می­شود. نتایج پژوهش حاکی از آن است که صرف ریسک دما در بورس اوراق بهادار تهران قیمت­گذاری شده و افزایش گرمای جهانی در طول زمان باعث کاهش ارزش شرکت­ها شده است، لذا سرمایه­گذاران باید در تحلیل­های بنیادی و راهبردهای سرمایه­گذاری خود نقش تغییرات دما را عاملی فزآینده در بازده مورد انتظار در نظر گرفته تا به نتایج مطلوب­تری رسیده و در عین حال به کارایی بازار سرمایه نیز کمک کنند.

کلیدواژه‌ها


عنوان مقاله [English]

Investment Strategy with Changes in Temperature and Value of Companies

نویسندگان [English]

  • alireza gafari 1
  • Hamidreza Vakilifard 2
  • Mohsen Hamidian 3
  • Ghodrat Allah Talebnia 2
1 Ph.D, Accounting and Management Group, Islamic Azad University, Kish International Branch, Iran
2 Islamic Azad University, Science and Research Branch
3 Islamic Azad University, South Tehran Branch
چکیده [English]

Temperature changes affect the productivity of employees and production devices of companies and, consequently, the operating profit of companies. According to the Rotating model, the value of a company is the result of the reduction of the company's dividends for life. As air temperatures change over time, if investors consider risk-taking to bear the risk of temperature changes, the value of companies will change over time. In the present study, the relationship between temperature changes (through mere temperature risk) and the value of companies over time examined. In this study, a different method called "tracker portfolio" is extracted without risk of temperature changes and then the expected return of investors in different periods estimated by the two-factor model. Finally, using the vortex model, the value of the companies calculated over time. For this purpose, a sample of about 160 companies listed on the Tehran Stock Exchange between 2006 and 2017 reviewed. The time series method used to investigate the research hypotheses. The results of the study indicate that only the risk of temperature in the Tehran Stock Exchange priced and the increase in global warming over time has reduced the value of companies, so investors need the fundamental analysis and investment strategies. The role of temperature changes itself is considered to be an increasing factor in the expected return to achieve better results and at the same time contribute to the efficiency of the capital marke.

کلیدواژه‌ها [English]

  • Tracking portfolio
  • Temperature changes
  • Pricing models
  • Firm Value
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