چکیده:
در بازارهای مالی اثر هر یک از ناهنجاری‌های سودآوری، درماندگی مالی، بخت‌آزمایی و ریسک غیرسیستماتیک بر بازده سهام به‌تنهایی بررسی شده است؛ اما ارتباط احتمالی آنها نامشخص است. به‌تازگی این ادعا مطرح شده است که فرصت‌های رشد بر تقارن تابع توزیع بازده اثر می‌گذارد و این ارتباط احتمالی و صرف ریسک ناشی از این ناهنجاری‌ها را توضیح می‌دهد. در این پژوهش با استفاده از خواص آماری حاکم بر گشتاور مرتبۀ سوم تابع توزیع بازده و با جداسازی چولگی ویژۀ مورد انتظار ناشی از فرصت‌های رشد، این ارتباط بررسی شده است؛ بدین منظور داده‌های 114 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران با رویکرد حذف سیستماتیک، بین سال‌های 1390 تا 1396 جمع‌آوری و فرضیه‌های پژوهش با رویکرد سبدبندی و ارزیابی آلفای برخی مدل‌های عاملی، آزمون شد. شواهد نشان می‌دهد بین سودآوری، درماندگی مالی، بخت‌آزمایی و ریسک غیرسیستماتیک با بازده آتی رابطه وجود دارد؛ اما مدل‌های مرسوم قیمت‌گذاری دارایی‌های سرمایه‌ای، صرف ناشی از ناهنجاری‌های مذکور را تبیین نمی‌کند. این شواهد به‌صورت غیرمستقیم مؤید وجود معمای سودآوری، بخت‌آزمایی و ریسک غیرسیستماتیک در بازار سرمایۀ ایران است و نشان می‌دهد سرمایه‌گذاران با گزینش راهبرد سرمایه‌گذاری مبتنی‌بر این ناهنجاری‌ها ممکن است بازده متفاوتی داشته باشند.
چکیده انگلیسی:
Abstract In financial markets, the effect of profitability anomaly, distress anomaly, lotterynees anomaly and idiosyncratic volatility have been investigated individually. However, the potential relationship among these anomalies have not been analyzed yet. Recently it has been raised that growth options effect on the symmetry of the return distribution function and it can describe the potential relationship among anomalies and risk premium of anomalies. This relationship has been investigated in this research by use of the statistical properties governing over third order moments of return distribution function and isolating expected idiosyncratic skewness derived from growth options. For this purpose, data of 114 companies listed in Tehran Stock Exchange were collected during 2011 to 2016. Hypotheses were tested using portfolio approach and alpha evaluation of factor models. The findings shows that there is relationship between profitability, distress, lotteryness, idiosyncratic volatility and stock return, but the common capital asset pricing models cannot explain premium risk of these anomalies. These findings confirm profitability, lotteryness, distress and idiosyncratic volatility puzzle indirectly in the capital market of Iran and show that investors can earn extra return by using these anomalies. Introduction There is evidence that various factors such as profitability, distress, lotteryness, idiosyncratic volatility are related to stock returns. There is an extensive literature on these anomalies studied as separate phenomena: the profitability anomaly (e.g., Haugen and Baker (1996), Fama and French (2006, 2015), Novy-Marx (2013), Hou, Xue, & Zhang (2015)), the distress risk puzzle (Dichev (1998), Campbell, Hilscher, and Szilagyi (2008), ), Salim, Shahriari and Fadaei Nejad (2015)), demand for lottery-like stocks (Kumar (2009), Bali, Cakici, and Whitelaw (2011)), the idiosyncratic volatility effect (Ang, Hodrick, Yuhang, and Zhang (2006)), growth options (Cao, Simin, and Zhao (2008), Trigeorgis and Lambertides (2014), Badri, Arab Mazar and Davaloo (2015)), and the skewness effect (Harvey and Siddique (2000), Boyer, Mitton, and Vorkink (2010)).Although the literature on the above anomalies is rich and extensive in its own right, the inter-linkage between idiosyncratic skewness linked to growth options and their asymmetric impact on returns via idiosyncratic skewness, and the profitability, distress, lotteryness, and idiosyncratic volatility phenomena remain essentially unexplored.Accordingly, new ideas have been formed by researchers such as Andrson Garcia-Fiejoo (2006), Trigeorgis & Lambertides (2014), Del Viva, kasanen & Trigeorgis (2017) and Bali, Del Viva, Lambertides & Trigeorgis (2017, 2019). Which claims that the origin of these anomalies is due to the real options of company, which ultimately affects the skewness of the yield distribution function. A concept that justifies the selection of non-diverse portfolios based on behavioral considerations, in contrast to the Markowitz portfolio optimization paradigm.In the other words, in this research examine how various stock market anomalies are related, namely whether idiosyncratic skewness arising from growth options is related to the profitability anomaly, the distress anomaly, demand for lottery-like stocks and the idiosyncratic volatility puzzle. Material & Methods The statistical population of the study is companies listed on the Tehran Stock Exchange that have been listed from 2011 to 2017. Not to be part of financial intermediation companies (banks, investments and insurances) and in order for the information to be comparable, the financial year of the company should be the end of March. No trading interval of more than three months and have at least 15 trading days during a period of one month. Do not have a negative equity value. Based on this, 114 companies have been selected and hypotheses tested. Due to the nature of the research, the library method was used to explain the theoretical foundations and research literature. In this regard, the necessary information was collected through books, specialized magazines and related websites. To collect the required data from the documentation method data related to the total index of Tehran Stock Exchange (TIPEX) from the database of Tehran Stock Exchange and data related to daily stock trading information of selected companies through TSE Client software version 2 and Rahavarde Novin software was collected.In the first step, idiosyncratic skewness is regressed on growth opportunities and other growth determinants such as profitability, asset growth and its interrelationship with distress, lotteryness and idiosyncratic risk. Then, using the estimated coefficients obtained in this step, expected idiosyncratic skewness, E[is]GO, specifically attributed to growth options is calculated and its effect on future returns is investigated in Fama & Mc Beth (1973) cross-sectional regression framework. Next, to analyze the anomalies caused by profitability, distress, lotteryness and idiosyncratic risk in the three-factor models of Fama and French (1993), four-factor Carhart (1997), the hybrid model including market risk factor, size and value of the model. The three factors of Fama and French (1993), Pastor & Stambaugh (2003) liquidity risk and the skewness factor made in this study are discussed. This factor analyzes the internal relationship between the aforementioned anomalies using the statistical properties governing the higher moments of the stock return distribution function. Finding Findings shows that the difference between the 10th (High) and 1st (Low) decile in the three-factor model of Fama and French (1993) for profitability of about 0.017 percent and for the lotteryness of about 0.14 percent, these differences are significant at the 1% level. In Carhart's four-factor model, these differences increased by about 0.016 percent for profitability and about 0.143 percent for lotteryness. These differences are significant at the 1% Level. In the first hybrid model, it is about 0.016 percent for profitability and about 0.142 percent for lotteryness, which is also statistically significant. This significant relationship shows that profitability and lotteryness are anomalies that exist in the economic environment and the capital market of Iran and cannot be explained by common pricing models. With the inclusion of the expected idiosyncratic skewness, E[is]GO, specifically attributed to growth options in the first hybrid model, the difference in coefficients for profitability test assets increased to about (0.019%) and for lotteryness to about (0.15%) and for idiosyncratic risk to about (0.0158) percentage increased, which is also statistically significant. For distress, about (0.0057) percent decreased, which is not statistically significant. This evidence shows that the expected specific skewness factor resulting from growth opportunities is not able to explain merely due to the anomaly of profitability, lotteryness and idiosyncratic risk, and can only explain this anomaly in the case of financial distress. This evidence indirectly shows that in the economic environment of Iran, there is a riddle of profitability, lotteryness and idiosyncratic risk, and investors can have different returns by choosing an investment strategy based on these anomalies. As Badri et al. (2014) state, economic theories regarding the direction of skew pricing are silent. In a way that it is not possible to determine based on the existing theoretical foundations what it should be like to change the third order and output torque. It may be argued that this is due to the fact that it is not possible to determine whether investors see the skewness of the distribution of returns as a sign of improved or deteriorating investment opportunities. Conclusions & Results Based on the results of research hypotheses, it is suggested to investors to evaluate the future performance of companies, to pay attention to the existence of market anomalies including profitability, unsystematic risk, lottery, financial helplessness and growth opportunities and react more carefully to changes in these characteristics. And seek the help of financial analysts in making investment decisions. In forming their portfolios according to their utility function and degree of risk aversion; Use stocks whose yield distribution is skewed. It seems that despite these anomalies, financial market participants can use these anomalies as additional trading strategies to gain additional returns. It is expected that the prevalence of anomalies over time will decrease them and eliminate excess returns for investors.
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