استراتژی تشکیل پرتفوی با نسبت‎های SVAM، P/CF و P/S اصلاح شده در بورس تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه حسابداری، واحد لاهیجان، دانشگاه آزاد اسلامی، لاهیجان، ایران

2 استادیار گروه مالی، دانشکده حسابداری و مدیریت، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران

3 گروه حسابداری موسسه آموزش عالی و غیرانتفاعی شفق تنکابن

چکیده

انتخاب استراتژی‌های برتر در تشکیل پرتفوی سرمایه‌‌گذاری با توجه به تمرکز سرمایه‌گذاران برای برقراری توازن بین ریسک و بازده و دستیابی به بازده بهینه از موضوعات مهم پژوهشی در بازارهای سرمایه محسوب می‌شود. این پژوهش از پنج معیار نسبی برای چینش پرتفوی انتخاب کرده که برای این منظور از داده‌های 100 شرکت بورس تهران طی سال‌های 1391 الی 1400 در 10 پرتفوی بهره گرفته است. شواهد نشان‎دهنده این است که پرتفوی‎های ایجاد شده با نسبت‎های PS و PS‎های اصلاح شده در قیاس با پرتفوی PCF بازدهی تجمعی کمتری داشتند. نتایج آزمون ویلکاکسون نیز وجود تفاوت معنادار در برخی از زوج پرتفوی‎ها را نشان می‌دهد. نتایج آزمون T زوجی نیز نشان می‌دهد بازدهی پرتفوی‎های نسبت PS اصلاح شده با حاشیه سود (MPS2) در مقایسه با پرتفوی نسبت‎های PS و PS اصلاح شده با بدهی (MPS1) عملکرد بهتری داشته است. نتایج همچنین نشان داد که پرتفوی‎های تشکیل شده با نسبت‎های PCF و ارزش افزوده سهامدار به ارزش بازار (SVAM) عملکرد بهتری در مقایسه با پرتفوی‎های PS و نسخه‌های اصلاح شده آن دارد، در حالی که پرتفوی‎های تشکیل شده با نسبت‎ PCF با نسبت‎های SVAM تفاوت معناداری نشان نمی‌دهند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Portfolio Construction Strategy with Ratios of SVAM, P/CF and Modified P/Si Tehran Stock Exchange

نویسندگان [English]

  • Hamed Arad 1
  • meysam kaviani 2
  • Morteza Kaviani 3
1 Assistant Prof., Department of Accounting, Lahijan Branch, Islamic Azad University, Lahijan, Iran
2 Assistant Professor of Finance Department of Management and Accounting, Karaj Branch, Islamic Azad University, Karaj, Iran
3 Department of Accounting, Shafagh Institute of Higher Education, Tonekabon, Iran
چکیده [English]

Choosing the best strategies in the formation of the investment portfolio according to the focus of the investors to establish a balance between risk and return and achieve optimal return is one of the important research topics in capital markets. This research has selected five relative criteria for portfolio arrangement, and for this purpose, it has used the data of 100 firms of Tehran Stock Exchange in 2013 to 2022 in 10 portfolios. The evidence shows that the portfolios created with PS ratios and modified PSs had lower cumulative returns compared to the PCF portfolio. The results of the Wilcoxon test also show the presence of significant differences in some pairs of portfolios. The results of the paired T-test also show that the performance of the modified PS ratio portfolios with profit margin (MPS2) has performed better compared to the portfolios of modified PS and PS ratios with debt (MPS1). The results also showed that portfolios formed with PCF ratios and shareholder value added to market value (SVAM) perform better compared to PS portfolios and its modified versions, while portfolios formed PCF ratios do not show significant differences with SVAM ratios.

کلیدواژه‌ها [English]

  • Investment strategy
  • portfolio
  • relative criteria

مراجع

Abate, J.A., Grant, J.L. and Stewart, G.B., III (2004), “The EVA style of investing”, The Journal of Portfolio Management. Vol. 30 No. 4, pp. 61-72.
Abate, J.A., Grant, J.L. and Stewart, G.B., III (2004), “The EVA style of investing”, The Journal of Portfolio Management. Vol. 30 No. 4, pp. 61-72.
Aslani, M., setayesh, M. R., janani, M. H., & hematfar, M. (2022). Comparison of Performance of Selected Stock Portfolios Based on Constraint Theory Criteria with Traditional Grid Matrix Model. Journal of Investment Knowledge, 11(41), 219-248. (In Persian)
Aslani, M., setayesh, M. R., janani, M. H., & hematfar, M. (2022). Comparison of Performance of Selected Stock Portfolios Based on Constraint Theory Criteria with Traditional Grid Matrix Model. Journal of Investment Knowledge, 11(41), 219-248. . (In Persian)
Banz, R. (1981), “The relationship between return and market value of common stock”, Journal of Financial Economics. Vol. 9 No. 1, pp. 3-18.
Banz, R. (1981), “The relationship between return and market value of common stock”, Journal of Financial Economics. Vol. 9 No. 1, pp. 3-18.
Basu, S. (1977), “Investment performance of common stocks in relation to their price earnings ratios: a test of market efficiency”, Journal of Finance. Vol. 32 No. 2, pp. 663-82.
Basu, S. (1977), “Investment performance of common stocks in relation to their price earnings ratios: a test of market efficiency”, Journal of Finance. Vol. 32 No. 2, pp. 663-82.
Biddle, G.C., Bowen, R.M., Wallace, J.S., (1997). “Does EVA beat earnings? Evidence on associations with stock returns and firm values”. Journal of Accounting and Economics. 24 (3), 301–336.
Biddle, G.C., Bowen, R.M., Wallace, J.S., (1997). “Does EVA beat earnings? Evidence on associations with stock returns and firm values”. Journal of Accounting and Economics. 24 (3), 301–336.
Black, A., Wright, P. & Davies, J. 2001. In search of shareholder value. 2nd Edition. London: Pearson.
Black, A., Wright, P. & Davies, J. 2001. In search of shareholder value. 2nd Edition. London: Pearson.
Brossy, R., Balkcom, J.E., (1994). “Getting executives to create value”. Journal of Business Strategy. January/February 18–21.
Brossy, R., Balkcom, J.E., (1994). “Getting executives to create value”. Journal of Business Strategy. January/February 18–21.
Chen, S., Dodd, J.L., (2001). “Operating income, residual income and EVA: Which metric is more value relevant”. Journal of Managerial Issues. 13 (1), 65–86.
Chen, S., Dodd, J.L., (2001). “Operating income, residual income and EVA: Which metric is more value relevant”. Journal of Managerial Issues. 13 (1), 65–86.
Cook, T.J. and Rozeff, M.S. (1984), “Size and earnings/price ratio
Cook, T.J. and Rozeff, M.S. (1984), “Size and earnings/price ratio
De Villiers, J., (1997). “The distortions in economic value added (EVA) caused by inflation”. Journal of Economics and Business. 49 (3), 285–300.
De Villiers, J., (1997). “The distortions in economic value added (EVA) caused by inflation”. Journal of Economics and Business. 49 (3), 285–300.
Dechow, P. 1994. Accounting Earnings and Cash Flows as Measures of Firm Performance: The Role of Accounting Accruals. Journal of Accounting and Economics 18: 3-42.
Dechow, P. 1994. Accounting Earnings and Cash Flows as Measures of Firm Performance: The Role of Accounting Accruals. Journal of Accounting and Economics 18: 3-42.
Ezni-eshari, M., Ezni-eshri., A. Mahmoudi, M. (2015). The best portfolio formation strategy using financial ratios of economic added value to market value, profit to price ratio and book value to market value ratio, World Conference on Management, Accounting Economics and Human Sciences at the beginning of the third millennium, Shiraz, https:// civilica.com/doc/591955 (In Persian)
Fama, E.F. and French, K.R. (1992), “The Cross-Section of Expected Stocks Returns’’, Journal of Finance. Vol. 47 No. 2, pp. 427-65.
Fama, E.F. and French, K.R. (1992), “The Cross-Section of Expected Stocks Returns’’, Journal of Finance. Vol. 47 No. 2, pp. 427-65.
Fayed, A. M., & Dubey, S. (2016). An empirical study of impact of EVA momentum on the shareholders value creation as compared to traditional financial performance measures-with special reference to the UAE. International Journal of Economics and Finance, 8(5), 23-38.‏
Fayed, A. M., & Dubey, S. (2016). An empirical study of impact of EVA momentum on the shareholders value creation as compared to traditional financial performance measures-with special reference to the UAE. International Journal of Economics and Finance, 8(5), 23-38.‏
Fisher, Kenneth L. 1984. Super Stocks. Homewood, Illinois: Dow Jones-Irwin.
Fisher, Kenneth L. 1984. Super Stocks. Homewood, Illinois: Dow Jones-Irwin.
Garvey, G.T., Milbourn, T.T., (2000). “The optimal and actual use of EVA versus earnings in executive compensation”. Working Paper, Claremont Colleges.
Garvey, G.T., Milbourn, T.T., (2000). “The optimal and actual use of EVA versus earnings in executive compensation”. Working Paper, Claremont Colleges.
Grant, James L. (1996), “Foundations of EVA for Investment Managers.” The Journal of Portfolio Management.
Grant, James L. (1996), “Foundations of EVA for Investment Managers.” The Journal of Portfolio Management.
Huang, X. (2008). Portfolio selection with a new definition of risk. European Journal of operational research, 186(1), 351-357.‏
Huang, Xiaoxia. (2007). “Portfolio selection with a new definition of risk”. European Journal of Operational Research. Vol, 186, 351–357.
Javid, D., Kahabani arabani, M., Yasmani Lisar, S., Pourreza, A. (2015). investigating the relationship between stock returns of portfolios formed based on PE and PEG methods in Tehran Stock Exchange, new researches in management and accounting, No. 18, pp. 231-244. (In Persian)
Javid, D., Kahabani arabani, M., Yasmani Lisar, S., Pourreza, A. (2015). investigating the relationship between stock returns of portfolios formed based on PE and PEG methods in Tehran Stock Exchange, new researches in management and accounting, No. 18, pp. 231-244. (In Persian)
Jing, D., Imeni, M., Edalatpanah, S. A., Alburaikan, A., & Khalifa, H. A. E. W. (2023). Optimal selection of stock portfolios using multi-criteria decision-making methods. Mathematics, 11(2), 415.‏
Jing, D., Imeni, M., Edalatpanah, S. A., Alburaikan, A., & Khalifa, H. A. E. W. (2023). Optimal selection of stock portfolios using multi-criteria decision-making methods. Mathematics, 11(2), 415.‏
Kaviani, M., Fakhrhosseini, S. F., Montazeri, A., Yazdani, R. (2015). Investigating specific issues in financial management. Tehran, Arvan Publications. (In Persian)
Kaviani, M., Fakhrhosseini, S. F., Montazeri, A., Yazdani, R. (2015). Investigating specific issues in financial management. Tehran, Arvan Publications. (In Persian)
Lee, Seoki, and Kim, Woo Gon, (2009). “EVA, refined EVA, MVA, or traditional performance measures for the hospitality industry?” International Journal of hospitality Management. Vol, 28 , 439–445
Lee, Seoki, and Kim, Woo Gon, (2009). “EVA, refined EVA, MVA, or traditional performance measures for the hospitality industry?” International Journal of hospitality Management. Vol, 28 , 439–445
Lehn, K.L., & Makhija, A.K. (1996). EVA and MVA as performance measures and signals forstrategic change. Strategy and Leadership, 24(3), 34-40.
Lehn, K.L., & Makhija, A.K. (1996). EVA and MVA as performance measures and signals forstrategic change. Strategy and Leadership, 24(3), 34-40.
Leong, Kenneth; Marco Pagani and Janis K. Zaima, (2009). “Portfolio strategies using EVA, earnings ratio or book-to-market Is one best?”, Review of Accounting and Finance. Vol. 8 No. 1, pp. 76-86.
Leong, Kenneth; Marco Pagani and Janis K. Zaima, (2009). “Portfolio strategies using EVA, earnings ratio or book-to-market Is one best?”, Review of Accounting and Finance. Vol. 8 No. 1, pp. 76-86.
Lok, C. C. (2014). The Study of Price to Operating Cash Flow Ratio (Doctoral dissertation, Hong Kong Baptist University Hong Kong).
Markowitz, H. (1952). “Portfolio selection”, Journal of Finance. Vol 7, 77–91.
Markowitz, H. (1952). “Portfolio selection”, Journal of Finance. Vol 7, 77–91.
Moskvina, a., filimonenko, i., likhacheva, t., & vasilyeva, z. (2017). economic value added as an indicator of regional economic growth. in 4th international multidisciplinary scientific conference on social sciences and arts sgem 2017 (pp. 605-612).‏
Moskvina, a., filimonenko, i., likhacheva, t., & vasilyeva, z. (2017). economic value added as an indicator of regional economic growth. in 4th international multidisciplinary scientific conference on social sciences and arts sgem 2017 (pp. 605-612).‏
Nissim, D., & Penman, S. H. (2001). Ratio analysis and equity valuation: From research to practice. Review of accounting studies, 6, 109-154.‏
Nissim, Doron, and Stephen H. Penman. 1999. Ratio Analysis and Equity Valuation. Unpublished Working Paper. Columbia University – Department of Accounting.
O’Shaughnessy, J.P. 2005. What Works on Wall Street. McGraw Hill.
Osooli, N., hejazi, R., valipoor, H. (2011). Relationship between investment strategy and economic added value . Journal of Accounting and Social Interests, 1(1), 19-36. doi: 10.22051/ijar.2013.427. (In Persian)
Osooli, N., hejazi, R., valipoor, H. (2011). Relationship between investment strategy and economic added value . Journal of Accounting and Social Interests, 1(1), 19-36. doi: 10.22051/ijar.2013.427. (In Persian)
Patari, E. J., Leivo, T. H., Hulkkonen, J., & Honkapuro, J. S. (2018). Enhancement of value investing strategies based on financial statement variables: the German evidence. Review of Quantitative Finance and Accounting, 51, 813-845.
Patari, E. J., Leivo, T. H., Hulkkonen, J., & Honkapuro, J. S. (2018). Enhancement of value investing strategies based on financial statement variables: the German evidence. Review of Quantitative Finance and Accounting, 51, 813-845.
Penman, Stephen H., Scott A. Richardson, and A. Irem Tuna. (2005). The Book-to-Price Effect in Stock Returns: Accounting for Leverage. Unpublished Working Paper. Columbia University – Department of Accounting.
Penman, Stephen H., Scott A. Richardson, and A. Irem Tuna. (2005). The Book-to-Price Effect in Stock Returns: Accounting for Leverage. Unpublished Working Paper. Columbia University – Department of Accounting.
Rappaport, A. (1986). Creating shareholder value: the new standard for business performance. Free press.
Rappaport, A. (1986). Creating shareholder value: the new standard for business performance. Free press.
Sami, H. M. (2021). Portfolio Construction Using Financial Ratio Indicators and Classification through Machine Learning. Int. J. Manag. Account, 3(4), 83-90.‏
Sami, H. M. (2021). Portfolio Construction Using Financial Ratio Indicators and Classification through Machine Learning. Int. J. Manag. Account, 3(4), 83-90.‏
Stewart G.B (1991). “The Quest for Value: A Guide for Senior Managers”, New York, Harper Business Publisher.
Stewart G.B (1991). “The Quest for Value: A Guide for Senior Managers”, New York, Harper Business Publisher.
Thakur, G. S. M., Bhattacharyya, R., & Sarkar, S. (2018). Stock portfolio selection using Dempster–Shafer evidence theory. Journal of King Saud University-Computer and Information Sciences, 30(2), 223-235.‏
Thakur, G. S. M., Bhattacharyya, R., & Sarkar, S. (2018). Stock portfolio selection using Dempster–Shafer evidence theory. Journal of King Saud University-Computer and Information Sciences, 30(2), 223-235.‏
Tobin, J. (1958): “Liquidity Preference as Behavior Towards Risk,” The Review of Economic Studies, 25, 65–86.
Tobin, J. (1958): “Liquidity Preference as Behavior Towards Risk,” The Review of Economic Studies, 25, 65–86.
Vruwink, D. R., Quirin, J. J., & O'Bryan, D. (2007). A modified price-sales ratio: A useful tool for investors?. Journal of Business & Economics Research (JBER), 5(12).‏
Vruwink, D. R., Quirin, J. J., & O'Bryan, D. (2007). A modified price-sales ratio: A useful tool for investors?. Journal of Business & Economics Research (JBER), 5(12).‏
Weissenrieder, F., (1998). “Value based management: economic value added or cash value added?”, Working Paper, Gothenburg University.
Weissenrieder, F., (1998). “Value based management: economic value added or cash value added?”, Working Paper, Gothenburg University.
Yook, K.C. and McCabe, G.M. (2001), “MVA and the cross-section of expected stock returns”, Journal of Portfolio Management. Vol. 27 No. 3, pp. 75-87.
Yook, K.C. and McCabe, G.M. (2001), “MVA and the cross-section of expected stock returns”, Journal of Portfolio Management. Vol. 27 No. 3, pp. 75-87.
Zaima, J.K. (2008), “Portfolio investing with EVA”, Journal of Portfolio Management. Vol. 34 No. 3, pp. 34-40.
Zaima, J.K. (2008), “Portfolio investing with EVA”, Journal of Portfolio Management. Vol. 34 No. 3, pp. 34-40.
Zimmerman, J.L., (1997). “EVA and divisional performance measurement: capturing synergies and other issues”. Journal of Applied Corporate Finance. 10 (2), 99–109.
Zimmerman, J.L., (1997). “EVA and divisional performance measurement: capturing synergies and other issues”. Journal of Applied Corporate Finance. 10 (2), 99–109.
پژوهش‌های راهبردی بودجه و مالیه
دوره 5، شماره 4 - شماره پیاپی 20
فصلنامه زمستان
دی 1403
صفحه 187-216

فایل ها

سابقه مقاله

  • تاریخ دریافت: 18 آذر 1402
  • تاریخ بازنگری: 17 دی 1402
  • تاریخ پذیرش: 17 اردیبهشت 1403

هم رسانی

ارجاع به این مقاله

آمار