The Relation between the Shareholder Base and Investment Return  Volatilities  in Industrial Companies Listed on the Tehran Stock Exchange

Alizadeh, Shiva; Argha, Leila; Mehnatfar, Uosef; Taheri Nia, Masoud

doi:10.30473/indeco.2021.7960

Document Type : applicative

Authors

¹ Instructor of Economics at Lorestan University, Khorramabad, Iran

² Ph.D. Candidate in Economics, Lorestan University, Khorramabad, Iran

³ Associate professor of Economics, Mazandaran University, Babol, Iran

⁴ Assistant professor of Accounting, Mazandaran University, Khorramabad, Iran

https://doi.org/10.30473/indeco.2021.7960

Abstract

The purpose of this study is to investigate the relation between the shareholder basic and the investment return volatilities of the industrial companies listed on the Tehran Stock Exchange. In this study, one hundred companies active in the Tehran Stock Exchange which have had a relatively higher level of liquidity, were selected as a sample over a 6 year- period (2014-2019). In this regard, a panel data regression model was used. َAccording to the existence of heteroscedasticity problem in the estimated results, the GLS method was used for estimating the model’s parameters. Also, based on the iterative fixed effect test and Hausman test, the random effects model was preferable to the fixed effects model. Hence, a panel regression model was formulated by random effects. The results show that by increasing the number of the large shareholders of the industrial companies and their ownership percentage, two effects are created.
The first effect is related to reducing the herding behavior of the large shareholders and subsequently related to reducing the return volatility level of the industrial companies. The second effect is related to the share price volatilities which have been arisen from the trading effects of the large shareholders. Also, by increasing the number of the large shareholders and their ownership percentage, gradually the impact of the trading market of the large shareholders on the companies return volatilities superior to the impact of the more informed shareholders.

Keywords

20.1001.1.24767077.1400.5.15.5.8

References

آزاد، رحمت اله ؛ کامیابی، یحیی ؛ خلیل پور، مهدی. (1399). "ویژگی‌های رفتاری مدیران و نقدشوندگی سهام". پژوهش‌های حسابداری مالی و حسابرسی، سال دوازدهم ، شماره 45، 191 -213 .

رحیمیان، نظام‌الدین؛ همتی، حسن، سلیمانی فرد، ملیحه. (۱۳۹۱). "بررسی ارتباط بین کیفیت سود و عدم تقارن اطلاعاتی در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران". فصلنامه پژوهش‌های تجربی حسابداری، سال سوم، شماره ۱۰،180-157.

شریعت‌پناهی، سید مجید. (1385). "اثر نوع مالکیت بر عملکرد مدیران شرکت‌های پذیرفته در بورس اوراق بهادار تهران". پایان‌نامه دکتری، دانشکده مدیریت و حسابداری دانشگاه علامه طباطبائی تهران.

صفوی قمی، سید امیر. (۱۳۹۰). "مدیریت سرمایه‌گذاری و ریسک"، انتشارات مهربان.

فخاری، حسین؛ و طاهری، عصمت‌السادات. (۱۳۸۹). "بررسی رابطه سرمایه‌گذاران نهادی و نوسان پذیری بازده سهام در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران". پژوهش‌های حسابداری مالی، سال سوم، شماره 9، ۶۱۳-603.

فطرس، محمدحسن و هوشیدری، مریم. (1395). "بررسی تاثیر نوسانات قیمت نفت خام بر نوسانات بازدهی بورس اوراق بهادار تهران رویکرد GARCH چند متغیره". فصلنامه پژوهشنامه اقتصاد انرژی ایران، سال5، شماره18، 177-147.

قالیباف اصل، حسن ؛ ایزدی ، محسن. (1393). "بررسی رابطه بین ریسک و بازده سهام در بورس اوراق بهادار تهران : اثر شتاب و ریسک نقدینگی". دو فصلنامه اقتصاد پولی، مالی(دانش و توسعه سابق) دوره جدید ، سال 21، شماره 7 ، 105-84.

مرادزاده فرد، مهدی. (1399). "ساختار رقابت صنعت ، قدرت بازار و ریسک سقوط آتی قیمت سهام". پژوهش‌های حسابداری مالی و حسابرسی، سال دوازدهم ، شماره 47 ، 215-238 .

مشایخ، شهناز، میهن عبداللهی. (۱۳۹۰). "بررسی رابطه بین تمرکز مالکیت، عملکرد شرکت و سیاست تقسیم سود در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران". پژوهش‌های حسابداری مالی، سال 7، شماره 11، 86 -71.

میرعرب بایگی، سید علیرضا؛ مکاری، هاشم ؛ نظری زاده ، محسن. (1399) . "بررسی نظریه محبوبیت در بازار مالی ایران و رابطه آن نوسانات بازده سهام و بازده سهام در بورس اوراق بهادار تهران". نشریه علمی دانش مالی تحلیل اوراق بهادار ، سال سیزدهم، شماره 47 ، 39-22.

نوروش، ایـرج، یزدانـی، سیما. (۱۳۸۹). "بررسـی تأثیر اهـرم مـالی بـر سرمایه‌گذاری در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران". مجله پژوهش‌های حسـابداری.

نوفرستی، محمد. (1393). "ریشه واحد و همجمعی در اقتصادسنجی". انتشارات رسا

Acharya, V. & Pedersen, L. (2005). “Asset Pricing with Liquidity Risk”. Journal of Financial Economics, 77(2), 375-410.

An, H. & Zhang, T. (2013). “Stock price synchronicity, crash risk, and institutional investors”. Corporate Finance, 21(6), 1-15.

An, Z., Li, D. & Yu, J. (2015). “Firm Crash Risk, Information Environment and Speed of Leverage Adjustment”. Journal of Corporate Finance. 31(12), 132-151.

Black, F. (1976). “Studies of Stock Price Volatility Changes. Proceedings of the 1976 Meetings of the American Statistical Association”. Business and Economic Statistics Section, Washington, DC, American Statistical Association, 11(3), 177–181.

Black, F. (1986). Noise. Journal of Finance, 41(2), 529–543.

Bodnaruk, A. & P. Ostberg. (2009). “Does Investor Recognition Predict Returns?”. Journal of Financial Economics, 91(2), 208–226.

Bohl,M., Brzezcynski,J. & Wilfling,B. (2009). “Institutional investors and stock returns Volatility: Emperical evidence from a natural experiment”, Journal of Banking & Finance, 33(2), 627-639.

Campbell, J.Y., M. Lettau, B. Malkiel, & Y. Xu. (2001). “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk”. Journal of Finance, 56(4), 1–43.

Cao, C., T. Simin, & J. Zhao. (2008,). “Can Growth Options Explain the Trend in Idiosyncratic Risk?”. Review of Financial Studies, 21(1), 2599–2633

Dechow, P. M., & Dichev, I. D. (2002). “The quality of accruals and earnings: The role of accrual estimation errors”. The Accounting Review, 77(1), 35–59.

Dechow, P. M., & Skinner, D. J. (2000). “Earnings Management: Reconciling the Views of Accounting Academics, Practitioners, and Regulators”. Accounting Horizons, 14(2), 235–250.

Dechow, P. M., Hutton, A. P., Kim, J. H., & Sloan, R. G. (2012). “Detecting earnings management: A new approach”. Journal of Accounting Research, 50(2), 275–334.

Deshmukh, S. (2005). “The effect of asymmetric information on dividend policy Quarterly”. Journal of Business and Economics, 44(1,2), 108-127.

Ekholm, A. & B. Maury. (2014). “Portfolio Concentration and Firm Performance”. Journal of Financial and Quantitative Analysis, 49(3), 903–931.

Faccio, M., M. Marchica, & R. Mura. (2011). “Large Shareholder Diversification and Corporate RiskTaking”. Review of Financial Studies, 24(8), 3601–3641.

Hillier, S.R., Westerfield, J., Jaffe, A., Jordan. B., & McGraw. H. (2010). “Corporate Finance”. European Edition, 1st Edition.

Holmstrom, B. & J. Tirole. (1993). “Market Liquidity and Performance Monitoring”. Journal of Political Economy, 101(4), 678–709.

Hutton, A.P., Marcus, A.J., Tehranian, H. (2009), “Opaque Financial Reports, R2, and Crash Risk”, Journal of Financial Economics, 94(1), PP. 67-86.

Jankens, G. & Vilhelmsson, K. (2018). “The Shareholder Base Hypothesis of Stock Return Volatility”, financial management Journal. 14(9), 127-140.

Li, D., Q.N. Nguyen, P.K. Pham, and S.X. Wei, 2011, “Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets,” Journal of Financial and Quantitative Analysis, 464(1), 1127–1155.

Li, K. & Zhao, X. (2008). “Asymmetric information and dividend policy”, Financial Management, 37(4), 673-694.

Merton, R.C. (1987). “A Simple Model of Capital Market Equilibrium with Incomplete Information”. Journal of Finance, 42(3), 483–510.

Pastor, L. & P. Veronesi. (2004). “Stock Valuation and Learning about Profitability”. Journal of Finance, 59(5), 1749–1790.

Pastor, L., R. Stambaugh, & L. Taylor. (2017). ‘Do Funds Make More When They Trade More?”. Journal of Finance, forthcoming, 72(4), 14831528.

Perez- Quiros, G., & Timmermann, A. (2000). “Firm Size and Cyclical Variations in Stock Returns”, Journal of Finance, 56(1), 1229-1262.

Rubin, A. & D.R. Smith. (2009). “Institutional Ownership, Volatility and Dividends”. Journal of Banking & Finance, 33(4), 627–639.

Schwert, G.W. (2002). “Stock Volatility in the New Millennium: How Wacky Is NASDAQ?”. Journal of Monetary Economics, 49(1), 3–26.

Sias, R.W. (2004). “Institutional Herding”. Review of Financial Studies, 17(1), 165–206.

Singhvi, S.S. & H.B. Desai. (1971). “An Empirical Analysis of the Quality of Corporate Financial Disclosure”. Accounting Review, 46(1), 129–138.

Vilhelmsson.A. & Jankensgard. H. (2018). “The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence”. Financial management, 14(8). 54-71.

Wang, J. (2007). “Foreign Equity Trading and Emerging Market Volatility: Evidence from Indonesia and Thailand”. Journal of Development Economics, 84(2), 798–811.

Wei, S.X. & C. Zhang . (2006). “Why Did Individual Stocks Become More Volatile?”. Journal of Business, 79(1), 259–292.

West, K.D. (1988). “Dividend Innovations and Stock Price Volatility,” Econometrica, 56(1), 37-61. http://econometric92.blogfa.com

Wilson, Ch. (2008). “adverse selection”, The New Palgrave Dictionary of Economics 2nd Edition.

Yung, K. & Jian, Y. (2020). “Effects of the shareholder base on firm behavior and firm value in China”. International Review of Economics & Finance. 49(5), 370-385.

Zhang, C. (2010). “Reexamination of the Causes of Time-Varying Stock Return Volatilities”. Journal of Financial and Quantitative Analysis, 45(3), 663–684.

Journal of Industrial Economics researches

The Relation between the Shareholder Base and Investment Return Volatilities in Industrial Companies Listed on the Tehran Stock Exchange

References

References

Volume 5, Issue 15
August 2021
Pages 75-92

The Relation between the Shareholder Base and Investment Return Volatilities in Industrial Companies Listed on the Tehran Stock Exchange

References

References

Volume 5, Issue 15August 2021Pages 75-92

Volume 5, Issue 15
August 2021
Pages 75-92