نقش محتوای اطلاعاتی متقابل سود از شاخص‌های بازار در هم‌زمانی بازده و عملکرد پرتفوی با رویکرد آنتروپی توأم

پیشرفت های مالی و سرمایه گذاری

دوره 4، شماره 4، آذر 1402، صفحه 38-1   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.30495/afi.2023.1979811.1196

نویسندگان

حسن زارعی؛ مجید داودی نصر^* ؛ مجید زنجیردار

گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران.

چکیده

هدف: هدف از انجام این پژوهش بررسی نقش محتوای اطلاعاتی متقابل سود از شاخص‌های بازار در هم‌زمانی بازده و عملکرد پرتفوی بوده است.
روش‌شناسی پژوهش: این پژوهش کاربردی و توصیفی - تحلیلی می‌باشد. جامعه آماری آن کلیه شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران طی سال‌های 1391 تا 1400 بوده که پس از غربالگری، تعداد 118 شرکت به‌عنوان نمونه آماری موردمطالعه قرار گرفت. جهت سنجش محتوای اطلاعاتی متقابل متغیرها از آنتروپی توأم استفاده شد. از نرم‌افزار ره‌آورد نوین و سایت سازمان بورس، جهت جمع‌آوری داده‌ها و از آزمون‌های تی‌ استودنت، مقایسه میانگین، زوجی، برابری واریانس لوین، بوت‌استرپ در آزمون فرضیه‌ها و از نرم‌افزار R جهت تجزیه‌وتحلیل استفاده گردید.
یافته‌ها: نتایج نشان داد که میزان اطلاع متقابل سود شرکت از شاخص‌های بازار، اگرچه منجر به هم‌زمانی بیشتر در بازده می‌شود، اما ازنظر آماری معنی‌دار نیست. همچنین نتایج نشان داد که پرتفوی‌های دارای ضریب اطلاع متقابل از سود، عملکرد متفاوتی را نسبت به پرتفوی‌های سنتی دارند. یافته‌های پژوهش بیانگر آن است که پرتفوی‌ حاصل از چندک 20 درصد ضریب اطلاع متقابل، درمجموع و در دوره‌های نگه‌داری 6، 9 و ۱۲ماهه، عملکرد مطلوب‌تری از پرتفوی‌های سنتی و سایر پرتفوی‌ها داشته است.
اصالت / ارزش‌افزوده علمی: دانش‌افزایی این پژوهش شامل استفاده از ابزار آنتروپی توأم در سنجش محتوای اطلاعاتی متقابل سود از بازار و بررسی اثر آن در هم‌زمانی و ارائه یک الگوی جدید تشکیل پرتفوی می‌باشد.

کلیدواژه‌ها

آنتروپی توأم؛ اطلاع متقابل سود؛ شاخص‌های بازار؛ عملکرد پرتفوی؛ هم‌زمانی بازده

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