نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران.

2 استاد دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران.

3 استادیار دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران.

4 دکتری اقتصاد مالی، دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران.

چکیده

در این مقاله با بسط مدل قیمت‌گذاری دارایی مبتنی بر مصرف و واردکردن احساس به تابع مطلوبیت، با استفاده از معادلات اولر و روش گشتاورهای تعمیم‌یافته، الگوی قیمت‌گذاری دارایی بر اساس عامل تنزیل تصادفی با رویکرد سنتی و رفتاری در بورس اوراق بهادار تهران برآورد شده است. برای این کار از دو شاخص احساس گردش مالی بازار و صرف نوسانات برای تخمین احساس استفاده شده است. دوره زمانی تحقیق 99-1390 و نمونه تحقیق دارای 18 گروه بورسی شامل 63 شرکت پذیرفته‌شده در بورس تهران است. نتایج نشان می‌دهد مدل (SDF) رفتاری نسبت به مدل سنتی با واقعیت‌های بورس تهران سازگارتر و کاراتر بوده و ضریب احساس معنادار است. ضریب ریسک‌پذیری در حالت رفتاری نسبت به مدل سنتی بیشتر است و در هر دو حالت افراد نرخ ترجیح زمانی بالایی دارند و شکیبا هستند.

کلیدواژه‌ها

عنوان مقاله [English]

Asset Pricing Modeling Test Based on Behavioral Stochastic Discount Factor (SDF): A Case Study of Tehran Stock Exchange

نویسندگان [English]

  • Reza Talebloo 1
  • Teimoor Mohammadi 2
  • Habib Morovvat 3
  • Mohammad Mehdi Bagheri Toodeshki 4

1 Associate Professor, Economics College,, Allameh Tabatabai University, Tehran, Iran.

2 Full Professor, Economics College, Allameh Tabatabai University, Tehran, Iran.

3 Assistant Professor, Economics College, Allameh Tabatabai University, Tehran, Iran.

4 PhD in Financial Economics, Economics College, Allameh Tabatabai University, Tehran, Iran.

چکیده [English]

In this paper, we estimate the asset pricing model based on random discount factor (SDF) according to traditional and behavioral approach in the Tehran Stock Exchange by extending the consumption-based asset pricing model (CCAPM), and introducing the sentiment into the utility function, by means of the Euler equations and the generalized method of moments (GMM). To achieving the goal, we apply two indexes of sentiment: the market turnover and the volatility premium. The investigation period is 1390-99 and the case study involves 18 stock exchange groups including 63 companies has listed on the Tehran Stock Exchange. The results demonstrate that the behavioral SDF model is more consistent and efficient with the facts of the Tehran Stock Exchange than the traditional model, and the coefficient of sentiment is significant. The coefficient of risk according to the behavioral model is higher than the traditional model, and in both cases, people have a high time preference rate and are patient.

کلیدواژه‌ها [English]

  • Capital Asset Pricing
  • CCAPM Model
  • GMM Method
  • Stochastic Discount Factor
  • Behavioral and Traditional (Classic) SDF Model
  • Sentiment Index
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