پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 158 |
| تعداد شمارهها | 6,244 |
| تعداد مقالات | 67,920 |
| تعداد مشاهده مقاله | 115,621,021 |
| تعداد دریافت فایل اصل مقاله | 90,391,598 |
The Behavior of Value and Growth Firms: Evidence from The Tehran Stock Exchange | ||
| Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
| دوره 16، شماره 4، دی 2023، صفحه 827-841 اصل مقاله (627.81 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ijms.2022.340695.675020 | ||
| نویسندگان | ||
| Abol Jalilvand1؛ Mojtaba Rostami Noroozabad* 2؛ Fathali Firoozi3 | ||
| 1Department of Finance, Quinlan School of Business, Loyola University Chicago, Illinois, USA | ||
| 2Department of Financial Management, Faculty of Management, Islamic Azad University, North Tehran Branch, Tehran, Iran | ||
| 3Department of Economics, Alvarez College of Business, The University of Texas at San Antonio, Texas, USA | ||
| چکیده | ||
| Recent studies show that the risk profile of U.S. value firms deteriorate significantly during economic downturns while growth firms show much less sensitivity under similar conditions. It is unclear whether value and growth firms behave similarly in other financial markets, particularly those representing emerging economies where growth firms are under-represented and typically unable to attract capital at favorable terms. In this paper, we investigate the risk dynamics of value and growth firms in the Tehran Stock Exchange (TSE) over multiple periods of stable and adverse economic conditions during the 1999 -2021 period. We find that during economic downturns, the risk profile of value firms deteriorates more substantially than that of growth firms in the financial market of Iran. More importantly, such differences are not dependent on the choice of the equity return model. Value firms have also delivered lower operating profits and maintained a higher degree of operating leverage than those of growth firms during both stable and adverse economic conditions. Overall, these results provide additional and more systemic support for the differential behavior of value and growth firms initially documented by earlier studies using U.S. data. The differential risk and return dynamics of value and growth firms in the Iranian financial market have important policy implications for economic development in other emerging economies exposed to dramatic social, economic, and geopolitical changes. | ||
| کلیدواژهها | ||
| Value premium؛ asset risks؛ investment irreversibility؛ operating leverage؛ Tehran Stock Exchange (TSE) | ||
| مراجع | ||
|
Abhyankar, A., Ho, K.-Y. & Zhao, H. (2009). International value versus growth: evidence from stochastic dominance analysis. International Journal of Finance & Economics, 14(3): 222–232. DOI: 10.1002/ijfe.368.
Addae-Dapaah, K., Webb, J. R., Kim Hin Ho, D. & Hiang Liow, K. (2013). Value versus Growth International Real Estate Investment. Real Estate Economics, 41(1): 65–101. DOI: 10.1111/j.1540-6229.2012.00335.x.
Ady, Sri Utami, Sudarma, Made, Salim, Ubad, & Aisyah, Sit. (Jan.–Feb.2013). Psychology’s factors of stock buying and selling behavior in Indonesian Stock Exchange (Phenomenology Study of Indonesian Stock Exchange). IOSR Journal of Business and Management, 7(3), 11–22.
Ahadianpour Parvin, Donya. (2012). The Relationship Between created shareholder value (csv) and Performance Evaluation Measures in Growth and Value Companies. Financial Knowledge of Securities Analysis, 4(4): 89-109.
Aleati, A., Gottardo, P. and Murgia, M. (2000), The Pricing of Italian Equity Returns. Economic Notes, 29: 153-177. https://doi.org/10.1111/1468-0300.00028
Asal, M., Jalilvand, A., Rolseth, M. “Do Size and Value Premia Vary Across Industry and Market Conditions? Evidence from the Euro Area”. Journal of Business and Policy Research, Vol. 10. No. 1: 98 – 116, 2015.
Assadi, G., Eslami Bidgoli, S. (2014). Comparing the Performance of Value and Growth Strategies;Individual Ratios and Combined Measures. Financial Research Journal, 16(1), 1-24. doi: 10.22059/jfr.2014.51837
Athanassakos, G. (2009). Value versus growth stock returns and the value premium: The Canadian experience 1985–2005. Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences De l’Administration, 26(2), 109–121. DOI: 10.1002/cjas.93.
Athanassakos, G. (2009). Value versus growth stock returns and the value premium: The Canadian experience 1985–2005. Canadian Journal Of Administrative Sciences / Revue Canadienne Des Sciences De administration, 26(2): 109–121. DOI: 10.1002/cjas.93.
Banaizadeh, A., Kordlouie, H. (2013). Studying the Return of value and Growth Stock Based on the ratio of Book Value/MARKET Value (Case: Publicly Traded Companies). Journal of Investment Knowledge, 2(7): 105-130.
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18.
Bhandari, L.C. (1988), Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. The Journal of Finance, 43: 507-528. https://doi.org/10.1111/j.1540-6261.1988.tb03952.x
Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8-18.
Blazenko، George W.، and Fu، Yufen. (2013). Value versus growth in dynamic equity investing. Managerial Finance. 39(3): 272–305.
Campbell, John Y. and Tuomo, Vuolteenaho (2004). Bad Beta, Good Beta, American Economic Review, Volume 94, Issue 5: 1249-1275.
Cao, V.N. (2015). What explains the value premium? The case of adjustment costs, Operating leverage and financial leverage. Journal of banking and Finance, 59, 350-366.
Chan, L.K.C., Hamao, Y. and Lakonishok, J. (1991), Fundamentals and Stock Returns in Japan. The Journal of Finance, 46: 1739-1764. https://doi.org/10.1111/j.1540-6261.1991.tb04642.x
Chandra, Abhijeet. (2008). Decision making in the stock market: Incorporating psychology with finance New Delhi. In Conference proceedings: FFMI 2008: 461–483.
Chang, C.-H., & Lin, S.-J. (2015). The effects of national culture and behavioral pitfalls on investors' decision-making: Herding behavior in international stock markets. International Review of Economics & Finance, 37, 380-392. https://doi.org/10.1016/j.iref.2014.12.010
Choi, Jaewon (2013). What Drives the Value Premium? The Role of Asset Risk and Leverage, Review of Financial Studies, 26 (11): 2845-2875.
Cronqvista, Henrik; Siegelb, Stephan; Yu, Frank (2015). Value versus growth investing: Why do different investors have different styles?, Journal of Financial Economics, 117(2): 333–349.
Drew, M. E. and Veeraraghavan, M. (2003). Beta, Firm Size, Book-to-Market Equity and Stock Returns. Journal of the Asia Pacific Economy, 8(3).
Eslami Bidgoli, G., fallahpour, S., Sabzevari, B. (2012). Forecasting Stock Price Manipulation in Capital Market. Journal of Investment Knowledge, 1(1): 125-146.
Fama, E. F., and French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427–465.
Fama, E. F., and French, K. R. (1993). Fama-French APT three-factor model. Journal of Financial Economics.
Fama, E., & French, K (1998). Value vs. growth: The international evidence. The Journal of Finance, 53 (6), 1975-1999.
Fama, E., & French, K (1998). Value vs. growth: The international evidence. The Journal of Finance, 53 (6): 1975-1999.
Fama, Eugene F. and Kenneth R. French (1997). Industry Costs of Equity. Journal of Financial Economics. 43:2 pp. 153–93.
Fama, Eugene F. and Kenneth R. French, (2007). The Anatomy of Value and Growth Stock Returns, Financial Analysts Journal, Volume 63, Issue 6: 44-54.
Fama, Eugene. F, Kenneth R. French (1995). Size and Book-to- Market Factors in Earnings and Returns, Journal of Finance 50. pp. 131-155.
Ferguson, M., Lotfaliei, B., and Trombley, T. (2019). Dynamic Capital Structure, Asset Pricing Factors, and the CAPM. Eastern Finance Association, Miami, Florida.
Gulen, Huseyin; Xing Yuhang and Zhang, Lu (2008). Value versus Growth: Time‐Varying Expected Stock Returns, Ross School of Business Paper, 1115 (1): 11-46.
Habibi Samar, Javad; Tehrani, Reza; Ansari, Kambiz. (2015). Study Of Relationship Between Liquidity Risk And Market Risk Using Returns Of Growth And Value Stocks With Ahp Model Approach In Tehran Stock Exchange. Financial Engineering and Portfolio Management, 6(23): 39-58.
Hahl ،Teemu ،Vähämaa ،Sami، و Äijö ،Janne. (2014). Value versus growth in IPOs: New evidence from Finland. Research in International Business and Finance, 31: 17-31.
Hahn, Jaehoon and Lee, Hangyong (2006). Yield Spreads as Alternative Risk Factors for Size and Book-to-Market, Journal of Financial and Quantitative Analysis, Forthcoming, Available at SSRN: https://ssrn.com/abstract=678946.
Halliwell, J., J. Heaney and J. Sawicki (1999). Size and book to market effects in Australian share markets: a time series analysis, Accounting Research Journal, 12, 122-137.
Hamada, R. S. (1972). The effect of the firm’s capital structure on the systematic risk of common stocks. The Journal of Finance, 27(2), 435–452.
Hassan Al-Tamimi, Hussein A. (2006). Factors influencing individual investor behavior: An empirical study of the UAE financial markets. The Business Review, 5(2), 225–232.
Hens, Thorsten; Schindler, Nilüfer., (2020). Value and patience: The value premium in a dividend-growth model with hyperbolic discounting, Journal of Economic Behavior and Organization. 172: 161-179. https://doi.org/10.1016/j.jebo.2020.01.028
Hsu, Chuan-Hao; Lee, Kuei-Chih; Chang, Yi-Ping; Fung, Hung-Gay (2015). Value versus growth: Taiwan evidence, Managerial Finance, 41(8): 845-856.
Jalilvand, A., Rostami Noroozabad, M., and Switzer, J (2018). Informed and Uninformed Investors in Iran: Evidence from the Tehran Stock Exchange, Journal of Economics and Business, 95 (2018), 47 - 58.
Jalilvand, Abol and Kim, Sung Min (2013). Matching slack resources and Investment strategies to achieve long-term performance: new perspectives on corporate adaptability, Journal of Economic Asymmetries, vol. 10, no. 1, 38-52.
Joseph; Ding, David (2005). Value and Growth Investing in Asian Stock Markets 1991–2002, in Andrew H. Chen (ed.) Research in Finance, 22: 113 – 139.
Klemola, Antti., (2020). Internet search-based investor sentiment and value premium, Finance Research Letters, 33. doi.org/10.1016/j.frl.2019.06.022
Kordbacheh, H., Hozoori, M., Malmir, A. (2012). Measuring Risk Excesses in Iran’s Mutual Funds industry. Journal of Investment Knowledge, 1(2): 117-140.
Kothari, S.P., Shanken, J. and Sloan, R.G. (1995), Another Look at the Cross‐section of Expected Stock Returns. The Journal of Finance, 50: 185-224. https://doi.org/10.1111/j.1540-6261.1995.tb05171.x
Lakonishok, J., Shleifer, A., Vishny, R.W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance 49 (5), 1541–1578.
Lee, Wen-Shiung, Huang, Alex YiHou, Chang, Yong-Yang, & Cheng, Chiao-Ming. (2011). Analysis of decision-making factors for equity investment by DEMATEL and analytic network processes. Expert Systems with Applications, 38(7), 8375–8383.
Luong, P., & Ha, T. (2011). Individual investors’ decision-making performance: A survey at the Ho Chi Minh Stock Exchange. Umea School of Business Spring semester 2011 Master thesis.
Meshki Miavaghi, M., Poormohamad Ziabari, M. (2014). The Comparison Liquidity and Tobin’s Q Ratio of Growth and Value stocks in Tehran Stock Exchange. Financial Research Journal, 16(1): 129-146. doi: 10.22059/jfr.2014.51844
Miavaghi, M., Dehdar, F. (2011). The Anatomy of Value and Growth Stocks Capital Gain Return and Dividend Yield in the Tehran Stock Exchange. Financial Research Journal, 13(31): 121-146.
Moinak, M. and Balakrishna, A. (2020). Can Leverage Effect coexist with value Effect? IIMB Management Review, 32, 7-23.
Ozdagli, A.K. (2012). Financial leverage, Corporate Investment, and Stock Returns. Review of Financial Studies 25, 1033–1069.
Paule, R.C., Marinenko, G., Knoerdel, M., and Koch, W.F., “Ruggedness Testing—Part I: Ignoring Interactions,” Journal Research of the National Bureau of Standards, Vol 91, 1986, pp. 3–8.
Paule, R.C., Marinenko, G., Knoerdel, M., and Koch, W.F., “Ruggedness Testing—Part II: Recognizing Interactions,” Journal Research of the National Bureau of Standards, Vol 91, 1986, pp. 9–15.
Petkova, Ralitsa and Zhang, Lu (2005). Is value riskier than growth?, Journal of Financial Economics, Volume 78, Issue 1, Pages 187–20.
Pourzamani, Z., Taghieh, M. (2013). The Impact of intellectual capital on Economic Value Added in Growth and Value companies. Journal of Investment Knowledge, 2(8): 1-24.
Rahnamay Roodposhti, F., Firoozian, M., Mohammadi, L. (2012). Portfolio Grouping of "Tose-e Melli Group Investment Company (TMGIC)" based on the Matrix Network and Compare the Performance of this Method Using the Upside Potential Ratio. Financial Research Journal, 13(32), 15-34. doi: 10.22059/jfr.2013.25018
Rostami Noroozabad, Mojtaba., Jalilvand, Abolhassan,. Fallahshams Layalestani, Mirfeiz,. Saeedi, Ali. (2019). What Factors Influence the Differential Behavior of Value and Growth Firms? Evidence from the Tehran Stock Exchange, Financial Research Journal, 21(4): 517-544.
Rostami Noroozabad, Mojtaba., Jalilvand, Abolhassan,. Fallahshams Layalestani, Mirfeiz,. Saeedi, Ali. (2019). Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange, Journal of Asset Management and Financing, 8(3): 1-24.
Vakilifard, Hamidreza; Shirazian, Zahra. (2014). Investment Horizon Effect on Asset Allocation Between Value And Growth Strategies In Tehran Stock Exchange By Wavelet Analysis. Financial Engineering and Portfolio Management, 5(21), 131-148.
Zhang, L., (2005). The value premium. J. Finance. 60, 67–104.
Zia ul haq, M., Shafiq, M., Kashif, M., and Ameer, S. (2020). Determining Force behind value Premium: The Case of Financial Leverage and Operating Leverage. Journal of Risk and Financial Management, 13, 196, 1-15. | ||
|
آمار تعداد مشاهده مقاله: 460 تعداد دریافت فایل اصل مقاله: 534 |
||