Abstract:
ﺑﺮاﺳﺎس ﻣﺪل ﻗﻴﻤﺖﮔﺬاری داراﻳﻲﻫﺎی ﺳﺮﻣﺎﻳﻪای، ﺗﻨﻬـﺎ ﻋﺎﻣـﻞ ﻣـﺆﺛﺮ ﺑـﺮ ﺗﺼﻤﻴﻢ ﺳﺮﻣﺎﻳﻪ ﮔﺬاران، رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ اﺳﺖ. ﺗﺤﻘﻴﻖ ﻫﺎی ﻣﺨﺘﻠﻒ ﻧﺸﺎن داد ﻛﻪ ﻋﻮاﻣﻞ دﻳﮕﺮی در ﻛﻨﺎر ﻋﺎﻣﻞ رﻳﺴﻚ ﺑﺎزار، ﺑﻪ ﻋﻨﻮان ﻋﻮاﻣﻞ ﺗﻌﻴـﻴﻦﻛﻨﻨـﺪهی ﺑﺎزده ﻣﻮرداﻧﺘﻈﺎر ﺳﺮﻣﺎﻳﻪﮔﺬاران ﻧﻘﺶ دارد. اﻳﻦ ﺗﺤﻘﻴﻖ، راﺑﻄﻪی ﺑﻴﻦ ﻧﺴﺒﺖﻫـﺎی ﻣﺎﻟﻲ و ﻫﺰﻳﻨﻪی ﺳﻬﺎم ﻋﺎدی، ﻃﻲ دوره 8831-2831 را ﺑﺮرﺳﻲ ﻣﻲﻛﻨﺪ. ﻧﻤﻮﻧﻪی آﻣﺎری ﺗﺤﻘﻴﻖ، ﺷﺎﻣﻞ 06 ﺷﺮﻛﺖ ﭘﺬﻳﺮﻓﺘﻪ ﺷﺪه در ﺑـﻮرس اوراق ﺑﻬـﺎدار ﺗﻬـﺮان اﺳﺖ. ﺟﻬﺖ ﻣﺤﺎﺳﺒﻪ ی ﻫﺰﻳﻨﻪی ﺳﺮﻣﺎﻳﻪ، از ﻣـﺪل ﮔـﻮردون و ﺑـﺮای ﺗﺠﺰﻳـﻪ و ﺗﺤﻠﻴﻞ و آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎ، از ﻣﺪل رﮔﺮﺳﻴﻮن ﭼﻨﺪ ﻣﺘﻐﻴﺮه اﺳـﺘﻔﺎده ﺷـﺪه اﺳـﺖ. ﻧﺘﺎﻳﺞ اﻳﻦ ﺗﺤﻘﻴﻖ ﻧﺸﺎن ﻣﻲدﻫﺪ ﻛﻪ در ﺳﻄﺢ اﻃﻤﻴﻨﺎن 59 درﺻﺪ ﺑﻴﻦ ﻧﺴﺒﺖﻫـﺎی ﻧﻘﺪﻳﻨﮕﻲ، ﻧﺴﺒﺖ ﺳﻮدآوری، ﻧﺴﺒﺖﻫﺎی اﻫﺮﻣﻲ، ﻧﺴـﺒﺖﻫـﺎی ﺑـﺎزار، و ﻫﺰﻳﻨـﻪی ﺳﻬﺎم ﻋﺎدی راﺑﻄﻪی ﻣﻌﻨﻲدار وﺟﻮد دارد.
Introduction: Fund or capital which is needed to finance a business or invest in a plan is prepared by different groups، those groups expecting a significant rate of return. Cost of equity of a business is equal to the minimum expected returns which a plan should include، and in this case investors will become eager to pay their fund for business. Research shows that various factors have effect on expected rate of return. Basu (1977) mentioned in his studies that those stocks that have larger P/E ratios will have a larger expected return. Bhandari (1988) described in his studies that depth ratio to total equity of shareholders as one of leverage ratios، have a relationship with expected return. Therefore، investors according to financial information published by companies and analyzing them through financial ratios، estimate risk of investment in companies and according to it، they demand specified expected return of their investment. And this rate is what we called cost of investment. Depending on the importance of the mentioned points، this research is representing the relationship between financial ratio and cost of stocks in Tehran Stock Exchange.
Hypothesis
1- There is a significant relationship between liquidity ratios and cost of equity
2- There is a significant relationship between profitability ratios and cost of equity
3- There is a significant relationship between net cash flows From operating activities to operation profit Ratio and cost of equity
4- There is a significant relationship between leverage ratios and cost of equity
5- There is a significant relationship between market ratios and cost of equity
6- There is a significant relationship between return of Shareholders equity and cost of equity
7- There is a significant relationship between return of asset and cost of equity
Methods: In this research we studied the relationship between financial ratios and the cost of equity during the period of 1382 to 1388. A sample of 60 TSE listed companies was selected and tested. Gordon Model was used to calculate equity cost and Multivariate Regression Model was used to test and analyze the hypothesis
Results، discussion and conclusion: The results of this research show that at a confidence level of 95%، there is a significant relationship between liquidity ratios، profitability ratios، leverage ratios، market ratios، and cost of equity.
Machine summary:
"آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﺗﺤﻘﻴﻖ در اﻧﺠﺎم ﺗﺤﻘﻴﻖ، ﺑﻪ ﻣﻨﻈﻮر ﻛﻨﺘﺮل ﻋﻮاﻣﻞ رﻳﺴﻚ ﺷﻨﺎﺧﺘﻪ ﺷﺪه ﻃﺒﻖ ﻧﺘﺎﻳﺞ ﺗﺤﻘﻴﻘﺎت ﻓﺎﻣـﺎ و ﻓﺮﻧﭻ )2991(، ﻣﺪل رﮔﺮﺳﻴﻮن ﺧﻄﻲ ﭼﻨﺪ ﻣﺘﻐﻴﺮه زﻳﺮ ﻛﻪ ﻫﺰﻳﻨﻪی ﺳﻬﺎم ﻋﺎدی را روی ﺳـﻪ ﻣﺠﻠﻪ ﭘﻴﺸﺮﻓﺖﻫﺎی ﺣﺴﺎﺑﺪاری، دوره ﭼﻬﺎرم، ﺷﻤﺎره اول، ﺑﻬﺎر و ﺗﺎﺑﺴﺘﺎن 1931 21 ﻣﺘﻐﻴﺮ ﻛﻨﺘﺮﻟﻲ ﺗﺤﻘﻴﻖ ﺣﺎﺿﺮ رﮔﺮﺳﻴﻮن ﻣﻲﻛﻨﺪ و در اﻳﻦ ﭘـﮋوﻫﺶ، در اﺻـﻄﻼح »ﻣـﺪل ﭘﺎﻳـﻪ« ﻧﺎﻣﻴﺪه ﺷﺪه اﺳﺖ، ﻣﺒﻨﺎی ﻛﺎر ﻗﺮار ﮔﺮﻓﺖ: CofC i ,t 0 1 Beta j ,t 2 Size j ,t 3 BM e j ,t )6( j ,t در ﻣﺪل ﻓﻮق، CofCﻫﺰﻳﻨﻪی ﺣﻘﻮق ﺻـﺎﺣﺒﺎن ﺳـﻬﺎم، Betaﺷـﺎﺧﺺ رﻳﺴـﻚ ﺑـﺎزار، Sizeﻟﮕﺎرﻳﺘﻢ ارزش ﺑﺎزار، BMﻟﮕﺎرﻳﺘﻢ ﻧﺴـﺒﺖ ارزش دﻓﺘـﺮی ﺑـﻪ ارزش ﺑـﺎزار و eﺟﻤﻠـﻪ اﺧﺘﻼل، tﻧﻤﺎﻳﺸﮕﺮ زﻣﺎن و jﻧﻤﺎﻳﺸﮕﺮ ﺷﺮﻛﺖ اﺳﺖ.
; ﻧﮕﺎره 4: ﻧﺘﺎﻳﺞ رﮔﺮﺳﻴﻮن ﻣﻘﻄﻌﻲ ﺳﺎﻻﻧﻪ ﻓﺮﺿﻴﻪی ﭼﻬﺎرم ﻧﺘﻴﺠﻪ ﺿﺮﻳﺐ ﻣﺘﻐﻴﺮﺗﻮﺿﻴﺤﻲ Prob t-Statistic ﺗﺄﻳﻴﺪ 00,0 24,3- 39,6- ﻋﺮض از ﻣﺒﺪأ ﻋﺪم ﺗﺄﻳﻴﺪ 95,0 35,0- 30,0- Beta ﻣﺠﻠﻪ ﭘﻴﺸﺮﻓﺖﻫﺎی ﺣﺴﺎﺑﺪاری، دوره ﭼﻬﺎرم، ﺷﻤﺎره اول، ﺑﻬﺎر و ﺗﺎﺑﺴﺘﺎن 1931 81 ﻧﺘﻴﺠﻪ ﺿﺮﻳﺐ ﻣﺘﻐﻴﺮﺗﻮﺿﻴﺤﻲ Prob t-Statistic ﺗﺄﻳﻴﺪ 00,0 4,3 85,0 Size ﻋﺪم ﺗﺄﻳﻴﺪ 45,0 6,0- 60,0- BM ﺗﺄﻳﻴﺪ 00,0 22,3 72,0 ﻧﺴﺒﺖ ﺑﺪﻫﻲ ﺑﻪ داراﻳﻲ ﺗﺄﻳﻴﺪ 00,0 46,3 23,0 ﻧﺴﺒﺖ ﺑﺪﻫﻲ ﺑﻪ ﺣﻘﻮق ﺻﺎﺣﺒﺎن ﺳﻬﺎم 1,0 94,6 F-stat 2AdjR )Prob(F-stat 12,2 00,0 D-W stat ﻫﻤﺎنﻃﻮرﻛﻪ در ﻧﮕﺎرهی )4( ﻣﻼﺣﻈﻪ ﻣﻲﺷﻮد، ﭼﻮن اﺣﺘﻤﺎل آﻣﺎرهی ،tﻧﺴﺒﺖ ﺑﺪﻫﻲ ﺑـﻪ داراﻳﻲ و ﻧﺴﺒﺖ ﺑﺪﻫﻲ ﺑﻪ ﺣﻘﻮق ﺻﺎﺣﺒﺎن ﺳﻬﺎم ﻛﻮﭼﻚﺗـﺮ از 1 درﺻـﺪ ﺑـﻮده و ﺿـﺮﻳﺐ آن ﻣﺜﺒﺖ اﺳﺖ؛ ﺑﻨﺎﺑﺮاﻳﻦ، در ﺳﻄﺢ اﻃﻤﻴﻨـﺎن 99% راﺑﻄـﻪی ﻣﺜﺒـﺖ ﻣﻌﻨـﻲداری ﺑـﻴﻦ ﻧﺴـﺒﺖﻫـﺎی ﻧﺎمﺑﺮده، ﺑﺎ ﻫﺰﻳﻨﻪی ﺳﻬﺎم ﻋﺎدی وﺟﻮد دارد."