چکیده:
ﻫﺪف از ﭘﮋوﻫﺶ ﺣﺎﺿﺮ ﺑﺮرﺳﻲ ﻣﺆﺛﺮ ﺑﻮدن ﻣﻴﺰان ﻧﻘﺪﺷـﻮﻧﺪﮔﻲ ﺳـﻬﺎم و ﺳﻮدﻣﻨﺪی ﺗﻜﻨﻴﻚ ﺗﺤﻠﻴﻞ ﭘﻮﺷﺸﻲ دادهﻫﺎ در اﻧﺘﺨﺎب ﭘﺮﺗﻔﻮی ﺑﻬﻴﻨﻪ اﺳﺖ. ﺑﺎ اﻳﻦ ﻫﺪف 523 ﺷﺮﻛﺖ ﭘﺬﻳﺮﻓﺘﻪ ﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان در ﺳـﺎل ﻣـﺎﻟﻲ 8831 ﻣﻮرد ﺑﺮرﺳﻲ ﻗﺮار ﻣﻲﮔﻴﺮد. ﻧﺘﻴﺠﻪ ﭘﮋوﻫﺶ ﻧﺸﺎن ﻣﻲدﻫﺪ ﻛﻪ ﻣﻴـﺰان ﻧﻘـﺪ- ﺷﻮﻧﺪﮔﻲ ﺳﻬﺎم ﻧﻤﻲﺗﻮاﻧﺪ ﺗﺄﺛﻴﺮ ﻣﻌﻨـﺎداری در اﻧﺘﺨـﺎب ﭘﺮﺗﻔـﻮی ﺑﻬﻴﻨـﻪ از ﻣﻴـﺎن ﺷﺮﻛﺖﻫﺎی ﭘﺬﻳﺮﻓﺘﻪ ﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان داﺷﺘﻪ ﺑﺎﺷـﺪ. ﻫﻤﭽﻨـﻴﻦ ﺳﻮدﻣﻨﺪی ﺗﻜﻨﻴﻚ ﺗﺤﻠﻴﻞ ﭘﻮﺷﺸﻲ دادهﻫﺎ در اﻧﺘﺨﺎب ﭘﺮﺗﻔﻮی ﺑﻬﻴﻨﻪ، ﻧﺘﻴﺠﻪ دﻳﮕـﺮ اﻳﻦ ﭘﮋوﻫﺶ اﺳﺖ.
Introduction: One of the main problems of choosing a portfolio which consists of stocks or assets is to consider their incongruous nature with a view to risk، return and liquidity. In other words، the inability to choose an optimum portfolio considering risk، return and liquidity at the same time is a problem. Hence، financial decision makers in order to have access to optimum portfolio have to trade off some of the mentioned criteria، inevitably. Various approaches have been utilized to resolve this problem. One of the models which is expressed recently and categorized as a nonparametric frontier model is data envelopment analysis. DEA can resolve the mentioned problem by measuring and assessing the efficiency of a portfolio.
In this research liquidity is added to risk and return to identify its impact in choosing optimum portfolio. This means that if considering stock liquidity as a criterion in choosing optimum portfolio leads to a better result the investors must consider it. This study is accomplished by using DEA.
Research Questions or hypotheses
Based on the goals of this research which are 1) the study of stock liquidity influence in choosing portfolio and 2)، DEA usefulness on choosing portfolio، hypotheses are expressed as follows.
To have access to the first goal، the first hypothesis is as follows:
H1: There are significant differences between two portfolios' return when one of them is chosen by DEA technique and considering risk، return and liquidity rank and the other one which does not consider these three variables.
And to achieve second goal، the second hypothesis is expressed as follows:
H2: There are significant differences between two portfolios' return when one of them consists of 30 companies are located at the first rank of efficiency point and the other one which consists of 30 companies are located at the last rank with view to efficiency point (The first portfolio is chosen by using DEA technique and the other one is not).
Methods: At first in order to test the hypotheses، efficiency point is calculated by using DEA in two different situations.
1) Risk and liquidity rank are considered as input variables and return as output variable of DEA technique.
2) Risk is considered as an input variable and return as an output variable of DEA technique.
Then significant differences of both hypotheses are tested by using t-test. It is important to notice that the number 30 is chosen to improve the results validity.
Results: DEA can be utilized by using BCC or CCR models. In this research the chosen model is BCC. As mentioned above and by using t-test، first hypothesis results show that there is not a significant difference between two portfolios’ return. Testing the second hypothesis suggests that there is a significant difference between the two portfolios’ return. This result reveals the usefulness of using DEA technique in choosing optimum portfolio.
Discussion and Conclusion: This research is set up to study the influence of stock liquidity and DEA usefulness in choosing optimum portfolio. In comparison with Eslami Bidgoli and Saranj (1387) results show that stock liquidity could not be considered as influence criterion and decision makers do not consider it in the process of choosing optimum portfolio. Although، according to the results it is taken for granted that in Tehran Stock Exchange sufficient information about stock liquidity are not published. Moreover، the results essay that using DEA technique in choosing optimum portfolio is efficient.
خلاصه ماشینی:
" در ﺣﻘﻴﻘﺖ، ﻫﺪف ﺑﺮرﺳﻲ اﻳﻦ ﻣﻮﺿﻮع اﺳﺖ ﻛﻪ آﻳﺎ ﺑﺎ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﻣﻌﻴﺎر ﻧﻘﺪﺷﻮﻧﺪﮔﻲ ﻣﻲﺗﻮان ﺑﻪ ﭘﺮﺗﻔﻮی ﺑﻬﺘﺮی )ﻧﺴﺒﺖ ﺑﻪ اﻧﺘﺨﺎب ﭘﺮﺗﻔﻮی ﺗﻨﻬﺎ ﺑﺎ ﺗﻮﺟـﻪ ﺑـﻪ دو ﻣﻌﻴـﺎر رﻳﺴـﻚ و ﺑﺎزده( دﺳﺖ ﻳﺎﻓﺖ ﻳﺎ ﺧﻴﺮ؟ ﻳﺎ آﻳﺎ ﻣﻲﺗﻮان ﭼﻨﻴﻦ ﻧﺘﻴﺠﻪﮔﻴﺮی ﻛﺮد ﻛﻪ ﺳﺮﻣﺎﻳﻪﮔﺬاران در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺎﻳﺪ ﺑﺮ ﮔﺴﺘﺮهی ﺗﺮﺟﻴﺤﺎت ﺧﻮد، ﻣﻌﻴﺎر ﻧﻘﺪﺷﻮﻧﺪﮔﻲ را ﺑﻴﻔﺰاﻳﻨﺪ ﻳﺎ ﺧﻴﺮ؟ ﻧﻈﺮ ﺑﻪ اﻳﻦﻛﻪ اﻧﺘﺨﺎب ﭘﺮﺗﻔﻮی ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻣﻌﻴﺎرﻫﺎ و اﻫﺪاف ﻣﺨﺘﻠﻒ ﻛﺎر ﻣﺸﻜﻠﻲ اﺳﺖ، در اﻳﻦ ﭘﮋوﻫﺶ، ﺗﻼش ﻣﻲﺷﻮد ﺗﺎ ﺑﺎ اﺳﺘﻔﺎده از ﺗﻜﻨﻴﻚ ﺗﺤﻠﻴﻞ ﭘﻮﺷﺸﻲ دادهﻫﺎ، راهﺣﻠﻲ ﺑﺮای اﻳﻦ ﻣﺸﻜﻞ اراﺋﻪ ﺷﺪه و ﺳﻮدﻣﻨﺪی ﺗﻜﻨﻴﻚ ﻣﺬﻛﻮر در اﻧﺘﺨﺎب ﺑﻬﺘﺮﻳﻦ ﭘﺮﺗﻔـﻮی ﺑـﺎ ﺗﻮﺟـﻪ ﺑـﻪ ﭼﻨﺪﻳﻦ ﻣﻌﻴﺎر ﻣﺨﺘﻠﻒ ﻣﻮرد آزﻣﻮن ﻗﺮار ﮔﻴﺮد.
ﻣﺠﻠﻪ ﭘﻴﺸﺮﻓﺖﻫﺎی ﺣﺴﺎﺑﺪاری، دوره ﭼﻬﺎرم، ﺷﻤﺎره دوم، ﭘﺎﻳﻴﺰ و زﻣﺴﺘﺎن 1931 63 در اﻳﻦ ﭘﮋوﻫﺶ، ﻣﺘﻐﻴﺮﻫﺎی رﻳﺴﻚ، ﺑـﺎزده و رﺗﺒـﻪی ﻧﻘـﺪﺷـﻮﻧﺪﮔﻲ، ﻛـﻪ ﺑـﺎ ﺗﻮﺟـﻪ ﺑـﻪ 91 ﭘﮋوﻫﺶﻫﺎی ﻓﻴﻠﺪﺳـﺘﻴﻦ81 )9691(، ﺑـﻦ ﻋﺒـﺪاﻟﻌﺰﻳﺰ و ﻫﻤﻜـﺎران )7002(، ﻗﻴﺴـﻠﺰ و ﭘﺮﻳﻴـﺮا )8002(، داﻳﻪ )9002( و اﺳﻼﻣﻲ ﺑﻴﺪﮔﻠﻲ و ﺳﺎرﻧﺞ )7831( اﻧﺘﺨﺎب ﮔﺮدﻳﺪﻧﺪ، ﺑﻪ ﺻﻮرت زﻳﺮ ﺑﻪ ﻋﻨﻮان ﻣﺘﻐﻴﺮﻫﺎی ورودی و ﺧﺮوﺟﻲ ﺗﻜﻨﻴﻚ ﺗﺤﻠﻴﻞ ﭘﻮﺷﺸﻲ دادهﻫﺎ ﻃﺒﻘﻪﺑﻨﺪی ﺷﺪﻧﺪ.
ﻓﺮﺿﻴﻪی 1: ﺑﻴﻦ ﺑﺎزده واﻗﻌـﻲ ﭘﺮﺗﻔـﻮی اﻧﺘﺨـﺎب ﺷـﺪه )ﺑـﺎ اﺳـﺘﻔﺎده از ﺗﻜﻨﻴـﻚ ﺗﺤﻠﻴـﻞ ﭘﻮﺷﺸﻲ دادهﻫـﺎ( در ﺣـﺎﻟﺘﻲ ﻛـﻪ ﭘﺮﺗﻔـﻮی ﺑـﺮ اﺳـﺎس ﺳـﻪ ﻣﺘﻐﻴـﺮ رﻳﺴـﻚ، ﺑـﺎزده و رﺗﺒـﻪی ﻣﺠﻠﻪ ﭘﻴﺸﺮﻓﺖﻫﺎی ﺣﺴﺎﺑﺪاری، دوره ﭼﻬﺎرم، ﺷﻤﺎره دوم، ﭘﺎﻳﻴﺰ و زﻣﺴﺘﺎن 1931 83 ﻧﻘﺪﺷﻮﻧﺪﮔﻲ اﻧﺘﺨﺎب ﺷﺪه ﺑﺎ ﺑﺎزده واﻗﻌﻲ ﭘﺮﺗﻔﻮﻳﻲ ﻛﻪ در ﺣﺎﻟﺖ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﺗﻨﻬﺎ دو ﻣﺘﻐﻴـﺮ رﻳﺴﻚ و ﺑﺎزده اﻧﺘﺨﺎب ﺷﺪه، ﺗﻔﺎوت ﻣﻌﻨﺎداری وﺟﻮد دارد."