چرخۀ عمر و دیرش ضمنی سهام در بورس اوراق بهادار تهران

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار، گروه مهندسی مالی، دانشکده حسابداری و علوم مالی، دانشکدگان مدیریت، دانشگاه تهران، تهران، ایران.

2 دانشیار، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران.

3 دانشجوی دکتری، گروه مالی، پردیس بین‌المللی کیش، دانشگاه تهران، کیش، ایران.

10.22059/acctgrev.2025.381472.1009005

چکیده

هدف: زمان‌بندی جریان‌های نقد مورد انتظار و مدت زمان مورد نیاز برای بازگشت اصل سرمایه، از ملاحظات مهم و مدنظر سرمایه‌گذاران سهام عادی است. دیرش مکالی، معیاری برای تعیین دورۀ بازگشت سرمایه و همچنین، معیار سنجش حساسیت اوراق با درآمد ثابت نسبت به تغییر نرخ بهره است. دیرش ضمنی سهام، تعمیم‌یافتۀ دیرش اوراق با درآمد ثابت به سهام عادی است. در دهه‌های اخیر، تلاش برای درک بهتر تصمیم‌های اتخاذ شده در طول زمان و شناسایی الگوهای رفتاری شرکت‌ها، موجب شده است تا پژوهشگران به چرخۀ عمر شرکت‌ها توجه کنند. چرخۀ عمر شرکت، به‌دنبال آن است که با تجزیه‌وتحلیل استراتژی‌ها و ساختارهای شرکت، چگونگی رشد، بلوغ و افول یک شرکت را به تصویر بکشد. ماهیت تئوری چرخۀ عمر شرکت نشان می‌دهد که تصمیم‌های سرمایه‌گذاری، تأمین مالی و عملکرد مالی شرکت، به‌شدت تحت تأثیر تغییر قابلیت‌های سازمانی شرکت طی مراحل چرخۀ عمر قرار دارد. به عبارتی، ساختار مالی شرکت‌ها در طول چرخۀ عمر تغییر می‌کند. هدف این مقاله، بررسی رابطۀ بین چرخۀ عمر و دیرش ضمنی سهام شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران است.
روش: در این پژوهش، برای محاسبۀ دیرش ضمنی سهام، چرخۀ عمر و متغیرهای دیگر، از داده‌های مالی شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران، طی سال‌های ۱۳۸۹ تا ۱۴۰۱ به مدت ۱۳سال استفاده شده است. نمونۀ آماری ۱۴۵ شرکت تولیدی بوده است و داده‌ها با استفاده از نرم‌افزار ایویوز و رگرسیون چند متغیره، تحلیل شده‌اند.
یافته‌ها: یافته‌های این پژوهش نشان می‌دهد که بین چرخۀ عمر شرکت‌ها (معیار سود انباشته به حقوق مالکانه) و دیرش ضمنی سهام شرکت‌ها، رابطۀ منفی و معناداری وجود دارد. به عبارتی با افزایش نسبت سود انباشته به حقوق مالکانه، دیرش سهام کاهش می‌یابد؛ ولی رابطۀ معناداری بین معیار دیگر چرخۀ عمر (سود انباشته به مجموع دارایی‌ها) و دیرش ضمنی سهام وجود ندارد؛ هرچند ضریب آن، منفی است. با توجه به تعیین مراحل چرخۀ عمر، مشخص شد که در دوران رشد، رابطۀ بین چرخۀ عمر (معیارهای سود انباشته به حقوق مالکانه و سود انباشته به مجموع دارایی‌ها) و دیرش ضمنی سهام، معنادار نیست. در دوران بلوغ و افول، رابطۀ چرخۀ عمر (معیارهای سود انباشته به حقوق مالکانه و سود انباشته به مجموع دارایی‌ها) و دیرش سهام، منفی و معنادار است؛ ولی در مرحلۀ افول، کاهش بیشتری را نشان می‌دهد.
نتیجه‌گیری: با توجه به یافته‌های پژوهش، در شرکت‌های مرحلۀ افول، با توجه به کاهش فرصت‌های سرمایه‌گذاری و همچنین، دسترسی مناسب به منابع مالی داخل و خارج از شرکت، مدیریت تمایل بیشتری به توزیع سود بین سهام‌داران دارد؛ بنابراین دیرش ضمنی سهام شرکت‌های در مرحلۀ افول نسبت به مرحلۀ بلوغ، از کاهش بیشتری برخوردار است. کاربرد مفهوم دیرش، به استراتژی سرمایه‌گذاران و تحمل ریسک آن‌ها بستگی دارد. سرمایه‌گذاران ریسک‌گریز، می‌توانند در سهام شرکت‌های مرحلۀ افول یا شرکت‌هایی که در پایان مرحلۀ بلوغ هستند، سرمایه‌گذاری کنند و از بازده متناسب بهره ببرند و سازوکاری برای مصون‌سازی پرتفوی خود فراهم کنند. همچنین، سرمایه‌گذارانی که از ریسک بیشتری استقبال می‌کنند، می‌توانند شرکت‌های در مرحلۀ بلوغ را انتخاب کنند. گفتنی است که رابطۀ بین چرخۀ عمر بر دیرش سهام در مرحله رشد، معنادار نشده است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Life Cycle and Implied Duration of Stocks in the Tehran Stock Exchange

نویسندگان [English]

  • Ali Namaki 1
  • Moslem Peymany Foroushany 2
  • Mansur Dehghani Ashkezari 3
1 Associate Prof., Department of Financial Engineering, Faculty of Accounting and Financial Sciences, College of Management, University of Tehran, Tehran, Iran.
2 Associate Prof., Department of Financial and Banking, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran.
3 Ph.D. Candidate, Department of Finance, Kish International Campus, University of Tehran, Kish, Iran.
چکیده [English]

Objective
The timing of anticipated cash flows and the period necessary for the recovery of the initial capital constitute critical considerations for common equity investors. Macaulay duration serves as a metric for determining the payback period and is widely used to measure the sensitivity of fixed-income securities to changes in interest rates. Implied equity duration represents an extension and generalization of bond duration applied to common stocks. In recent decades, efforts to better understand decision-making processes over time and to identify behavioral patterns of firms have led researchers to focus on the corporate life cycle. The firm life cycle framework seeks to depict how a company grows, matures, and declines through an analysis of its strategies and organizational structures. The foundation of the firm life cycle theory suggests that investment decisions, financing choices, and financial performance are profoundly influenced by changes in the firm’s organizational capabilities at different stages of its life cycle. In other words, a firm’s capital structure evolves throughout its life cycle. This article aims to explore the relationship between the life cycle and the implied duration of the stocks of firms listed in the Tehran Stock Exchange.
Methods
In this study, financial data of companies listed on the Tehran Stock Exchange over a 13-year period from 2010 to 2022 were utilized to calculate implied equity duration, corporate life cycle, and other variables. The statistical sample consists of 145 manufacturing firms, which were analyzed using EViews software and multivariate regression analysis.
Results
The findings of this study indicate a significant negative relationship between the firms’ life cycle—measured by the retained earnings to equity ratio—and the implied duration of their stocks. Specifically, as the retained earnings to equity ratio increases, the implied stock duration decreases. Conversely, no significant relationship was found between the other life cycle measure—retained earnings to total assets—and implied equity duration, although the coefficient was negative. When examining different stages of the life cycle, the relationship between life cycle indicators (retained earnings to equity and retained earnings to total assets) and implied stock duration was not statistically significant during the growth stage. However, during the maturity and decline stages, a significant negative relationship was observed, with a more pronounced decrease in implied duration occurring during the decline phase.
Conclusion
According to the research findings, firms in the decline stage, facing reduced investment opportunities and having adequate access to financial resources both internally and externally, tend to have management that favors distributing dividends to shareholders. Consequently, the implied equity duration of firms in the decline stage decreases more significantly compared to those in the maturity stage. The practical application of duration as a concept depends on investors’ strategies and risk tolerance. Risk-averse investors may prefer to invest in stocks of firms in the decline stage or those approaching the end of the maturity stage to achieve suitable returns while implementing mechanisms to protect their portfolios. Conversely, investors with higher risk tolerance might opt for firms in the maturity stage. It is also noteworthy that the relationship between the life cycle and equity duration during the growth stage was found to be insignificant.

کلیدواژه‌ها [English]

  • Implied equity duration
  • Life cycle
  • Risk
  • Investment

مراجع

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بررسی‏‌های حسابداری و حسابرسی
دوره 33، شماره 1
1405
صفحه 186-221

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