The Impact of Company Characteristics on Return Volatility in Sorted Portfolios: A Hybrid Asymmetric Conditional Variance Approach

Iranian Journal of Accounting, Auditing and Finance

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 25 فروردین 1403

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2024.86208.1433

نویسندگان

seyed kazem ebrahimi¹؛ Mahnaz Khorasani²؛ mina saba^{* 3}

¹Department of Accounting, Faculty of Economics and Management and Administrative Sciences, Semnan University, Semnan, Iran

²Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran

³Administrative Sciences, Semnan University, Semnan, Iran

چکیده

The primary objective of this study is to investigate how various stock portfolio strategies impact the volatility of returns among companies listed on the TSE. To achieve this, a systematic elimination method was utilized to select a sample of 185 companies from 2011 to 2022. The return volatility of these companies, along with the stability of fluctuations, was analyzed across 16 sorted portfolios based on three characteristics: size, book value to market value (B/M), and financial leverage. Moreover, considering the leveraged structure of companies' balance sheets, the extent of the leverage effect was also examined in the context of the impact of good and bad news on return fluctuations. To investigate this, the hybrid model ARMA (p, q)-GJR-GARCH (1, 1)-M was employed in this study. The findings show that the volatility of returns and the stability of fluctuations within sorted portfolios vary across different groups. Furthermore, the impact of positive news on stock return volatility appears to be more significant in two specific portfolios: one comprised of big-sized companies with a high B/M and the other consisting of big-sized companies with a low B/M, compared to the impact of negative news. This disparity may be attributed to the dissemination of positive news in the market, where companies with big sizes and low B/M, due to their higher growth potential, and companies with big sizes and high B/M, owing to their substantial capital and stable financial performance, exert a greater influence on market expectations, thereby enhancing investor confidence.

کلیدواژه‌ها

Firm Value؛ Financial Leverage؛ Hybrid Asymmetric Conditional Variance؛ Return Volatility؛ Size