Investigating the relationship between book value and stock market value and skewness of stock returns in Tehran Stock Exchange

Master's Thesis in Accounting

Abstract:

The main purpose of this study is to investigate the tendency of investors to rely on skewness and to analyze the difference between the skewness graphs of different stock returns, which can be a measure of their investment preferences. The sample used in this study consists of 54 companies admitted to the Tehran Stock Exchange during the years 1388 to 1392, and SPSS and EViews software were used to test the hypotheses. The results of the research indicate that there is an inverse and semi-strong correlation between the ratio of book value to market value and the skewness of stock returns. In addition, stocks with a low book value to market value ratio have more positive skewness or less negative skewness compared to stocks with a high book value to market value ratio, and the lower the book value is to the stock market value, the more positive the stock return skewness becomes.

Introduction:

Because investment is one of the important factors of development in this century and in all countries, the movement and prosperity of the stock exchange is known as one of the indicators of the health and dynamism of the economy, for many years, various models have been proposed to evaluate the risk and return of stocks, and among the different models, many researchers have paid attention to the capital asset pricing model and the Fama and French three-factor model.

Price model Capital asset allocation is one of the stock return forecasting models that has been used for many years. In this model, it is assumed that investors can earn additional returns by bearing additional risk. The beta coefficient in this model has the necessary ability to predict stock returns, and other statistical characteristics of returns such as skewness and skewness do not affect the relationship between risk and return. Early empirical studies by Fama and McBeth (Fama and McBeth, 1973) confirmed the validity of the CAPM model. Despite this, the comprehensiveness of the CAPM model is now seriously questioned. The empirical evidence provided by Brook (Brook, 1995) and Fama and French (Fama and French, 1992) was presented, it shows that beta does not completely explain the changes in returns. Based on this, the two variables of company size and the ratio of book value to the market value of equity have been used as very important variables in predicting stock returns and have added to the explanatory power of the CAPM model. invest in the industry and company of your choice, pay as much as you want. In this research, the ratio of the book value to the market value is calculated, which can be used to provide methods and tools to help create profitable operations and continue them, or to limit the losses and losses of investors and encourage them to invest, when searching for profitable opportunities and a portfolio of optimal securities with high returns.

The purpose of this research is to identify and Investigating the relationship between the book value and the market value of the average stock return and its skewness in the Tehran Stock Exchange, so that investors, considering the impact and relationship of these factors with the stock return, can choose a stock that will give them the most income. The more research is done in this field, the more accurate the criteria will be, and as a result, the accuracy of investment decisions will also increase. If different variables are examined, the results can be a guide for investors and analysts to pay more attention to which variables and which variables are not very relevant. 1-2. Statement of the problem One of the most important and vital issues of any economic activity is the evaluation of the achievement of the set goals. Undoubtedly, this issue enters a new field with the increasing progress of economic activities, and the need to create more accurate and closer to reality methods is felt, and this feeling of need becomes the introduction to the creation of new methods of evaluation and completion of older methods (Ferguson and Rentzler, 2005).

For the economic growth of any country, it is necessary for people to invest their surplus income; therefore, every investor can obtain stocks with higher returns and less risk. Vared needs information about those shares. The information that exists about the shares of any company, or based on the internal information of that company.The information that exists about the shares of any company is either based on the internal information of that company or based on the external information of that company. The internal information of a company is reflected in its financial statements, such as the profit and loss statement and the balance sheet. External information of a company is also available in the stock market; that these internal and external factors affect stock returns and determine stock prices in the market. In this research, the value of the book, which is one of the company's internal information, is obtained from the financial statements, which are the main sources of information. The market value is also one of the external information of the company, with the help of these two factors, it is possible to show the investor how to choose stocks or portfolios with higher returns. Studies show that there is a relationship between stock returns and the ratio of book value to market value (Fama and French, 1992).

In this research, the tendency of investors to rely on skewness has been discussed and the difference between the skewness graph of the returns of different stocks, which can be a measure of their investment preferences. has been considered. In this research, based on the research and accounting calculations of the ratio of book value to market value, the skewness of stock returns has been estimated and calculated.

The present research is to find an answer to the question of whether there is a meaningful relationship between the skewness of stock returns and the ratio of book value to market value or not? have realized that one of the factors affecting sustainable growth and development is effective investment, and for economic growth it is necessary for people to invest their excess income. If there are suitable tools for analysis, the investor can invest in the industry and company of his choice by examining different industries in the stock market and choose his desired portfolio.

Despite many studies conducted in different countries (both developed and developing countries) about the relationship between risk and stock returns, the studies conducted In the Iranian capital market, there are only a few in this regard. In most capital market research (such as Rahimi 1374); Ghaemi 1379; Bagherzadeh 2014; Ra'i and Shuakhi 2015; Alchemy 2015; Farid and Dehghanizadeh 2017) the ratio of profit to price and the ratio of book value to market value have been used to study abnormal returns of the market, in addition, the results reported in this regard contradict each other. The present research has tried to fill this research gap in the financial literature of our country. Therefore, if by using appropriate tools or models, we can more accurately predict the variables necessary for decision-making, the financial resources will be directed in a more appropriate way and the market will move in the direction of efficiency.

Since the real value of the stock is not the same as its market value, and in reality, various and possibly unknown factors affect the valuation of the stock in the market and cause the ratio of the real value to the stock value in the market to deviate from the normal state, therefore, to better understand the factors and to know the impact of each factor, measure the amount The skewness of this ratio is important and in emergency situations it can be very helpful and clearer solutions can be proposed and applied based on practical knowledge (Zhang 2013).

1-4. Research objectives

It is one of the features of the capital market that worries the investor about the future of his capital, although obtaining high income is a positive factor and fluctuations are a negative factor in investment, but in any case, the ability to predict returns when the share as It is considered a major advantage for every investor, and knowledge of the influencing factors in this forecast is the wish of every investor. Researches in the financial field have attracted the attention and interest of a wide range of non-academic groups such as investors and analysts, legislative authorities such as the stock exchange and related regulatory bodies, the central bank, company managers and other users. and the skewness of stock returns and investigating the possibility of using the ratio of book value to market value as a substitute variable for risk in the capital market. In this way, we want to provide a suitable tool for analysis to investors in order to properly allocate financial resources to different investment options. 1-5. Research field 1-5-1.