per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-08-22
8
1
1
22
10.22099/jaa.2016.3848
3848
Research Paper
بررسی تأثیر کیفیت گزارشگری مالی و متقارن نبودن اطلاعات بر واکنش تأخیری قیمت سهام
Investigating the Effect of Financial Reporting Quality and Information Asymmetry on Stock Price Delay
عباس افلاطونی
abbasaflatooni@gmail.com
1
حجم اطلاعات موجود دربارهی شرکتها معمولاً زیاد است و بیشتر سرمایهگذاران، توانایی محدودی برای پردازش اطلاعات حجیم دارند. در این شرایط، آنان برای گرفتن تصمیمهای سرمایهگذاری وقت بیشتری صرف کرده، اطلاعات بیشتر و دقیقتری گردآوری میکنند. این موضوع موجب میشود تا اطلاعات با تأخیر زمانی در قیمتهای سهام انعکاس یابد. کیفیت نازل اطلاعات منتشرشده و نبودتقارن اطلاعاتی نیز به ابهام اطلاعات میافزاید و سرعت انعکاس اطلاعات را در قیمتهای سهام کاهش میدهد. این پژوهش، تأثیر کیفیت گزارشگری مالی و نبودتقارن اطلاعاتی را بر واکنش تأخیری قیمت سهام در بازهی زمانی 1382 تا پایان 1392، در نمونهای متشکل از 112 شرکت پذیرفتهشده در بورس اوراق بهادار تهران بررسی میکند. برای آزمون فرضیههای پژوهش از رگرسیونهای چندمتغیره با رویکرد دادههای ترکیبی استفاده شده است. یافتههای پژوهش نشان میدهند که افزایش در کیفیت گزارشگری مالی و کاهش در میزان نامتقارن بودن اطلاعات، کاهش واکنش تأخیری قیمت سهام را به دنبال دارد.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract Investigating the Effect of Financial Reporting Quality and Information Asymmetry on Stock Price Delay Dr. Abbas Aflatooni* Introduction In a perfect capital market where investors make decisions in a rational manner and there is complete information regarding the assets being traded, the information quickly is and fully reflected in stock prices. However, many studies (such as Barry and Brown, 1984; Akins, Ng and Verdi, 2012) indicate a lack of complete information on the markets. Incomplete and vague information affects stock prices at lower speeds and prevent from timely stock prices discovery (Verrecchia, 1980; Callen, Govindaraj and Xu, 2000). From the viewpoint of investors, some stocks that are more attractive than other stocks get the attention of most investors who follow the news and information on those stocks. In this condition, the news and information are reflected in the prices of mentioned stocks more quickly than other stocks. However, there are stocks that are less attractive to investors and the relevant information, thus their prices are adjusted in lower speeds. In accounting and finance literature, this subject is named Stock Price Delay (Hirshleifer, and Teoh, 2006; Callen, Khan, and Lu, 2012).The available information on firms is usually voluminous and the most of investors have limited ability to process the high volume of information. In this condition, in order to make investment decisions, they spend more time and collect further and precise information. This causes the information to be reflected in stock prices with time delay. Also, the low quality of issued information and information asymmetry increase the ambiguity of information and decrease the reflection rate of information on stock prices. The importance of research in this area arises from the fact that when information is reflected in the stock price with more delay, the informational efficiency of capital market will disappear. In this market the prices do not reflect the intrinsic value of stock and the capital markets cannot allocate their resources among firms optimally (Callen, Khan, and Lu, 2012). Therefore, identification of factors affecting the phenomenon of stock price delay and dealing with them can increase the informational and allocative efficiency of capital market. Research Hypotheses The purpose of this study is to investigate the effect of financial reporting quality and information asymmetry on stock price delay. To this end, based on the research objective, the theoretical framework and previous researches, the research hypotheses are as follows: H-1: The financial reporting quality is negatively associated with stock price delay. H-2: The information asymmetry is positively associated with stock price delay. To investigate and compare the effect of financial reporting quality and information asymmetry on stock price delay simultaneously, the third hypothesis is as follows: H-3: The intensity of the relationships between the financial reporting quality and information asymmetry with stock price delay are not significantly different from each other. Methods This research is an applied, quantitative and retrospective study. The research data are gathered from Rahavard Novin database, the Codal site, the site of Tehran stock exchange organization referring to its data archives. To measure the dependent variable (stock price delay), the approach of Hou, and Moskowitz (2005) is used. To calculate the information asymmetry, the presented measure by Venkatesh and Chiang (1986) is applied and to measure the financial reporting quality, data on disclosure quality scores, are obtained from TSE announcement of “Corporate Rating based on Disclosure Quality and Appropriate information”. This research, investigates the effects of financial reporting quality and information asymmetry on the stock price delay from 2003 to the end of 2013 in a sample including 112 firms listed in Tehran Stock Exchange. To test the research hypotheses, the multivariate regressions with panel data are applied. Results The research results show that the increase in financial reporting quality and decrease in information asymmetry among stock traders decreases the stock price delay. On the other hand, financial reporting quality (information asymmetry) is negatively (positively) related to stock price delay. Discussion and Conclusion In a capital market with rational investors and existence of complete information, such information is quickly and completely reflected in stock prices. However, the voluminous studies review the information imperfections (such as asymmetric information and low quality of information (e.g., Barry and Brown, 1984; Merton, 1987; Easley, Hvidkjaer, and O’Hara, 2002; Hou and Moskowitz, 2005; Lambert, Leuz, and Verrecchia, 2007; Akins, Ng, and Verdi, 2012). They find that the incomplete and ambiguous information decrease the reflection speed of information in stock prices. This research shows that the increase in reporting quality increases the reflection speed of information in stock prices and thus decreases the stock price delay. The reason is that an increase in reporting quality decreases the ambiguous aspects of information, thus the investors spend less time on process information and make less mistakes in stock pricing. This leads to the information to be more quickly and more accurately reflected in the stock price. These results are consistent with the findings of Callen, Khan, and Lu (2012), Javanmard, M., & Pourmousa (2013), Pourzamani and Ghamari (2014) and Hassas Yegane and Omidi (2014). Also, this research investigates the relationship between information asymmetry and stock price delay and finds that an increase in information asymmetry decreases the reflection speed of information in stock prices and increases the stock price delay. This is because in information asymmetry environment, to make investment decisions, investors are faced with a high degree of uncertainty and risk. For this reason, to decrease the risk of investment decisions, they spend more time and collect more accurate information causing the information to be reflected in the stock price with more time delay. This finding is comparable to the results of Gordon and Wu (2014). Also, the research results show that the relationship between financial reporting quality and stock price delay is significantly stronger than that of information asymmetry and the mentioned variables cannot be used interchangeably. Based on the research results and the negative consequences of stock price delay, the managers are advised to provide high quality financial reporting and prevent the mentioned phenomenon. Also, the practitioners of financial market are advised to select and execute the appropriate policies and increase the transparency of information because this leads to informational and allocative efficiency of capital market. Because of the importance of identification of factors affecting the stock price delay and dealing with them, the researchers are advised to study the effect of macroeconomics factors (such as exchange rate fluctuations, oil prices and inflation rate) on stock price delay. Keywords: Stock price delay, financial reporting quality, information asymmetry, incomplete information. * Assistant Professor of Accounting, Faculty of Economics and Social Sciences, Bu-Ali Sina University of Hamedan, Iran
https://jaa.shirazu.ac.ir/article_3848_4105ec4edf3009463cb3faa944406271.pdf
واژه های کلیدی: واکنش تأخیری قیمت سهام
کیفیت گزارشگری مالی
نبودتقارن اطلاعاتی
اطلاعات ناقص. 1. مقدمه
Keywords: Sticky Costs
Cost Adjustment Delay Theory
The Deliberate ecision Theory
Managerial Incentives Theory
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-08-22
8
1
25
48
10.22099/jaa.2016.3851
3851
Research Paper
بررسی فرضیههای چسبندگی هزینهها؛ شواهدی دربارهی انگیزههای سازمانی و انگیزههای شخصی مدیران
Investigating the Competing Theories of Sticky Costs:
Evidence of Organizational Incentives and Managerial Incentives
سیمین پورساسان
i.poursasan@stu-mail.um.ac.ir
1
رضا حصارزاده
si.poursasan@stu-mail.um.ac.ir
2
هدف این تحقیق، بررسی فرضیه­های چسبندگی هزینههاست. به همین منظور تعداد 775 سال- شرکت پذیرفتهشده در بورس اوراق بهادار تهران در بازهی زمانی سال 1385 تا 1392 بررسی شدهاند. این تحقیق با تمرکز بر نظریه­های تأخیر در تعدیل هزینه و تصمیمات سنجیده و انگیزهی شخصی مدیران، سعی دارد مناسب­ترین نظریه را در بورس اوراق بهادار تهران انتخاب کند. نتایج بررسی نظریهی تأخیر در تعدیل هزینه حاکی از آن است که شدت چسبندگی هزینه­ها با گذشت زمان کاهش مییابد. نتایج بررسی تصمیمات سنجیده نشان میدهد که چسبندگی هزینه­ها در شرکت­های پذیرفتهشده در بورس اوراق بهادار تهران، تابع تصمیمات مدیران ­نیست. نتایج بررسی نظریهی انگیزههای شخصی مدیران، بیانگر آن است که انگیزه­های شخصی مدیران در کاهش چسبندگی هزینه­ها اثری معنیدار ندارد؛ بنابراین نظریهی تأخیر در تعدیل هزینه درخصوص چسبندگی هزینه­ها در بورس اوراق بهادار تهران، از توان توضیح بیشتری برخوردار است.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract Investigating the Competing Theories of Sticky Costs: Evidence of Organizational Incentives and Managerial Incentives Simin Poursasan* Dr. Reza Hesarzadeh** Introduction Sticky costs describes a situation in which the price is resistant to change. In other words, when the costs reduction derived from low level of activities is less than costs increase derived from high level of activities, an asymmetric behavior may be seen which is known as sticky costs. Since there are various theories of sticky costs, the present study aims to assess theories of cost adjustment delay, deliberate decisions, and managerial incentives in all listed companies on Tehran Stock Exchange. According to cost adjustment delay theory, sticky costs in a short period of time is more than medium and long periods of time, and the sticky costs decreases with the time. According to deliberate decision theory, when managers face a problem such as sales reduction, they do not change conditions since they assume this reduction temporarily. It maintains the existing resources and brings about costs reduction in the long term. If managers change the conditions and decrease resources, they have to provide those resources in the periods of sales increase and thus, extra costs are imposed on the firm. Owing to the fact that re-providing these resources is time-consuming, firms may lose their sales opportunities to supply themselves with new resources. According to managerial incentives theory, earnings targets and managerial incentives can decrease sticky costs. The purpose of this study is to evaluate the competing theories about sticky costs. Inasmuch as till now the three theories of cost adjustment delay, deliberate decision, and managerial incentives had been proposed to explain the sticky costs, this study focusing on these theories tries to choose the best one to fit in Tehran Stock Exchange. Research Hypotheses Hypothesis 1: According to cost adjustment delay theory sticky costs, in a short period of time, is more than medium and long periods of time, and the sticky costs decreases with the time. Hypothesis 2: According to deliberate decision theory, if managers expect to increase sales in the future, sticky costs increases. Hypothesis 3: According to managerial incentives theory, earnings targets and managerial incentives can decrease sticky costs. Methods Target population of the research consisted of listed companies on the Tehran Stock Exchange among which 817 year-companies have been selected over a period from 2006 to 2013. Selected companies should not be among banks of financial institutions (investing companies, financial intermediations, holding or leasing). They should be active during research period without any change in their fiscal year. The present study is an applied correlational one whose data has been collected through financial statements, Rahavard Novin data base. Panel data technique has been applied in order to estimate the research model. Collected data has been analyzed by Excel software, and analyzed through the application of panel regression models and R software. Results In the first step the cost adjustment delay theory had been studied. On the basis of cost adjustment delay theory, sticky costs, in a short period of time, is more than medium and long periods of time, and the sticky costs decreases with the time. The results indicate that the severity of sticky costs in Tehran Stock Exchange listed companies in a short period of time is more than medium and long periods of time, and the sticky costs decreases with the time. Thus, first hypothesis is confirmed. In the second step, the deliberate decision theory was studied. According to deliberate decision theory, if managers expect to increase sales in the future, sticky costs increases. The results show that by inserting the variable of management optimism about future sales, the severity of sticky costs does not increase. Therefore, it can be stated that sticky costs in the companies accepted in Tehran Stock Exchange is not a function of deliberate decision of managers. Thus, second hypothesis is not confirmed. The influence of manager’s incentives on asymmetric behavior of costs in Tehran Stock Exchange has been also examined in this study. So in the third step, the managerial incentives theory is investigated. According to managerial incentives theory, earnings targets and managerial incentives can decrease sticky costs. The results suggest that managerial incentives does not have a significant effect on the decrease in sticky costs and earnings targets and managerial incentives cannot decrease sticky costs. Thus, third hypothesis is not confirmed. Discussion and Conclusion Findings suggest that the cost adjustment delay theory compared to the theories of deliberate decision and managerial incentives can offer a better explanation for the sticky costs of accepted companies in Tehran Stock Exchange. In other words, the costs are sticky in Tehran Stock Exchange due to inconsistency of the speed of costs and sales reduction, and costs do not decrease as fast as sales reduction. This fact can be more suitably explained through the application of cost adjustment delay theory, rather than other theories such as deliberate in Tehran Stock Exchange. * MSc, Accounting, Ferdowsi University of Mashhad, Corresponding author: si.poursasan@stu-mail.um.ac.ir ** Assistant Professor of Accounting, Ferdowsi University of Mashhad, Hesarzadeh@um.ac.ir
https://jaa.shirazu.ac.ir/article_3851_0bca0e3f90784796330910a3342b386d.pdf
واژهای کلیدی: چسبندگی هزینهها
نظریهی تأخیر در تعدیل هزینه
نظریهی تصمیمات سنجیده
انگیزههای شخصی مدیران
Keywords: Stock price delay
Financial reporting quality
Information asymmetry
incomplete information
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-08-22
8
1
49
70
10.22099/jaa.2016.3852
3852
Research Paper
صرف اندازه، صرف ارزش و صرف مومنتوم: شواهدی از مدلهای قیمتگذاری تجربی
Size, Value and Momentum Premiums: Evidence from Empirical Pricing Models
علی ثقفی
alisagafi@gmail.com
1
روح الله فرهادی
r.farhadi@gmail.com
2
عباس دادرس
dadras.abbas@gmail.com
3
چکیده وجود صرف اندازه و صرف ارزش و صرف مومنتوم در بازدهی اوراق بهادار، موضوعی کلیدی در آزمون مدلهای تجربی قیمتگذاری است. در این تحقیق با بهکارگیری رویکرد مطالعات پرتفویپژوهی و روش آزمون معناداری ضرایب رگرسیون (آمارهی t و آمارهی F) و با استفاده از نمونهی متشکل از 195 شرکت بورس اوراق بهادار تهران در دورهی ابتدای 1387 تا پایان 1392، پرتفویهای مبتنیبر اندازهB/M و پرتفویهای مبتنیبر اندازهمومنتوم ایجاد شد. با استفاده از عوامل ریسک مبتنیبر اندازه، نسبتB/M و مومنتوم (SML و HML و WML) بهعنوان متغیرهای سمت راست در معادلات رگرسیونی و بازده مازاد پرتفویهای ایجادشده مبتنیبر اندازه، نسبت B/M و مومنتوم بهعنوان متغیرهای سمت چپ، قدرت توضیحدهندگی مدل CAPM و مدل سهعاملی فاما و فرنچ (1993) و مدل چهارعاملی کارهارت (1997) بررسی شد. نتایج نشان داد که مدل سهعاملی نسبت به دیگر مدلها قدرت توضیحدهندگی بیشتری دارد و میتواند آلفا را بهطور معنادار حذف نماید.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract Size, Value and Momentum Premiums: Evidence from Empirical Pricing Models Dr. Ali Saghafi* Roohollah Farhadi** Abbas Dadras*** Introduction Existence of size, value and momentum premiums in equity returns is the key factor in tests of empirical pricing models. There is evidence that value stocks have higher returns than growth stocks (Fama and French, 1992). Banz (1981) found that stocks of small firms have higher returns relatively to stocks of big firms. Also, some studies show momentum (Carhart, 1997). In this research, risk factors are computed and capital assets pricing models such as CAPM, Fama and French Three-Factor Model and Four-Factor Model are tested. Research Hypotheses 1. Empirical assets pricing models can explain stock returns. 1.1. CAPM can explain stock returns. 1.2. Three-factor model can explain stock returns. 1.3. Four-factor model can explain stock returns. Methods By using portfolio studies approach and significant test of regression (t static and f static) and using 195 firms of TSE in 2008-2014, we create portfolios based on Size-B/M and portfolios based on Size-Momentum. Results Using risk factors (SML, HML, and WML) as right hand side (RHS) variables in the regression equations and excess returns of portfolios created based on size, B/M ratio, and momentum as left hand side (LHS) variable, we examined explanatory power of CAPM, three factor model of Fama and French (1993) and Four factor model of Carhart (1997). By examining the factors and results of the regression models, we find evidence of size effect for growth stocks, reverse size effect for value stocks, reverse value effect for small firms and value effect for big firms and finally reverse momentum effect was reported for all firms. The intercept coefficients of estimated pricing models (CAPM, three-factor and four-factor models) showed that only three-factor model can completely explain excess returns of portfolios. However, the explanatory power of the four-factor model was also reported. Therefore, among the pricing models, only three-factor model is not rejected. Discussion and Conclusion This research showed that the three-factor model has higher explanatory power than other models and can delete alphas (intercepts), but other models were rejected. Perhaps an explanation for the failure of pricing models is picking of pricing ratios in creating of portfolios. Specially, Hou et al. (2011) argue that the ratio used in creating of HML is an important decision in testing pricing models. For example, in creating of size-value matrix, Fama and French (1993) used earnings-price ratio (E/P) and the ratio of cash flow to price (CF/P) instead of B/M ratio and reports similar results. Given the failure of the models tested in this study, it is suggested researchers use other pricing models that consider other risk factors such as time risk. Keywords: 1. Size premium, 2.Value effect, 3. Reverse momentum effect, 4.Three-factor model, 5.Four-factor model * Professor of Management and Accounting, Faculty of Allame Tabatabai University ** Ph.D. Student of Financial Management, Allame Tabatabai University (Corresponding Author), rf.farhadi@gmail.com *** MSc of Financial Management Shahid Beheshti University
https://jaa.shirazu.ac.ir/article_3852_2be995b4cb7053de21c2c7ee21b7456b.pdf
واژهای کلیدی: صرف اندازه
اثر ارزش
اثر مومنتوم معکوس
مدل سهعاملی
مدل چهارعاملی
Keywords: free cash flow
Performance
institutional ownership
mutual relations
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-08-22
8
1
71
102
10.22099/jaa.2016.3853
3853
Research Paper
بررسی تأثیر سود پیشبینیشده در تعیین قیمت سهام شرکتهای پذیرفتهشدهی بورس اوراق بهادار تهران
Investigating the Effects of Predicted Profits on Stock Price of Listed Companies in Tehran Stock
رضا جامعی
frjamei@yahoo.com
1
غلامرضا مرادی فرد
2
با گسترش و افزایش اهمیت بازارهای سرمایه در شکلدهی به سرمایههای کوچک، شناسایی نحوهی رفتار سرمایهگذاران و قیمت سهام در بازار از اهمیت روزافزونی برخوردار شده است. در صورت­های مالی، بیش از هر اطلاعات دیگری، سود توجه سرمایهگذار را به خود جلب میکند. بنابراین سود پیشبینیشده برای سرمایهگذاران مهم است و میتواند به آنها در تصمیمگیری بهتر درزمینهی خرید یا فروش یا نگهداری سهم کمک نماید. هدف این پژوهش بررسی نقش سود پیشبینیشده در تعیین قیمت سهام شرکتهای بورس اوراق بهادار تهران است. نمونهی بررسیشده شامل 153شرکت طی سال­های ۱۳۸0تا۱۳۹۲ را در بر می­گیرد. تجزیهوتحلیل داده­ها ازطریق داده­های پانل است. همچنین همبستگی بین متغیر­ها ازطریق روش رگرسیونی پانل دیتا-مدلGLS بررسی شده است. نتایج حاصل از آزمون فرضیههای این پژوهش نشان می­دهد که سود پیشبینیشده در سطح اطمینان بالایی می­تواند متغیرهای قیمت سهام و حجم معاملات و تعداد خریداران را تحت تأثیر قرار دهد.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract Investigating the Effects of Predicted Profits on Stock Price of Listed Companies in Tehran Stock Exchange Dr. Reza Jamei* Gholmreza Moradifard** Introduction The main purpose of investing is getting return. Return consists of dividends and increase in stock price. Changing in stock price for investors is very important and factors like predicted profits may have an effect on stock price. So predicted profit for investors is important and this information can help them make better decisions or affect their decisions about buying, selling or holding a stock. Reactions of investors to predicted profit affect the market. In an efficient market, stock price reflects all information, and determining the real price of stock is the most important task of market; in non-efficient market some information and reactions of real and potential investors may affect stock price. Predicted profit may also affect volume of stock transaction and numbers of stock buyers. The study includes 153 Companies during the period of 1380-1392. Data is analyzed using Panel data; furthermore, the correlation between variables are investigated using regression. The aim of this paper is to investigate the effects of predicted profits on stock price of companies listed in the Tehran Stock Exchange. Research Hypotheses Research hypotheses are described as below: 1. There is a significant relationship between predicted profits and stock price. 2. There is a significant relationship between predicted profits and volume of stock transactions. 3. There is a significant relationship between predicted profits and number of stock buyers. Research Method In order to achieve the objective of the study we have used data of 153 listed companies on Tehran Stock Exchange for the period of 1380-1392 to test the above hypotheses. Collected data were analyzed with Eviews econometric software. The panel regression was used to test the hypothesis. Variables are: predicted profit, stock price volume of stock transaction and number of stock buyers. Results The results of regression analysis of the first hypothesis show that there is a positive relationship between predicted profits and stock price. At the beginning of the period one percent increase in predicted profits caused 18percent increase in stock price at 95 percent confidence level, but at the end of the period one percent increase in predicted profits resulted in 18 percent increase in stock price at 95percent confidence level. The results of regression analysis of the second hypotheses show that there is a positive relationship between predicted profits and volume of stock transactions; at the beginning of the period one percent increase resulted in 22 percent increase in volume of stock transaction at 95 percent confidence level, but at the end of the mentioned period one percent increase in predicted profits caused 36 percent increase in volume of stock transaction at 95 percent confidence level. The results of regression analysis of the third hypothesis show that there is a positive relationship between predicted profits and number of stock buyers. At the beginning of the period the Coefficient was not meaningful, but at the end of the period at 90percent confidence level, one percent increase in predicted profits caused 6 percent increase in number of stock buyers. Conclusion This study was conducted in order to investigate the effects of predicted profits on stock price of companies listed on the Tehran Stock Exchange. There are some limitations in predicted profit such as lack of the reliable information about companies listed on Tehran Stock Exchange, lack of major trading, companies' transactions were stopped temporary or in short term, because of sending information out of time. The information of companies in different resources is different and integration of this information is very difficult. The results of this paper can help real and potential stockholders decide properly and also stock market to determine the real stocks prices. According to the results, stockholders and stock buyers in Tehran Stock Exchange pay particular attention to the predicted profit. This predicted profit is the most important factor that affected the volume of stock transaction, number of stock buyers and finally stock price. Keywords: Predicted Profit, Stock Price, Volume of Stock Transaction. * Assistant Prof. of Accounting, University of Kurdistan (UOK) ** Islamic Azad University, Sanandaj Branch
https://jaa.shirazu.ac.ir/article_3853_0ed36bce6bee6b9479e16989cf2e16a4.pdf
واژههای کلیدی: سود پیشبینیشده
تعیین قیمت سهام
حجم معاملات سهام
تعداد خریداران سهام
Keywords: Predicted Profit
Stock Price
Volume of Stock Transaction
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-08-22
8
1
103
125
10.22099/jaa.2016.3854
3854
Research Paper
بررسی رابطهی بین گرایش احساسی سرمایه گذاران و قیمت سهام شرکتهای پذیرفتهشده در بورس اوراق بهادار تهران
An Investigation of the Relationship between Investor Sentiment and Price Stocks in Tehran Stock Exchange (TSE)
محمد حسین ستایش
setayesh@rose.shirazu.ac.ir
1
کاظم شمس الدینی
kshams@uk.ac.ir
2
هدف اصلی این پژوهش، بررسی رابطهی بین گرایش احساسی سرمایه­گذاران و قیمت سهام شرکت­ها است. به همین منظور، با استفاده از دادههای مربوط به 111 شرکت طی دورهی زمانی 1385تا1392، تأثیر متغیرهای مربوط به شاخص گرایش احساسی سرمایه­گذاران بر قیمت سهام شرکت­ها، با استفاده از مدل رگرسیون چندگانه بررسی میشود. نتایج پژوهش نشان داد که متغیرهای اثر مومنتوم و صرف ارزش سهام از دیدگاه نسبت سود به قیمت هر سهم (P/E)، دارای ارتباط مثبت معنادار و متغیر اثر زیان­گریزی دارای ارتباط منفی معناداری با قیمت سهام می­باشند؛ اما بین سه متغیر اثر برگشت بلندمدت و اثر اندازه و صرف ارزش سهام از دیدگاه نسبت سود به خالص جریان­های نقدی هر سهم (P/CF) با قیمت سهام رابطهی معناداری یافت نشد. علاوهبراین، متغیر نرخ بازده دارایی­ها ارتباط مثبت و نرخ بازده فروش ارتباط منفی با قیمت سهام دارد. بین دو متغیر نسبت سرمایه در گردش به دارایی­ها و نرخ رشد دارایی­ها با قیمت سهام، رابطهی معناداری یافت نشد.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract An Investigation of the Relationship between Investor Sentiment and Price Stocks in Tehran Stock Exchange (TSE) Dr. Mohammad Hossein Setayesh * Kazem Shamsaddini** Introduction Behavioral finance commonly defined as the application of psychology to finance models and interprets phenomena ranging from individual investor conduct to market-level outcomes. Investors can greatly benefit from the application of behavioral finance to their unique situations. The traditional view on stock return proposes that stock price changes due to systematic changes in the fundamental value of the firm. But recent papers report that investor sentiment plays an important role in determining prices especially for the small cap stocks. This paper attempts to investigate the effect of investor sentiment on the price of stocks. In other words, the aim of this study is to investigate the relationship between the investor’s sentiment and price stocks in companies listed in Tehran Stock Exchange Market (TSEM). Research Hypotheses In order to achieve the objective of this research, the present study has one primary hypothesis and six secondary hypotheses. Main hypothesis: “there is a significant relationship between the investor sentimentand price stocks”. Secondary hypotheses: H1: There is a significant relationship between the effect of loss averse and price stocks. H2: There is a significant relationship between the effect of long term reversals and price stocks. H3: There is a significant relationship between the effect of momentum and price stocks. H4: There is a significant relationship between the effect of size and price stocks. H5: There is a significant relationship between the value premium (price/earnings) and price stocks. H6: There is a significant relationship between the value premium (price/cash flow) and price stocks. Method The present research is conducted following a quasi-experimental research design. Statistical population of this research includes the firms accepted in Tehran Stock Exchange. The study period is between the years 1385 to 1392 and 111 companies were investigated. In order to analyze the hypotheses, linear regression and t-test have been used. The collected data was calculated using the Excel software and was analyzed by EVIEWS8 and SPSS19. Result The results of this research show that at confidence level of 95%, there is a significant positive relationship between the effect of momentum, value premium (price/earnings), and price stocks. Also there is a significant negative relationship between effect of loss averse and price stocks. But there is no significant relationship between the effect of long term reversals, the effect of size, value premium (price/cash flow) and price stocks. In addition, the results of research concerning control variables show that there is a negative relationship between ROS and price stocks, but there is a positive relationship between ROA and price stocks. Discussion and Conclusion Results from research hypotheses approve relationship between investor’s behavior and price stocks. In other words, current study shows that investor sentiment has an effect on price stocks. Obtained results emphasize that three variables including effect of momentum, value premium (price/earnings), and value premium (price/earnings) are significant in calculated price stocks. But three variables include the effects of long term reversals; value premium (price/cash flow) and effect of size are not significant. Keywords: Investor Sentiment, price stocks, Behavioral finance, Tehran Stock Exchange Market (TSE). * Associate Prof. of Accounting Department, Shiraz University ** Faculty Member of Accounting Department, Shahid Bahonar University of Kerman, kshams@uk.ac.ir
https://jaa.shirazu.ac.ir/article_3854_dd85dafefe272ef10a88179845829ffb.pdf
واژههای کلیدی: گرایش احساسی سرمایهگذاران
قیمت سهام
مالی رفتاری
بورس اوراق بهادار تهران
Keywords: free cash flow
Performance
institutional ownership
mutual relations
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-08-22
8
1
127
158
10.22099/jaa.2016.3855
3855
Research Paper
نابهنجاری های بازار و بازده های غیرعادی
Market Anomalies and Abnormal Returns
داریوش فروغی
foroghi@ase.ui.ac.ir
1
علیرضا رهروی دستجردی
alireza18467@gmail.com
2
بازده های آتی بررسی شود؛ لذا » غیرعادی بودن « در مقالهی حاضر، سعی شده است مفهوم به بررسی این موضوع پرداخته شده است که آیا متغیرهایی که شاخص نابهنجاری در باازار هستند، بازده آتی را در همان جهتی پیش بینی می کنند که سود آتی یا رشد در سود آتای را پیش بینی کرده بودند یا خیر. اگر این همجهتبودن اثبات شود، میتاوان نتیجاه گرفات نیست؛ بلکاه باازدهی » بازده غیرعادی « بازدهی که به وسیله ی این متغیرها پیش بینی شود است که طبق پیش بینی باید به وقوع بپیوندد )بازده موردنیااز (. بارای ایان منظاور، چهاار فرضیه تدوین شده است و نمونهای متشکل از 47 شرکت از شارکت هاای پذیرفتاه شاده در بورس اوراق بهادار تهران انتخاب شده اند و طی سال های 2831 تا 2831 بررسی گردیده اناد . نتایج نشان می دهد که متغیرهای اقلام تعهدی سرمایه در گردش، روند حرکت بازده سهام، تأمین مالی خارجی و بازده دارایی ها توانسته اند سود آتی و بازده آتی و رشد در بازده آتی را در یک جهت به صورت معنادار پیش بینی کنند. این موضوع نشان می دهد که باازدهی کاه به وسیله ی این متغیرها پیش بینی شود، بازده غیرعادی نمی باشد و کاملاً با فرض انتظارات عقلایی منطبق است.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract Market Anomalies and Abnormal Returns Dr. Dariush Foroghi* Alireza Rahrovi Dastjerdi** Introduction As mentioned in prior studies, there is not one accepted model that presents a measure for expected return by withstanding a certain level of risk. Now a new approach has been provided by Penman and Zhou (2014) that the accounting variables are linked to the expected return. In this approach if the market assesses the earnings along with the risk, then the variables that predict earnings and earnings growth, will also be able to predict the return. They argue that if it is proven that the aforementioned factors predict future earnings and earnings growth in the same direction that predicted future returns, it will be proven that the return predicted by these variables is not abnormal. Research Hypotheses The main question of this research is to investigate whether the variables that predict future earnings or growth in future earnings can predict future returns and future realized returns in the same manner. This article is based on sign of predictive variables in predicting future earnings and comparison with the predicted future returns. Accordingly, the following four hypotheses were explained and tested: Hypothesis 1: The variables that predict future earnings are able to predict future returns in the same direction. Hypothesis 2: The variables that predict future earnings growth are able to predict future returns in the same direction. Hypothesis 3: The variables that predict future earnings are able to predict future realized returns in the same direction. Hypothesis 4: The variables that predict future earnings growth are able to predict future realized returns in the same direction. Method The time period used in this study is the 11-year period between 2003 and 2013 and last year for estimating models is 2011. The population of this research consists of the companies listed in the Tehran Stock Exchange. A sample was selected from this population using screening method. Four models were specified for predicting each of the four indexes (future earnings, future earnings growth, future return and future realized return) and were estimated using pool and panel data approach. The variables in these four models that were indexes of anomaly variables include: Working capital accruals, Change in net operating assets, ROA, Investments, Net shares issuance, External Financing and Momentum. Then the probability and the sign of these variables in these four models were compared mutually and each of the hypotheses were investigated using these signs. Results Results showed that four variables (Accruals, External Financing, Momentum and ROA) which are able to forecast the future earnings are also able to forecast future return in the same direction. Therefore that return is predictable and referred to as "abnormal" is not suitable for them. But that return would be "required return" according to Penman and Zhou (2014). That means the return of which is expected to occur. For this reason, it is clear that this return is consistent with the hypothesis of rational expectations. Discussion and Conclusion According to our results, researchers and investors should note that market inefficiency is detectable not only through the accounting variables but also through investigating whether these returns are consistent with the hypothesis of rational expectations. Consistency of returns with the assumption of rational expectations is an important condition which is usually ignored in this field. * Associate Professor of Accounting, University of Isfahan, Corresponding Author: foroghi@ase.ui.ac.ir ** PhD Student of Accounting, University of Isfahan
https://jaa.shirazu.ac.ir/article_3855_cdcf1dc4d34fab106f0ccb091dd518cc.pdf
واژه های کلیدی: متغیرهای نابهنجاری
بازده غیرعادی
بازده موردنیاز
فرض انتظارات عقلایی
Keywords: Anomaly Variables
Abnormal Return
Required Return
The Assumption of Rational Expectations
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-05-21
8
1
159
188
10.22099/jaa.2016.3856
3856
Research Paper
برآورد احتمال برگشت زیان در شرکتهای پذیرفتهشده در بورس اوراق بهادار تهران
Estimate of Probability of Loss Reversal in Listed Companies in Tehran Stock Exchange
محمود لاری دشت بیاض
m.lari@um.ac.ir
1
مهدی صالحی
salehimahdi_ir@yahoo.com
2
محمد حسین ذوالفقار آرانی
ho.zo.mail@gmail.com
3
هدف از انجام این پژوهش، بررسی ارتباط بین ویژگیهای شرکتهای زیانده و احتمال رسیدن به اولین سود در سالهای بعد از زیان است. این پژوهش براساس اطلاعات منتشرشدهی شرکتهای پذیرفتهشده در بورس اوراق بهادار تهران، در بازهی زمانی سالهای 1382تا1392 با نمونهی انتخابی شامل 72 شرکت انجام پذیرفته است. روش آزمون فرضیهها رگرسیون لوجستیک و رگرسیون تعمیمیافته (مدل آمیختهی خطی) است. نتایج آزمون فرضیههای مربوط به مدل برگشت زیان این تحقیق حاکیاز وجود رابطهی مثبت و معنادار میان سطح سرمایهگذاری شرکتهای زیانده در داراییهای سرمایهای و احتمال برگشت زیان و وجود رابطهی منفی و معنادار میان سطح محافظهکاری حسابداری و احتمال سودآورشدن و همچنین، وجودنداشتن رابطه میان هزینههای خاص (تحقیق و توسعه، تبلیغات، اختراعات و اکتشافات) و احتمال برگشت زیان است.
Keywords: Anomaly Variables, Abnormal Return, Required Return, The Assumption of Rational Expectations Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract Estimate of Probability of Loss Reversal in Listed CompaniesinTehran Stock Exchange Dr. Mahmood Lari Dashtbayaz* Dr. Mehdi Salehi** Mohammad Hossein Zolafaghari Arani*** Introduction One of the main objectives of financial accounting is to provide information for financial analysts to decide on economic issues. Loss firms’ investors are always faced with this decisions to continue or leave their investment in the loss firms. These decisions are directly affected by their assessment of likely to be profitable loss firm in future periods. This study aims to develop a model of the loss reversal, through which can be calculated the possible to profitable loss reversal with information disclosed by listed companies in Tehran Stock Exchange. In particular, we've tested the accuracy of prediction adjusted models loss reversal to the level of its effectiveness to be invoked as a tool to analyze the financial statements. Research Hypotheses H1: The likelihood of loss firms becoming profitable in the following period is negatively associated with firms’ reported level of specialized investment assets. H2: The likelihood of loss firms becoming profitable in the following period is negatively associated with firms’ past and current level of accounting conservatism Method The JP model was adopted and extended in order to examine the hypotheses. Specifically, variables measuring loss firms’ investment in specialized assets, capital expenditures and level of accounting conservatism were included in the JP model as additional explanatory variables. The modified JP model models one-year-ahead loss reversal on current and past accounting information. It is stated as follow: Results Results indicate that a particular investment is likely to make the company experience a further loss of continuity. Accounting conservatism, as well as a regular feature of financial reporting, is positively related to future loss reversal. Discussion and Conclusion Investors of loss firms face abandonment decision based on their assessment of the probability of future loss reversal. This research examined factors that are associated with the likelihood of future loss reversal for Iranian loss firms. This research has several implications. First, Iranian investors can adopt a set of accounting factors developed in the literature to assess the likelihood of future loss reversal in the Iranian market. These factors cover loss firms’ past performance, loss patterns, dividend payment and reported tax items. Second, given the high incidence of loss firms that are investment intensive (Darrough and Ye, 2007; Wu et al., 2010), loss firms’ investment activities indicating the different stages of investment may be exploited in assessing the likelihood of future loss reversal. Investors should consider lowering their expectation. Given the prevalence and diversity of loss firms in the Iranian market, future research can expand the set of factors useful in predicting future loss reversal. The current research examines the probability of loss reversal. Future research can investigate the probability of loss reversal in the longer term. This calls for the development of industry specific loss reversal models in future studies. Another possible research direction relates to investors’ expectation of loss reversal. As shown in prior literature, there are factors such as analyst coverage that could potentially mitigate the underestimation of loss persistence. Future research can explore this arena. Keywords: Probability of Loss Reversal, Stock Return, Accruals, R & D, Operating cash flow,Degree of accounting conservatism. * Assistant Prof. of Accounting, Ferdowsi University, m.lari@um.ac.ir ** Assistant Prof. of Accounting, Ferdowsi University, mehdi.salehi@um.ac.ir *** MSc Student of Accounting, Ferdowsi University, ho.zo.mail@gmail.com
https://jaa.shirazu.ac.ir/article_3856_c2b9e278fd06fc6efc4bfefb6d3c2587.pdf
واژههای کلیدی: احتمال بازگشت زیان
اقلام تعهدی
هزینهی تحقیق و توسعه
جریان نقدی عملیاتی
درجهی محافظهکاری حسابداری
Keywords: Probability of Loss Reversal
Stock return
Accruals
R & D
Operating cash flow
Degree of accounting conservatism
per
پیشرفتهای حسابداری
2008-9988
2716-9626
2016-05-21
8
1
189
223
10.22099/jaa.2016.3857
3857
Research Paper
بررسی تعامل بین جریان نقدی آزاد و عملکرد شرکتهای پذیرفتهشده در بورس اوراق بهادار تهران با استفاده از سیستم معادلات همزمان سهمرحلهای (3SLS)
Extended Abstract
A Study of the Interaction between Free Cash Flow and Performance of Companies Listed in Tehran Stock Exchange Using a Three-Stage System of Simultaneous Equations (3SLS)
محمد نمازی
mnamazi@rose.shirazu.ac.ir.
1
احمد شکراللهی
ahmad1sh@yahoo.com
2
پژوهش حاضر، تقابل بین جریان نقدی آزاد و عملکرد را به همراه سایر عوامل اثرگذار بر این رابطه بررسی میکند؛ به بیان دیگر، این پژوهش افزونبر بررسی رابطهی متقابل (دوطرفه) بین جریان نقدی آزاد و عملکرد، عوامل اثرگذار بر این رابطه را نیز شناسایی میکند. به این منظور، از روش نیمهتجربی دربازهی زمانی 1380تا1392 برای 1716 سال-شرکت بورس اوراق بهادار تهران بهصورت دادههای ترکیبی استفاده شده است. همچنین، به دلیل وجود اریب همزمانی در متغیرهای درونزای پژوهش برای آزمون فرضیهها، سیستم معادلات همزمان سهمرحلهای (3SLS) بهکار گرفته شده است. نتایج حاصل از آزمون فرضیههای پژوهش، حاکی از منفی و معنادار بودن اثر متغیر عملکرد بر متغیر جریان نقدی آزاد و متقابلاً منفی و معنادار بودن اثر متغیر جریان نقدی آزاد بر متغیر عملکرد است؛ بنابراین، این دو متغیر یکدیگر را تضعیف میکنند. افزونبر این، نتایج نشاندهندهی اثر معنادار و متفاوت ساختارهای مالکیت (شامل تمرکز مالکیت و سطح مالکیت) بر رابطهی یادشده است. به عبارت دیگر، برخلاف متغیرهای تمرکز مالکیت که یک قدرت تکقطبی را در شرکت به وجود میآورند، سطح مالکیت بهمنزلهی یک قدرت چند قطبی میتواند اثری ارزشآفرین بر رابطهی متقابل بین جریان نقدی آزاد و عملکرد داشته باشد.
Journal of Accounting Advances (J.A.A) Vol. 8, No. 1, 2016, Ser. 70/3 Extended Abstract A Study of the Interaction between Free Cash Flow and Performance of Companies Listed in Tehran Stock Exchange Using a Three-Stage System of Simultaneous Equations (3SLS) Dr. Mohmmad Namazi* Ahmad Shokrollahi** Introduction This study examines the contrast between free cash flow and performance, along with other factors affecting this relationship. In other words, this study is investigating the interaction of (bilateral) between free cash flow and performance and also identifies factors enhancing this relationship. As a result, this study is seeking to provide a practical approach in the determination of free cash flow in order to maximize corporate value and examines the importance of free cash flow and the company's performance more precisely. Research Hypotheses According to the research, theory and literature, there is a mutual and bilateral relationship between free cash flow and the company's performance. If one changes, the other will be affected. In addition, there are other variables that affect this relationship. Therefore, the hypothesis of the study is as follows: A. Hypothesis related to endogenous variables (free cash flow and performance): 1. There is a reciprocal and significant relationship between free cash flow and performance. B. Hypotheses related to exogenous variables: 2. There is a reciprocal and significant relationship between free cash flow and debt policy 3. There is a reciprocal and significant relationship between free cash flow and size of the company 4. There is a reciprocal and significant relationship between free cash flow and concentration of ownership 5. There is a reciprocal and significant relationship between free cash flow and level of ownership 6. There is a reciprocal and significant relationship between free cash flow and managerial ownership 7. There is a reciprocal and significant relationship between free cash flow and governmental ownership Research Method The semi-empirical method for the period from 1380 to 1392 which included 1716 companies in Tehran Stock Exchange was used with the panel data. Also, because of the simultaneous bias in endogenous variables a three-stage system of simultaneous equations (3SLS) was used to test the hypothesis. The variables of this study are endogenous and exogenous variables. Free cash flow and performance variables have the mutual influence on each other, and also are influenced by other variables. Therefore, they have the role of endogenous variables in the system. But, other variables (debt policy, the size of the company, the level of institutional ownership, institutional ownership concentration, managerial ownership and state ownership) only posit an effect on endogenous variables and are not affected by other variables so their role is exogenous. Results The results of testing the hypothesis showed a significant and negative effect of the performance on free cash flow and also free cash flow have significant and negative effect on the performance. So, these two variables are weakening each other. In addition, the results showed a significant and different effect of unipolar and multipolar ownership structures on the above relationship. In other words, unlike the ownership concentration variables which create a unipolar power in the firm, the level of ownership as a multipolar power could have value-creating effect on the relationship between free cash flow and performance. Discussion and Conclusion Given that the effect of institutional ownership concentration on performance variable is negative and significant, it is concluded that when there is a dominant power in the company, it could not be value-creating for the company. It means this power applies generated cash flow to their personal interests. On the other hand, the positive effects of levels of institutional ownership on performance suggested that when many kinds of power existed in a company, they prevent creating unused cash flow, and cash flow would be directed to the projects with a high return. Therefore, based on the result of the study, it is suggested for value maximizing of the company that the level of institutional ownership to be increased. The results of this study are in accordance with Jensen’s theory of free cash flow, approving the impact of liabilities policy on the free cash flow management. Furthermore, the results showed that the volume of operations, and in turn the growth opportunities, are the enhancing factor for directing the free cash flow to the suitable projects. Keywords: free cash flow, performance, institutional ownership, mutual relations. * Professor of Accounting, Shiraz University. Corresponding Author: mnamazi@rose.shirazu.ac.ir. ** M. A. in Accounting, Shiraz University.
https://jaa.shirazu.ac.ir/article_3857_0f4b35350b96e6583bd40fdd6ee10dc3.pdf
واژههای کلیدی: جریان نقدی آزاد
عملکرد
مالکیت نهادی
روابط متقابل
Keywords: free cash flow
Performance
institutional ownership
mutual relations