مدلسازی پویایی خطی سودهای باقیمانده حسابداری

امری اسرمی, محمد; آقائی, محمد علی

doi:10.22099/jaa.2020.36382.1992

مدلسازی پویایی خطی سودهای باقیمانده حسابداری

نوع مقاله : مقاله پژوهشی

نویسندگان

¹ استادیارگروه حسابداری ، دانشگاه سمنان، سمنان، ایران.

² دانشیارگروه حسابداری ، دانشگاه تربیت مدرس،تهران،ایران

10.22099/jaa.2020.36382.1992

چکیده

مفهوم مازاد خالص و مازاد ناخالص سودهای حسابداری، پایه‌های مدل حسابداری حقوق صاحبان سهام را تشکیل می-دهد، این مفاهیم و پویایی خطی اطلاعات سودهای حسابداری براساس فرایند وینر با استفاده از مبانی مکتب نئوکلاسیک اقتصادی بررسی می‌شود. قیمت سهام را می‌توان به متغیر‌های ارزش دفتری سهام، سودهای حسابداری و سودهای نقدی پیوند داد، ۱۶۰ شرکت پذیرفته شده در بورس اوراق بهادار تهران طی سال‌های 1389 تا 1397بعنوان نمونه انتخاب شده است. نتایج نشان می‌دهد در مدل اطلاعات سودها، برای ارزش دفتری سهام یک دوره قبل، ضریب مثبت و برای ارزش دفتری سهام جاری، ضریب منفی و بطورکل برای تغییر در ارزش دفتری سهام، ضریب مثبت ایجاد شده است، که نشان‌دهنده پویایی اطلاعات سودها است. سودهای غیرعادی با سود دوره قبل و ارزش دفتری سهام دوره قبل و همچنین با ارزش دفتری سهام دوسال قبل همبستگی دارد. بنابراین علامت ضرایب در مدل پویایی اطلاعات سودها مستقل از عامل حذف اثر تورم اقتصادی خواهد بود. محافظه‌کاری مستتر در پویایی اطلاعات بر علامت ضرایب مدل پویایی تاثیر ندارد اما وزن‌های ارزش دفتری سهام و سودهای غیرعادی به تعدیلات ناشی از سیاست‌های محافظه‌کاری حسابداری مربوط است. هرچه پویایی خطی اطلاعات بیشتر باشد، فرصت‌های آربیتراژ در بازارهای سرمایه کاهش می‌یابد، لذا، سبب افزایش رقابت در بازار و کاهش رانت‌های اقتصادی می‌شود.

کلیدواژه‌ها

20.1001.1.20089988.1399.12.1.3.0

عنوان مقاله [English]

Modeling the linear dynamics of accounting residual income

نویسندگان [English]

Mohammad Amri Asrami ¹
Mohammad-Ali Aghaei ²

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

² Associate Professor of Accounting, Management and Economics Faculty, Tarbiat Modares University

چکیده [English]

Journal of Accounting Advances, (2020) 12(1): 63-94
DOI: 10.22099/JAA.2020.36382.1992
Journal of Accounting Advances (JAA)
Journal homepage: www.jaa.shirazu.ac.ir/?lang=en
Modeling the Linear Dynamics of Accounting Residual Income

ARTICLE INF
ABSTRACT
Received: 2020-2-26
Accepted: 2020-10-11
The concepts of net surplus and the dirty surplus of accounting earnings form the bases of the equity accounting model. These concepts and linear dynamics of accounting earnings are examined based on the Wiener Process using the economic fundamentals of the Neoclassical School. Stock prices are linked to the variables of stock book value, accounting earnings, and cash dividends, a total of 160 companies listed in Tehran Stock Exchange during 2010-2018 were selected as samples. The results show that in the earnings information model, a positive coefficient for a lagged book value and a negative coefficient for the current book value and, in general, a positive coefficient for the change in the book value are created, which indicate the dynamics of earnings information. The current abnormal earnings are correlated with last year's earnings and a lag book value, and also two lag book values. Therefore, choosing the factor that eliminates the effect of economic inflation is independent of the sign of the coefficients in the information dynamics. The conservatism in the dynamics of information does not affect the sign of these parameters, but the weights of book value and abnormal earnings are related to conservative adjustments. The greater the linear dynamics of information, the fewer arbitrage opportunities there are in capital markets, which increases competition in the market and reduces economic rents.
1- Introduction
       The dynamics of accounting earnings information varies with accounting policies, cash dividend distribution policies, and environmental factors. The present study investigated the concept of clean surplus earnings, dirty surplus earnings, and linear information dynamics of accounting earnings based on the Wiener Process using the economic fundamentals of the Neoclassical School.
       According to Pope and Wong (2005), Klub (2012), Ashton and Wong (2013), the linear dynamics structure used in the residual income valuation model requires two lags related to book value. Therefore, the prerequisite for introducing accounting earnings-based valuation models is to prove the linear dynamics of accounting information and the linear dynamics of accounting earnings information. Various environmental factors affect the dynamics of earnings information; in modeling information dynamics, past research has often yielded contradictory results. According to Ashton and Wong (2013, 2015), the main reasons for achieving inconsistent results in previous studies are misdiagnosis and inappropriate econometric models. Prior period accounting information affects the dynamics of current period accounting information but is often overlooked in modeling.

2- Hypotheses
Accounting policies cause shocks to accounting income, and this leads to (permanent and temporary) shocks to accounting information and thus has a significant effect on the dynamics of earnings, accounting information, and valuation. So, current accounting information and a lag of accounting information are a function of accounting policies. Therefore, accounting policy changes the accounting earnings, and then it changes the coefficients, that is, the dynamics of the earnings information changes. According to the above argument, the dynamics of accounting earnings information indicates that current accounting earnings are a function of last year’s accounting information. So, the following hypotheses can be stated:
The central hypothesis: Accounting policies moderate the linear dynamics of accounting information and abnormal earnings.
H1: Conservative accounting policies moderate the relation between current book value and abnormal earnings.
H2: Conservative accounting policies moderate the relation between book value for the last period and abnormal earnings.

3- Methods
To examine the linear dynamics of accounting earnings information, a panel database of 160 companies over the period 2010-2018, with a total of 1440 firm-year observations for sample firms, was compiled. Research variables were calculated using Excel software, and the results were used as inputs of Eviews10 software. Three factors of book value per share, price per share, and book value per share of the last year were used to standardize model variables, eliminate the inflation effect and control the internal contradiction of accounting variables. Before running the analysis, the classic assumptions of regression, the stationary assumption of variables, the collinearity of variables were examined, and all of them were at an acceptable level. After the implementation of the Chow and the Hausman test, panel data regression models with fixed effects were chosen.

4- Results
Abnormal earnings dynamics and the changes of book value per share were reported separately by a lag book value and current book values per share and a non-standard combination. Based on the theoretical predictions, and the first and second hypotheses, when the deflator in equation (17) is π = p < sub>t, then, , and . And when the deflator in equation (15) is π = b_t, then, , These statements test the hypothesis I and II simultaneously. The results show a positive and significant coefficient for related to lagged book value, and a negative and significant coefficient for related to current book value, and the appears on the positive domain. Therefore, the first and second hypotheses of the study are confirmed. Thus, according to the new modeling proposed in this study, conservatism in accounting policies modifies the linear dynamics of accounting earnings information and equity book values over the period studied.

5- Conclusion
       In this study, to standardize the model’s variables and control inherent heteroskedasticity in the accounting variables, three factors were used to deflate the variables, including equity book value per share, price per share, and lagged equity book value per share. In so doing, the dynamics of information will reflect the conservative nature of accounting. The results show that for the lagged book value, the positive coefficient and for the current book values, the negative coefficient and, in general, for the change in the book value, the positive coefficient appeared. This issue refers to the independence of the deflator on the sign of coefficients. So then, it does not matter which deflator is used; however, the conservatism in the dynamics of information does not affect the sign of these parameters. Therefore, the weights of book value and residual income are related to conservatism adjustments; weights indicate the degree of dynamics. Hence, the dynamics of earnings information, i.e., the forward residual income is not only associated with a lagged earnings and a lagged book value but also to two lags of book value.
       In the linear modeling of the information dynamics, some significant relations in the models appeared for the abnormal earnings with book value changes, and strange earnings information with current book value. Hence, the formulation introduced in the linear information dynamics based on the residual income model is consistent with the basics of accounting conservatism effects on linear dynamics of accounting earnings information.

Keywords: Earnings Information Dynamics, Accounting Earnings, Accounting Conservatism, Residual Income.

مراجع

الف. فارسی

آقایی، محمدعلی؛ احمدیان، وحید و سفیدگران، میرسعید. (1396). تأثیر پیچیدگی و پویایی محیطی بر رابطه مدیریت سود و عدم تقارن اطلاعاتی. دانش حسابداری مالی، 4(4)، 1-23.

احمدی، ‌یاسر؛ بنی‌مهد، ‌بهمن؛ طالب‌نیا، ‌قدرت‌اله و پورزمانی، ‌زهرا. (1399). تأثیر مدیریت سود بر رابطه میان خطای پیش‌بینی سود و محافظه‌کاری حسابداری. حسابداری مدیریت، 45(13)، 201–217.

اسعدی، ‌عبدالرضا. (1397). بررسی ارتباط پویای متغیرهای شرکتی با سیاست تقسیم سود با استفاده از مدل گشتاور تعمیم یافته (GMM). تحقیقات حسابداری و حسابرسی، 39(10)، 93–110.

فروغی، داریوش؛ امیری، هادی و ابراهیمیان، آزیتا. (1396). پایداری سود و اجزای تشکیل‌دهنده آن در سطح صنعت و شرکت. پیشرفت‌های حسابداری، 9(2)، 63–92.

مهرانی، ساسان و حصارزاده، رضا. (1390). نوسانات سود و امکان پیش‌بینی سود. دانش حسابداری، 2(6)، 27–42.

نبویان، سید مرتضی؛ نبوی چاشمی، سیدعلی؛ داداشی، ایمان و محسنی ملکی، بهرام. (1399). کاربرد مدل لینتنر در سنجش سرعت تعدیل سود با استفاده از رگرسیون غلتان در شرایط بحرانی. حسابداری مدیریت، 13(44)، 217–232.

نیکبخت، محمدرضا؛ قاسمی، علی و ایمانی برندق، محمد. (1399). تأثیر خطای پیش‌بینی سود مدیریت بر پایداری اجزای نقدی و تعهدی سود و ارزشیابی بیش از حد سهام. پژوهشهای حسابداری مالی وحسابرسی، 12(46)، 1–26.

ب. انگلیسی

Aghaei, M. A., Ahmadian, V. & Sefidgaran, S. (2018). The impact of environmental complexity and dynamics on the relationship between earnings management and information asymmetry. Journal of Financial Accounting Knowledge, 4(4), 1–23 (In Persian).

Ahmadi, Y., Banimahd, B., Talebniya, G. & Pourzamani, Z. (2020). The effect of earnings management on the relationship between earnings forecast error and accounting conservatism. Management Accounting, 13(45), 201–217 (In Persian).

Asadi, A. (2018). The investigation of dynamic relationship between firms’ characteristics and dividend policy using generalized method of moments. Journal of Accounting and Auditing Researches (Accounting Research), 10(39), 93–110 (In Persian).

Ashton, D. J., Peasnell, K. V. & Wang, P. (2011). Residual income models and inflation. European Accounting Review, 20(3), 459–483.

Ashton, D., Cooke, T. & Tippett, M. (2003). An aggregation theorem for the valuation of equity under linear information dynamics. Journal of Business Finance and Accounting, 30(3–4), 413–440.

Ashton, D., Cooke, T., Tippett, M. & Wang, P. (2004). Linear information dynamics, aggregation, dividends and ‘dirty surplus’ accounting. Accounting and Business Research, 29(3), 287–320.

Ashton, D. J. & Wang, P. (2008). Valuation weights and accounting conservatism. Available at SSRN 1156490.

Ashton, D. & Wang, P. (2013). Valuation weights, linear dynamics and accounting conservatism: An empirical analysis. Journal of Business Finance and Accounting Journal, 40(1), 1–25.

Ashton, D. & Wang, P. (2015). Conservatism in residual income models: theory and supporting evidence. Accounting and Business Research, 45(3), 387–410.

Basu, S. (1997). The conservatism principle and the asymmetric timeliness of earnings. Journal of Accounting & Economics, 24(1), 3–37.

Beaver, W. H., & Ryan, S. (2005). Conditional and unconditional conservatism: concepts and modeling. Review of Accounting Studies, 10(2-3), 132–150.

Boonlert-U-Thai, K., Saudagaran, S. M. & Sen, P. K. (2020). Fundamental valuation in seven Asian countries: Role of earnings, book value, and dividends. Journal of Accounting, Auditing & Finance, 0148558X20946905.

Bouaziz, M. Z., Deschênes, S. & Rojas, M. (2018). The fair-value accounting framework and the evolution of the ohlson model. Available at SSRN 3104107.

Callen, J. L. & Morel. (2001). Linear accounting valuation when abnormal earnings are AR(2). Review of Quantitative Finance and Accounting, 16(3), 191–204.

Choi, Y., O’Hanlon, J. F. & Pope, P. F. (2006). Conservative accounting and linear information valuation models. Contemporary Accounting Research, 23(1), 73–101.

Christensen, J. & Demski, J. S. (2006). Accounting theory: An information content perspective. (1 ed.). McGraw-Hill.

Clubb, C. (2013). Information dynamics, dividend displacement, conservatism, and earnings measurement: a development of the Ohlson (1995) valuation framework. Review of Accounting Studies, 18(2),

360–385.

Clubb, C. & Walker, M. (2014). Payout policy relevance and accounting based valuation. Abacus, 50(4), 490–516.

Einstein, A. (1956). Investigations on the theory of the Brownian movement. Furth (Ed.). Dover, New York. (English translation of preceding reference.).

Feltham, G. A. & Ohlson, J. (1996). Uncertainty resolution and the theory of depreciation measurement. Journal of Accounting Research, 34(2), 209–234.

Feltham, G. A. & Ohlson, J. A. (1995). Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research, 11(2), 689–731.

Forughi, D., Amiri, H. & Ebrahimian, A. (2017). Persistence of components of industry-wide and firm-specific earnings. Scientific Journal Management System, 9(2), 63–92 (In Persian).

Franzen, L. & Radhakrishnan, S. (2009). The value relevance of R&D across profit and loss firms. Journal of Accounting and Public Policy, 28(1), 16–32.

Givoly, D., Hayn, C. & Natarajan, A. (2007). Measuring reporting conservatism. The Accounting Review, 82(1), 65–106.

Gujarati, D. N. (2009). Basic econometrics. Tata McGraw-Hill Education.

Hiemann, M. (2020). Earnings and firm value in the presence of real options. The Accounting Review. Article in press.

Hughes, J., Li, J. & Zhang, M. (2004). Valuation and accounting for inflation and foreign exchange. Journal of Acciunting Research, 42(4), 731–754.

Konchitchki, Y. (2016). Accounting valuation and cost of capital dynamics: theoretical and empirical macroeconomic aspects. Discussion of Callen. Abacus, 52(1), 26–34.

Lee, S. (2020). Accounting information and contracting dynamics. Thesis at Rice University. https://hdl.handle.net/1911/108342.

Lintner, J. (1956). Distribution of incomes of corporations among dividens, retained earnings, and taxes. The American Economic Review, 46(2), 97–113.

Mandelbrot, B. B. & Hudson, R. L. (2010). The (mis) behaviour of markets: a fractal view of risk, ruin and reward. Profile books.

Mehrani, S., & Hesarzadeh, R. (2011). Earnings volatility and earnings predictability. Scientific Journal Management System, 2(6), 27-42 (In Persian).

Miller, M. H. & Modigliani, F. (1958). The cost of capital, corporation finance, and the theory of investment. American Economic Review, 48(3), 261–297.

Miller, M. H. & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34(4), 411–433.

Mörters, P., & Peres, Y. (2010). Brownian Motion (Vol. 30). Cambridge University Press.

Myers, J. N. (1999). Implementing residual income valuation with linear information dynamics. The Accounting Review, 74(1), 1–28.

Nabavian, S. M., Nabavi Chashmi, S. A., Dadashi, I. & Mohseni Maleki, B. (2020). Implications of lintner’s model in examine of dividends adjustment speed with the rolling regressions in crisis situations. Management Accounting, 13(44), 217–232 (In Persion).

Nikbakt, M., Ghasemi, A., & Imani bradegh, M. (2020). The impact of management earnings forecast error on stability profit of cash & accrual components and stock over Evaluation. Financial Accounting and Auditing Researches, 12(46), 1–26 (In Persian).

Ohlson, J. (1995). Earnings, book-values, and dividends in equity valuation. Contemporary Accounting Research, 11(2), 661–687.

Ohlson, J. A. (1999). On transitory earnings. Review of Accounting Studies, 4(3–4), 145–162.

Ohlson, J. A. & Juettner-Nauroth, B. E. (2005). Expected EPS and EPS growth as determinants of value. Review of Accounting Studies, 10(2–3), 349–365.

Penman, S. & Zhang, X.-J. (2020). A theoretical analysis connecting conservative accounting to the cost of capital. Journal of Accounting and Economics, 69(1), 101236.

Pope, P. F. & Wang, P. (2005). Earnings components, accounting bias and equity valuation. Review of Accounting Studies, 10(4), 387–407.

Skogsvik, K., & Juettner-Nauroth, B. E. (2013). A note on accounting conservatism in residual income and abnormal earnings growth equity valuation. British Accounting Review, 45(1), 70–80.

Stark, A. W. (2008). Intangibles and research. An overview with specific focus on the UK. Accounting and Business Research, 38(3), 275–285.

Stark, A. W. (1997). Linear information dynamics, dividend irrelevance, corporate valuation and the clean surplus relationship. Accounting and Business Research, 27(3), 219–228.