بررسی تاثیر روش‌های تامین مالی بر بازده آتی سهام

Journal of Accounting Advances (J.A.A)
Vol. 2, No. 2, Fall &  Winter 2010, Ser. 59/3
 
 
Extended Abstract
 
Impact of Financing Methods on Future Stock Returns
 
Dr. G. Kordestani                        M. Najafi Omran
Imam Khomeini International University
 
Introduction
       This research examined the effect of various financing methods and ways of using proceeds provided from these methods on futures stock returns. The financial literature documents two hypotheses, namely security mispricing hypothesis and over-investment hypothesis, which explain the effect of various external financing methods on future stock returns. These hypotheses posit that external financing methods have negative impact on future stock returns. Also, the over-investment hypothesis posits that the negative relation between financing transactions and future stock returns arises when the proceeds provided from these methods are invested in operating activities. Moreover, because of transaction costs and manager/investor information asymmetries, internally generated funds should be less costly than funds raised by externally generated funds. Thus, it is expected that internal to external funding ratio has positive relation with future stock returns. Also, this relation will be magnified for high growth firms relative to low growth firms since the disparity between inside information and publicly available information about high growth firm's investment opportunities is greatest. 
 
Hypothesis
In order to provide evidence about the effect of various financing methods and ways of using proceeds provided from these methods on futures stock returns, main hypothesis to be tested is that:
H1: The changes of total financing will be negatively correlated with the cumulative abnormal return (CAR).
So, we expect β1 to be negative and significantly different from zero in the model (1).
CAR_i,t+1  = α + β₁^*∆Fin_i,t + β₂^*UX _i,t + β₃^* BETA _i,t + β₄^*SIZE _i,t + e_i,t+1   (1)
H2: the cumulative abnormal return (CAR) is negatively correlated with the external financing if operational net assets of the firms increased after external financing.
H3: the cumulative abnormal return (CAR) is negatively correlated with the internal financing if operational net assets of the firms increased after internal financing.
So, we expect β1 and β2 to be negative and significantly different from zero in the model (2).
CARi,t+1 = α + β1*∆EXNOAi,t + β2*∆INOAi,t + β3*∆CASHi,t + ei,t+1                                                                                                 (2)        
H4: the earnings response coefficient (ERC) is higher for firms with higher internal to external funding ratio.
So, we expect β2 to be negative and significantly different from zero in the model                                                                                        (3).
CARt+1=α+β1*UXt+β2*I/XFt*UXt+β3*LEVt*UXt+ β4* BETAt* UXt+ Β5*PERSt*UXt+ β6*HIt* UXt  +  β7*SIZEt*UXt + et+1        (3)
H5:  the earnings response coefficient (ERC) is positively correlated with the internal to external funding ratio for firms with higher growth.
So, we expect β_2H to be positive and significantly different from zero in the model                                                                                        (4).
CAR _t+1 = α + β₁^*UX_t + β₂^*I/XF_t^*UX_t + β_2,H^*HI^*I/XF_t^*UX_t + β₃^*LEV_t^*UX_t + β₄^*BETA_t^*UX_t + Β₅^* PERS_t^*UX_t + β₆^*HI_t^*UX_t + β₇^*SIZE_t^*UX_t + e_t+1                                                                               (4)                 
Methods
The sample includes 65 production firms listed in Tehran Stock Exchange (TES) with data available between 1378 and 1385. Financial firms and firms that changed fiscal year end during the test period are excluded from sample. We used cross-section and polling data methods for estimated models.
 
Results
The results of estimated models (1) to (4) in cross-section and polled data methods show that:  on the basis of pooled data, there are significantly positive relationships between net changes in total financing, net changes in external financing and changes in internally financed net operating assets and cumulative abnormal returns (CAR). Moreover, the relationship between internal to external funding ratio and CAR is stronger in high growth firms relative to low growth firms. Also, on the basis of cross-sectional data, net changes in internal financing and changes in internally financed net operating assets have a significantly positive relationship with CAR.
 
Discussion and Conclusion
The financial literature documents the effect of various external and internal financing methods on future stock returns. The external financing methods have negative impact on future stock returns and negative relationship between financing transactions and future stock returns arises when the proceeds provided from these methods are invested in operating activities. The internal financing should be less costly than external financing. Thus, it is expected that internal to external funding ratio has positive relation with future stock returns. Our findings do not confirm negative relation between external financing and future stock returns (Richardson et.al.2003; Bradshaw et.al 2006) but the results show the positive relation between internal financing future stock returns (Chul, Park and Pincus, 2001).