تاثیر هم حرکتی سود بر ضریب واکنش اعلام سودهای فصلی

حمیدیان, نرگس

doi:10.22099/jaa.2021.40327.2124

تاثیر هم حرکتی سود بر ضریب واکنش اعلام سودهای فصلی

نوع مقاله : مقاله پژوهشی

نویسنده

نرگس حمیدیان

استادیار گروه حسابداری دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان

10.22099/jaa.2021.40327.2124

چکیده

ادبیات پیشین نشان می‌دهد سود یک شرکت همراه با سود سایر شرکت‌ها در همان صنعت حرکت می‌کند. این مفهوم، اصطلاحا هم حرکتی سود نامیده می‌شود که سرمایه‌گذاران می‌توانند بر اساس آن انتظارات خود از سود شرکت را با استفاده از اطلاعات صنعت شکل دهند. از آنجایی‌که سودهای فصلی منعکس کننده جریان اطلاعات به بازار هستند هدف پژوهش حاضر بررسی تاثیر هم حرکتی سود بر واکنش سرمایه‌گذاران نسبت به اعلام سودهای فصلی شرکت‌ها است. نمونه‌ پژوهش شامل داده های فصلی 134 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران در دوره زمانی 1387 تا 1398 است. نتایج حاصل از آزمون فرضیه اول نشان داد ضریب واکنش سودهای فصلی با بازده خرید و نگهداری در پنجره سه روزه اعلام سود رابطه مثبت و معنادار دارد و هم حرکتی سود این رابطه را تضعیف می‌‌کند. این بدین مفهوم است که میزان بالاتر هم حرکتی سود شرکت منجر به کاهش ضریب واکنش سود می‌شود. همچنین نتایج آزمون فرضیه دوم و سوم نشان داد زمانی که اخبار خوب سود وجود دارد هم حرکتی سود، ضریب واکنش سود را تضعیف می‌کند ولی در شرایط وجود اخبار بد، هم حرکتی تاثیری بر ضریب واکنش سود ندارد.

کلیدواژه‌ها

20.1001.1.20089988.1399.12.2.6.5

عنوان مقاله [English]

The effect of Earnings Co-movement on Quarterly Earnings Response Coefficient

نویسنده [English]

Narges Hamidian

Assistant Professor, Department of Accounting, Faculty of Administrative Sciences and Economics, University of Isfahan

چکیده [English]

Journal of Accounting Advances, (2020) 12(1): 1-27
DOI: 10.22099/JAA.2021.40327.2124

Journal of Accounting Advances (JAA)
Journal homepage: www.jaa.shirazu.ac.ir/?lang=en

The effect of Earnings Co-movement on Quarterly Earnings Response Coefficient
Narges Hamidian¹

1. Assistant Professor, Department of Accounting, Faculty of Administrative Sciences and Economics, University of Isfahan

ARTICLE INF

ABSTRACT

Received: 2021-04-12
Accepted: 2021-06-22

Prior literature shows that a firm’s earnings tend to move with other firms in the same industry. This concept is called co-movement. So investors will be able to form an expectation of a firm’s earnings from the industry. Given that the reported earnings do reflect the flow of information to the market, the purpose of this study is investigating the effect of earnings co-movement on quarterly earnings response coefficient. The sample of this study consists of 134 listed companies in Tehran Stock Exchange during the period 2008 to 2019. The results of the first hypothesis showed that the response coefficients to quarterly earnings announcement have a positive and significant relationship with the buy and hold returns in the three-day earnings announcement window, and earnings co-movement weakens this relationship. Also, the results of testing the second and third hypotheses showed that when there is good news, earnings co-movement weakens earnings response coefficient, but under bad news, earnings co-movement has no effect on earnings response coefficient.

* Corresponding author:
Narges Hamidian
Assistant Professor, Department of Accounting, Faculty of Administrative Sciences and Economics, University of Isfahan

Email: n.hamidian@ase.ui.ac.ir

1- Introduction
Prior literature shows that firms’ earnings tend to co-move together, so investors will be able to form an expectation of a firm’s earnings from the market (Brown and Ball, 1967). This concept is called co-movement. Given that there is a significant relationship between a firm’s earnings and the earnings of other firms in the market, and the reported earnings do reflect the flow of information to the market, the question is whether this relationship has an effect on earnings informativeness?
There are two different views about how earnings co-movement impacts earnings response coefficient (earnings informativeness). First, some studies imply the higher the degree of earnings co-movement of a firm with other firms in same industry, the less informative that firm’s earnings release will be. In other words, investors will be able to predict a firm’s earnings by using similar firms in the same industry and so there will be less uncertainty about that firm’s earnings (see, e.g. Fischer and Verrecchia, 2000; Jackson et al, 2020). Second, some other papers (such as Heinle and Verrecchia, 2016 and Jackson et al., 2017) show that the more the earnings of a firm co-move with the industry and market, the less likely it is that the firm will issue a biased earnings report. So, the earnings will be more informative to investors.
Therefore, this study attempts to investigate the effect of earnings co-movement on quarterly earnings response coefficient. Also, because of the behavioral biases of investors in reaction to good and bad news, the effect of earnings co-movement on quarterly earnings response coefficient with considering good and bad news has also been investigated.

2- Hypothesis
According to the literature, the research hypotheses include:

Earnings co-movement weakens response coefficient to quarterly earnings announcement.
Under good news, earnings co-movement weakens response coefficient to quarterly earnings announcement.
Under bad news, earnings co-movement strengthens the response coefficient to quarterly earnings announcement.

3- Methods
In this study, in order to calculate the variables and test the hypotheses, required data has been collected from the annual and quarterly financial statements and its footnotes of listed companies in the Tehran Stock Exchange and the existing databases including “Rahavard Novin” and “Codal”. The sample of this study consists of 134 listed companies in Tehran Stock Exchange during 2008 to 2019. To test this hypotheses, the period of 8 years (2012 to 2019) and panel data methods have been used.

4- Results
The results of investigating the first hypothesis showed that the response coefficients to quarterly earnings announcement have a positive and significant relationship with the buy and hold returns in the three-day earnings announcement window, and earnings co-movement weakens this relationship. Also, the results of testing the second and third hypotheses showed that when there is good news, earnings co-movement weakens earnings response coefficient, but under bad news, earnings co-movement has no effect on earnings response coefficient.

5- Discussion and Conclusion
In this paper we investigated the informativeness of a firm’s earnings in the presence of information about other firms’ earnings (i.e., earnings co-movement). Some literatures show the greater the degree of co-movement, the less relevant earnings become as investors do not need to rely on the information signal from the firm because they can predict earnings from alternative sources in the same industry. On the other hand, some studies imply the greater the degree of co-movements, the less opportunity managers have to bias the earnings signal which will lead to the earnings becoming more reliable and more informative.
The results of investigating the first hypothesis showed that the response coefficients to quarterly earnings announcement have a positive and significant relationship with the buy and hold returns and when earnings co-movement is considered, the quarterly earnings response coefficient decreases. This means that when earnings’ firms move with other firms in the same industry, investors can get information from other firms in the industry and better predict the earnings’ firm. So, earnings announcement will contain less unexpected information. As a result, earnings response coefficient decreases. This result is consistent with Jackson et al., (2020).
The results of testing the second hypothesis indicates that when there is good news, earnings co-movement weakens earnings response coefficient. This implies that investors pay more attention to the good news of the industry and react less to the earnings when good news is published by the firm. But the results of testing the third hypothesis showed under bad news, earnings co-movement has no effect on earnings response coefficient. This lack of relationship may be due to the fact that investors do not pay much attention to the bad news of the industry.
For future studies, we suggest to analyze the relationship between co-movement and other variables such as comparability of financial statements, earnings quality, earnings management, fraud, etc. The results of this research can also be done separately by industry to determine in which industries there is more co-movement.

کلیدواژه‌ها [English]

Keywords: Earnings Co-movement
Earnings Response Coefficient
Unexpected Earnings
Earnings Informativeness

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