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پیشرفت های حسابداری - سال هشتم شماره 1 (پیاپی 70، بهار و تابستان 1395)

مجله پیشرفت های حسابداری
سال هشتم شماره 1 (پیاپی 70، بهار و تابستان 1395)

  • تاریخ انتشار: 1395/06/30
  • تعداد عناوین: 8
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  • عباس افلاطونی* صفحات 1-22

    حجم اطلاعات موجود درباره ی شرکت ها معمولا زیاد است و بیشتر سرمایه گذاران، توانایی محدودی برای پردازش اطلاعات حجیم دارند. در این شرایط، آنان برای گرفتن تصمیم های سرمایه گذاری وقت بیشتری صرف کرده، اطلاعات بیشتر و دقیق تری گردآوری می کنند. این موضوع موجب می شود تا اطلاعات با تاخیر زمانی در قیمت های سهام انعکاس یابد. کیفیت نازل اطلاعات منتشرشده و نبودتقارن اطلاعاتی نیز به ابهام اطلاعات می افزاید و سرعت انعکاس اطلاعات را در قیمت های سهام کاهش می دهد. این پژوهش، تاثیر کیفیت گزارشگری مالی و نبودتقارن اطلاعاتی را بر واکنش تاخیری قیمت سهام در بازه ی زمانی 1382 تا پایان 1392، در نمونه ای متشکل از 112 شرکت پذیرفته شده در بورس اوراق بهادار تهران بررسی می کند. برای آزمون فرضیه های پژوهش از رگرسیون های چند متغیره با رویکرد داده های ترکیبی استفاده شده است. یافته های پژوهش نشان می دهند که افزایش در کیفیت گزارشگری مالی و کاهش در میزان نامتقارن بودن اطلاعات، کاهش واکنش تاخیری قیمت سهام را به دنبال دارد.

    کلیدواژگان: واکنش تاخیری قیمت سهام، کیفیت گزارشگری مالی، نبودتقارن اطلاعاتی، اطلاعات ناقص، 1، مقدمه
  • سیمین پورساسان، رضا حصارزاده صفحات 25-48
    هدف این تحقیق، بررسی فرضیه های چسبندگی هزینه هاست. به همین منظور تعداد 775 سال- شرکت پذیرفته شده در بورس اوراق بهادار تهران در بازه ی زمانی سال 1385 تا 1392 بررسی شده اند. این تحقیق با تمرکز بر نظریه های تاخیر در تعدیل هزینه و تصمیمات سنجیده و انگیزه ی شخصی مدیران، سعی دارد مناسب ترین نظریه را در بورس اوراق بهادار تهران انتخاب کند. نتایج بررسی نظریه ی تاخیر در تعدیل هزینه حاکی از آن است که شدت چسبندگی هزینه ها با گذشت زمان کاهش می یابد. نتایج بررسی تصمیمات سنجیده نشان می دهد که چسبندگی هزینه ها در شرکت های پذیرفته شده در بورس اوراق بهادار تهران، تابع تصمیمات مدیران نیست. نتایج بررسی نظریه ی انگیزه های شخصی مدیران، بیانگر آن است که انگیزه های شخصی مدیران در کاهش چسبندگی هزینه ها اثری معنی دار ندارد؛ بنابراین نظریه ی تاخیر در تعدیل هزینه درخصوص چسبندگی هزینه ها در بورس اوراق بهادار تهران، از توان توضیح بیشتری برخوردار است.
    کلیدواژگان: چسبندگی هزینه ها، نظریه ی تاخیر در تعدیل هزینه، نظریه ی تصمیمات سنجیده، انگیزه های شخصی مدیران
  • علی ثقفی، روح الله فرهادی، عباس دادرس صفحات 49-70
    وجود صرف اندازه و صرف ارزش و صرف مومنتوم در بازدهی اوراق بهادار، موضوعی کلیدی در آزمون مدل های تجربی قیمت گذاری است. در این تحقیق با به کارگیری رویکرد مطالعات پرتفوی پژوهی و روش آزمون معناداری ضرایب رگرسیون (آماره ی t و آماره ی F) و با استفاده از نمونه ی متشکل از 195 شرکت بورس اوراق بهادار تهران در دوره ی ابتدای 1387 تا پایان 1392، پرتفوی های مبتنی بر اندازهB/M و پرتفوی های مبتنی بر اندازه مومنتوم ایجاد شد. با استفاده از عوامل ریسک مبتنی بر اندازه، نسبتB/M و مومنتوم (SML و HML و WML) به عنوان متغیرهای سمت راست در معادلات رگرسیونی و بازده مازاد پرتفوی های ایجادشده مبتنی بر اندازه، نسبت B/M و مومنتوم به عنوان متغیرهای سمت چپ، قدرت توضیح دهندگی مدل CAPM و مدل سه عاملی فاما و فرنچ (1993) و مدل چهارعاملی کارهارت (1997) بررسی شد. نتایج نشان داد که مدل سه عاملی نسبت به دیگر مدل ها قدرت توضیح دهندگی بیشتری دارد و می تواند آلفا را به طور معنادار حذف نماید.
    کلیدواژگان: صرف اندازه، اثر ارزش، اثر مومنتوم معکوس، مدل سه عاملی، مدل چهارعاملی
  • رضا جامعی، غلامرضا مرادی فرد صفحات 71-102
    با گسترش و افزایش اهمیت بازارهای سرمایه در شکل دهی به سرمایه های کوچک، شناسایی نحوه ی رفتار سرمایه گذاران و قیمت سهام در بازار از اهمیت روزافزونی برخوردار شده است. در صورت های مالی، بیش از هر اطلاعات دیگری، سود توجه سرمایه گذار را به خود جلب می کند. بنابراین سود پیش بینی شده برای سرمایه گذاران مهم است و می تواند به آن ها در تصمیم گیری بهتر درزمینه ی خرید یا فروش یا نگهداری سهم کمک نماید. هدف این پژوهش بررسی نقش سود پیش بینی شده در تعیین قیمت سهام شرکت های بورس اوراق بهادار تهران است. نمونه ی بررسی شده شامل 153شرکت طی سال های 1380تا1392 را در بر می گیرد. تجزیه وتحلیل داده ها ازطریق داده های پانل است. همچنین همبستگی بین متغیر ها ازطریق روش رگرسیونی پانل دیتا-مدلGLS بررسی شده است. نتایج حاصل از آزمون فرضیه های این پژوهش نشان می دهد که سود پیش بینی شده در سطح اطمینان بالایی می تواند متغیرهای قیمت سهام و حجم معاملات و تعداد خریداران را تحت تاثیر قرار دهد.
    کلیدواژگان: سود پیش بینی شده، تعیین قیمت سهام، حجم معاملات سهام، تعداد خریداران سهام
  • محمدحسین ستایش، کاظم شمس الدینی صفحات 103-125
    هدف اصلی این پژوهش، بررسی رابطه ی بین گرایش احساسی سرمایه گذاران و قیمت سهام شرکت ها است. به همین منظور، با استفاده از داده های مربوط به 111 شرکت طی دوره ی زمانی 1385تا1392، تاثیر متغیرهای مربوط به شاخص گرایش احساسی سرمایه گذاران بر قیمت سهام شرکت ها، با استفاده از مدل رگرسیون چندگانه بررسی می شود. 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 زیان گریزی دارای ارتباط منفی معناداری با قیمت سهام می باشند؛ اما بین سه متغیر اثر برگشت بلندمدت و اثر اندازه و صرف ارزش سهام از دیدگاه نسبت سود به خالص جریان های نقدی هر سهم (P/CF) با قیمت سهام رابطه ی معناداری یافت نشد. علاوه بر این، متغیر نرخ بازده دارایی ها ارتباط مثبت و نرخ بازده فروش ارتباط منفی با قیمت سهام دارد. بین دو متغیر نسبت سرمایه در گردش به دارایی ها و نرخ رشد دارایی ها با قیمت سهام، رابطه ی معناداری یافت نشد.
    کلیدواژگان: گرایش احساسی سرمایهگذاران، قیمت سهام، مالی رفتاری، بورس اوراق بهادار تهران
  • داریوش فروغی، علیرضا رهروی دستجردی صفحات 127-158
    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، تامین 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 کاملا با فرض انتظارات عقلایی منطبق است.
    کلیدواژگان: متغیرهای نابهنجاری، بازده غیرعادی، بازده موردنیاز، فرض انتظارات عقلایی
  • محمود لاری دشت بیاض، مهدی صالحی، محمدحسین ذوالفقار آرانی صفحات 159-188
    هدف از انجام این پژوهش، بررسی ارتباط بین ویژگی های شرکت های زیان ده و احتمال رسیدن به اولین سود در سال های بعد از زیان است. این پژوهش براساس اطلاعات منتشرشده ی شرکت های پذیرفته شده در بورس اوراق بهادار تهران، در بازه ی زمانی سال های 1382تا1392 با نمونه ی انتخابی شامل 72 شرکت انجام پذیرفته است. روش آزمون فرضیه ها رگرسیون لوجستیک و رگرسیون تعمیم یافته (مدل آمیخته ی خطی) است. نتایج آزمون فرضیه های مربوط به مدل برگشت زیان این تحقیق حاکی از وجود رابطه ی مثبت و معنادار میان سطح سرمایه گذاری شرکت های زیان ده در دارایی های سرمایه ای و احتمال برگشت زیان و وجود رابطه ی منفی و معنادار میان سطح محافظه کاری حسابداری و احتمال سودآورشدن و همچنین، وجودنداشتن رابطه میان هزینه های خاص (تحقیق و توسعه، تبلیغات، اختراعات و اکتشافات) و احتمال برگشت زیان است.
    کلیدواژگان: احتمال بازگشت زیان، اقلام تعهدی، هزینه ی تحقیق و توسعه، جریان نقدی عملیاتی، درجه ی محافظه کاری حسابداری
  • محمد نمازی، احمد شکراللهی صفحات 189-223
    پژوهش حاضر، تقابل بین جریان نقدی آزاد و عملکرد را به همراه سایر عوامل اثرگذار بر این رابطه بررسی می کند؛ به بیان دیگر، این پژوهش افزون بر بررسی رابطه ی متقابل (دوطرفه) بین جریان نقدی آزاد و عملکرد، عوامل اثرگذار بر این رابطه را نیز شناسایی می کند. به این منظور، از روش نیمه تجربی دربازه ی زمانی 1380تا1392 برای 1716 سال-شرکت بورس اوراق بهادار تهران به صورت داده های ترکیبی استفاده شده است. همچنین، به دلیل وجود اریب همزمانی در متغیرهای درون زای پژوهش برای آزمون فرضیه ها، سیستم معادلات همزمان سه مرحله ای (3SLS) به کار گرفته شده است. نتایج حاصل از آزمون فرضیه های پژوهش، حاکی از منفی و معنادار بودن اثر متغیر عملکرد بر متغیر جریان نقدی آزاد و متقابلا منفی و معنادار بودن اثر متغیر جریان نقدی آزاد بر متغیر عملکرد است؛ بنابراین، این دو متغیر یکدیگر را تضعیف می کنند. افزون بر این، نتایج نشان دهنده ی اثر معنادار و متفاوت ساختار های مالکیت (شامل تمرکز مالکیت و سطح مالکیت) بر رابطه ی یادشده است. به عبارت دیگر، برخلاف متغیرهای تمرکز مالکیت که یک قدرت تک قطبی را در شرکت به وجود می آورند، سطح مالکیت به منزله ی یک قدرت چند قطبی می تواند اثری ارزش آفرین بر رابطه ی متقابل بین جریان نقدی آزاد و عملکرد داشته باشد.
    کلیدواژگان: جریان نقدی آزاد، عملکرد، مالکیت نهادی، روابط متقابل
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  • Bbas Aflatooni* Pages 1-22

    Investigating the Effect of Financial Reporting Quality and Information Asymmetry on Stock Price Delay Dr. Abbas Aflatooni* ntroduction In a perfect capital market where investors make decisions i ational manner and there is complete information regarding the as eing traded, the information quickly is and fully reflected in st rices. However, many studies (such as Barry and Brown, 1984; A g and Verdi, 2012) indicate a lack of complete information on arkets. Incomplete and vague information affects stock prices at lo peeds and prevent from timely stock prices discovery (Verrecchia, 1 Callen, Govindaraj and Xu, 2000). From the viewpoint of invest ome stocks that are more attractive than other stocks get the attentio ost investors who follow the news and information on those stock his condition, the news and information are reflected in the price entioned stocks more quickly than other stocks. However, there tocks that are less attractive to investors and the relevant informat hus their prices are adjusted in lower speeds. In accounting and fin iterature, this subject is named Stock Price Delay (Hirshleifer, and T 006; Callen, Khan, and Lu, 2012).The available information on fir sually voluminous and the most of investors have limited abilit rocess the high volume of information. In this condition, in orde ake investment decisions, they spend more time and collect further
    Assistant Professor of Accounting, Faculty of Economics and Social Sciences, Bu Sina University of Hamedan, Iran
    4 Journal of Accounting Advances (J.A.A)
    recise information. This causes the information to be reflected in s rices with time delay. Also, the low quality of issued information nformation asymmetry increase the ambiguity of information ecrease the reflection rate of information on stock prices. The importance of research in this area arises from the fact that w nformation is reflected in the stock price with more delay, nformational efficiency of capital market will disappear. In this ma he prices do not reflect the intrinsic value of stock and the ca arkets cannot allocate their resources among firms optimally (Cal han, and Lu, 2012). Therefore, identification of factors affecting henomenon of stock price delay and dealing with them can increase nformational and allocative efficiency of capital market.
    esearch Hypotheses The purpose of this study is to investigate the effect of finan eporting quality and information asymmetry on stock price delay. his end, based on the research objective, the theoretical framework revious researches, the research hypotheses are as follows: H-1: The financial reporting quality is negatively associated tock price delay. H-2: The information asymmetry is positively associated with st rice delay. To investigate and compare the effect of financial reporting qu nd information asymmetry on stock price delay simultaneously, hird hypothesis is as follows: H-3: The intensity of the relationships between the fina eporting quality and information asymmetry with stock price delay ot significantly different from each other.
    Methods This research is an applied, quantitative and retrospective study. esearch data are gathered from Rahavard Novin database, the Codal he site of Tehran stock exchange organization referring to its rchives. To measure the dependent variable (stock price delay),
    Extended Abstracts of the Persian Articles in English
    pproach of Hou, and Moskowitz (2005) is used. To calculate nformation asymmetry, the presented measure by Venkatesh and Ch 1986) is applied and to measure the financial reporting quality, dat isclosure quality scores, are obtained from TSE announcemen Corporate Rating based on Disclosure Quality and Approp nformation”. This research, investigates the effects of financial repor uality and information asymmetry on the stock price delay from 200 he end of 2013 in a sample including 112 firms listed in Tehran S xchange. To test the research hypotheses, the multivariate regress ith panel data are applied.
    esults The research results show that the increase in financial repor uality and decrease in information asymmetry among stock tra ecreases the stock price delay. On the other hand, financial repor uality (information asymmetry) is negatively (positively) relate tock price delay.
    iscussion and Conclusion In a capital market with rational investors and existence of comp nformation, such information is quickly and completely reflecte tock prices. However, the voluminous studies review the informa mperfections (such as asymmetric information and low qualit nformation (e.g., Barry and Brown, 1984; Merton, 1987; Eas vidkjaer, and O’Hara, 2002; Hou and Moskowitz, 2005; Lam Leuz, and Verrecchia, 2007; Akins, Ng, and Verdi, 2012). They find he incomplete and ambiguous information decrease the reflection s f information in stock prices. This research shows that the increase in reporting quality incre he reflection speed of information in stock prices and thus decreases tock price delay. The reason is that an increase in reporting qu ecreases the ambiguous aspects of information, thus the investors s ess time on process information and make less mistakes in stock pric
    6 Journal of Accounting Advances (J.A.A)
    his leads to the information to be more quickly and more accura eflected in the stock price. These results are consistent with the find f Callen, Khan, and Lu (2012), Javanmard, M., & Pourmousa (20 Pourzamani and Ghamari (2014) and Hassas Yegane and Omidi (20 lso, this research investigates the relationship between informa symmetry and stock price delay and finds that an increase nformation asymmetry decreases the reflection speed of informatio tock prices and increases the stock price delay. This is becaus nformation asymmetry environment, to make investment decisi nvestors are faced with a high degree of uncertainty and risk. For eason, to decrease the risk of investment decisions, they spend ime and collect more accurate information causing the information t eflected in the stock price with more time delay. This findin omparable to the results of Gordon and Wu (2014). Also, the rese esults show that the relationship between financial reporting quality tock price delay is significantly stronger than that of informa symmetry and the mentioned variables cannot be used interchangeab Based on the research results and the negative consequences of st rice delay, the managers are advised to provide high quality finan eporting and prevent the mentioned phenomenon. Also, the practitio f financial market are advised to select and execute the approp olicies and increase the transparency of information because this l o informational and allocative efficiency of capital market. Becaus he importance of identification of factors affecting the stock price d nd dealing with them, the researchers are advised to study the effe acroeconomics factors (such as exchange rate fluctuations, oil pr nd inflation rate) on stock price delay.

    Keywords: Stock price delay, financial reporting quality, informa symmetry, incomplete information
  • Simin Poursasan, Simin Poursasan Pages 25-48
    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
  • Ali Saghafi, Roohollah Farhadi, Abbas Dadras Pages 49-70
    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
  • Reza Jamei, Ghokamreza Moradifard Pages 71-102
    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, companie's 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.
    Keywords: Predicted Profit, Stock Price, Volume of Stock Transaction
  • Mohammad Hossein Setayesh, Mohammad Hossein Setayesh Pages 103-125
    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
  • Dariush Foroghi, Alireza Dastjerdi Pages 127-158
    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.
    Keywords: Anomaly Variables, Abnormal Return, Required Return, The Assumption of Rational Expectations
  • Mahmood Lari Dashtbayaz, Mehdi Salehi, Mohammad Hossein Zolafaghari Arani Pages 159-188
    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, weve 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
  • Mohmmad Namazi, Ahmad Shokrollahi Pages 189-223
    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