فهرست مطالب

پیشرفت های حسابداری - سال دوم شماره 2 (پیاپی 59، پاییز و زمستان 1389)

مجله پیشرفت های حسابداری
سال دوم شماره 2 (پیاپی 59، پاییز و زمستان 1389)

  • 220 صفحه،
  • تاریخ انتشار: 1390/03/20
  • تعداد عناوین: 7
|
  • احمد خدامی پور، محمد قدیری صفحات 1-29
    هدف این تحقیق، بررسی رابطه ی میان اقلام تعهدی و عدم تقارن اطلاعاتی بین سرمایه گذاران، در بورس اوراق بهادار تهران است. در این مطالعه، برای اندازه گیری عدم تقارن اطلاعاتی و اجزای اقلام تعهدی، به ترتیب از دامنه ی تفاوت قیمت پیشنهادی خرید و فروش سهام و مدل تعدیل شده ی جونز با رویکرد مبتنی بر خطای برآورد، استفاده شده است. فرضیات تحقیق بر مبنای یک نمونه ی آماری متشکل از 101 شرکت برای یک دوره ی 7 ساله، از سال 1382 تا 1388 و با استفاده از مدل های رگرسیون ساده و چند متغیره و روش داده های پانل، مورد آزمون قرار گرفته است. نتایج حاصل از تحلیل داده ها حاکی از این است که میان اقلام تعهدی غیرعادی و عدم تقارن اطلاعاتی، رابطه ی مثبت و معنی داری وجود دارد، به طوری که با افزایش میزان اقلام تعهدی غیرعادی، عدم تقارن اطلاعاتی نیز افزایش می یابد. با این حال، نتایج تحقیق، رابطه ی معنی داری را میان قدرمطلق کل اقلام تعهدی و عدم تقارن اطلاعاتی، نشان نمی دهد. همچنین یافته های تحقیق بیان گر وجود یک رابطه ی منفی و معنی دار میان نقدشوندگی سهام، اندازه ی شرکت و نسبت مالکیت نهادی با عدم تقارن اطلاعاتی است. در ارتباط با تغییرپذیری بازده سهام نیز نتایج نشان دهنده ی وجود یک رابطه ی مثبت و معنی دار میان عدم تقارن اطلاعاتی و تغییرپذیری بازده سهام است.
    کلیدواژگان: عدم تقارن اطلاعاتی، دامنه ی تفاوت قیمت پیشنهادی خرید و فروش سهام، اقلام تعهدی، اقلام تعهدی غیر عادی
  • محمدحسین قائمی، محمد رحیم پور، روح الله نوذری، بهزاد روحی صفحات 31-50
    در این مقاله، تاثیر اعلان سودهای فصلی بر عدم تقارن اطلاعاتی بازار، بررسی شده است. شکاف قیمت پیشنهادی خرید و فروش به عنوان معیار عدم تقارن اطلاعاتی در بازه 20 روز قبل تا 20 روز پس از اعلان و 10 روز قبل تا 10 روز پس از اعلان، بر مبنای مدل رگرسیونی در نظر گرفته شده است. نمونه ی مورد بررسی شامل 555 مورد اعلان سود فصلی مربوط به 157 شرکت پذیرفته شده در بورس اوراق بهادار تهران در طول سال های1384-1387 است. نتایج حاصل از این تحقیق نشان می دهد که در طول دوره مورد مطالعه، پس از اعلان سودهای فصلی، عدم تقارن اطلاعاتی، کاهش قابل ملاحظه ای نداشته است. این نتیجه با در نظر گرفتن نوع اعلان سودهای فصلی و دوره ی زمانی گزارش سودهای میان دوره ای تغییر نمی کند.
    کلیدواژگان: عدم تقارن اطلاعاتی، شکاف قیمت پیشنهادی خرید و فروش، گزینش نادرست، اعلان های سود فصلی
  • محمد کاشانی پور، سعید راسخی، بیژن تقی نژاد، امیر رساییان صفحات 51-74
    حساسیت سرمایه گذاری به جریان های نقدی، به تغییرات مخارج سرمایه ای شرکت ها در قبال تغییرات در جریان های نقدی اشاره دارد. این مبحث با ادبیات سرمایه گذاری و تامین مالی شرکتی مرتبط است. این پژوهش از نوع مطالعه ی کتابخانه ای و تحلیلی - علی بوده و مبتنی بر تحلیل داده های تابلویی (پانل دیتا) است. در این پژوهش، اطلاعات مالی 96 شرکت پذیرفته شده در بورس اوراق بهادار تهران در طی دوره ی زمانی 1381 تا 1387 بررسی شده است. نتایج نشان می دهد که شرکت های با محدودیت مالی، نسبت به شرکت های بدون محدودیت مالی، از حساسیت سرمایه گذاری به جریان های نقدی بالاتری برخوردارند و در هنگام تصمیم گیری های سرمایه گذاری، بر جریان های نقدی داخلی، تاکید بالایی می کنند.
    کلیدواژگان: حساسیت سرمایه گذاری به جریان های نقدی، محدودیت های مالی، سطح نگه داری وجه نقد، مدل وجه نقد مطلوب، بورس اوراق بهادار تهران
  • غلامرضا کردستانی، مظاهر نجفی عمران صفحات 75-108
    در این پژوهش تاثیر روش های مختلف تامین مالی و نحوه ی مصرف عواید حاصل از این روش ها بر بازده آتی سهام، بررسی شده است. در ادبیات مالی، در ارتباط با تاثیر روش های مختلف تامین مالی خارجی بر بازده آتی سهام، دو فرضیه ی «قیمت گذاری نادرست اوراق بهادار» و «سرمایه گذاری بیش از حد»، مطرح شده است. بر اساس این فرضیات، روش های مختلف تامین مالی خارجی بر بازده آتی سهام، تاثیری منفی دارند. همچنین، بر اساس فرضیه ی سرمایه گذاری بیش از حد، رابطه ی منفی بین مبادلات تامین مالی و بازده آتی سهام، زمانی به حداکثر می رسد که عواید حاصل از این روش ها در فعالیت های عملیاتی، سرمایه گذاری شوند. علاوه بر این، به دلیل هزینه های مبادلاتی و عدم تقارن اطلاعاتی بین مدیریت و سرمایه گذاران برون سازمانی شرکت، هزینه ی منابع مالی داخلی باید کم تر از هزینه ی منابع مالی خارجی باشد. بنابراین، انتظار می رود بین نسبت تامین مالی داخلی به تامین مالی خارجی و بازده آتی سهام، رابطه ی مثبت وجود داشته باشد. همچنین، این رابطه در شرکت های با رشد زیاد، قوی تر از شرکت های با رشد کم باشد؛ زیرا در این شرکت ها، عدم تقارن اطلاعاتی بین مدیریت و سرمایه گذاران راجع به فرصت های سرمایه گذاری بیش تر است.
    کلیدواژگان: بازده غیر عادی انباشته، روش های تامین مالی، تامین مالی داخلی، تامین مالی خارجی، خالص دارایی های علمیاتی
  • غلامرضا کرمی، ساسان مهرانی، هدی اسکندر صفحات 109-132
    سرمایه گذاران نهادی با توجه به مالکیت بخش قابل توجهی از سهام شرکت ها، از نفوذ قابل ملاحظه ای در شرکت های سرمایه پذیر برخوردار هستند و می توانند رویه ها و سیاست های آن ها را تحت تاثیر قرار دهند. هدف اصلی تحقیق حاضر، تعیین رابطه ی بین مالکیت نهادی موجود در ساختار شرکت های حاضر در بورس اوراق بهادار تهران و سیاست تقسیم سود آن ها است. در این تحقیق، دو نگرش مختلف (یعنی تئوری نمایندگی و تئوری علامت دهی) در مورد سرمایه گذاران نهادی، آزموده شده است. برای آزمون ارتباط بین سیاست تقسیم سود شرکت و مالکیت نهادی، از سه مدل رگرسیونی (مدل های سود سهام لینتنر (مدل کاملا تعدیل شده و مدل نیمه تعدیل شده) و (مدل واد) استفاده شده است. به طور کلی، نتایج تحقیق بیان گر وجود یک رابطه ی منفی، بین سطح سرمایه گذاران نهادی و سود سهام پرداختی از سوی شرکت بوده و موید تئوری علامت دهی است. این امر نشان می دهد که حضور سهام داران نهادی سبب کاهش استفاده از سود سهام به عنوان علامتی برای عملکرد خوب شرکت می شود. همچنین بر اساس شواهد به دست آمده، رابطه ی مثبت معناداری بین تمرکز نهادی و سود سهام پرداختی از سوی شرکت وجود دارد که مطابق با تئوری نمایندگی است.
    کلیدواژگان: مالکیت نهادی، تئوری نمایندگی، تئوری علامت دهی، سیاست تقسیم سود
  • فرزانه نصیرزاده، علیرضا مستقیمان صفحات 133-158
    تحقیق حاضر دو نظریه ی توازی ایستا و سلسله مراتبی را که از نظریه های ساختار سرمایه هستند، مورد آزمون قرار می دهد. بر اساس نظریه ی توازی ایستا، شرکت ها به دنبال دست یابی به یک ساختار سرمایه (نسبت بدهی) بهینه هستند که ارزش شرکت را حداکثر سازد، در حالی که در نظریه ی سلسله مراتبی شرکت ها بدون توجه به نسبت بدهی بهینه، ابتدا از محل وجوه داخلی و سپس وجوه خارجی اقدام به تامین مالی می نمایند. جامعه ی آماری این تحقیق، در بر گیرنده ی کلیه ی شرکت های پذیرفته شده در بورس اوراق بهادار است و نمونه ی مورد بررسی، شامل 248 شرکت از 20 صنعت مختلف است که داده های آن ها برای بازه زمانی 1381 تا 1388، با استفاده از مدل رگرسیون مقطعی- زمانی (پانل دیتا)، مورد آزمون قرار گرفته است. نتایج نشان می دهد که هیچ یک از دو نظریه ی یاد شده، با قاطعیت کامل، قادر به توصیف ساختار سرمایه ی شرکت های مورد مطالعه نیستند. با این حال، شواهد از نظریه ی توازی ایستا، بیش تر حمایت می-کند. انجام آزمون به تفکیک نوع صنعت، در برخی صنایع، نشان گر تایید نظریه ی سلسله مراتبی است و این موضوع اهمیت نوع صنعت را در تعیین رفتار تامین مالی شرکت ها نشان می دهد.
    کلیدواژگان: ساختار سرمایه، نظریه ی توازن ایستا، نظریه سلسله مراتبی، نسبت بدهی بهینه
  • محمد نمازی، محمد محمدی صفحات 159-194
    هدف اصلی این پژوهش، بررسی کیفیت سود در شرکت های خانوادگی و غیرخانوادگی، در بورس اوراق بهادار تهران است. در پیوند با این پژوهش، سه سوال اصلی مطرح می شود: 1. آیا کیفیت سود شرکت های خانوادگی با شرکت های غیرخانوادگی، در بورس اوراق بهادار تهران متفاوت است؟؛ 2. آیا بین درصد مالکیت، با کیفیت سودآوری، رابطه ای وجود دارد؟ و 3. آیا میانگین بازده سهام شرکت های خانوادگی با شرکت های غیرخانوادگی متفاوت است؟ جامعه آماری پژوهش، شامل 39 شرکت خانوادگی و 79 شرکت غیرخانوادگی است و دوره ی مطالعه، سال های 1381 تا 1386 را در بر می گیرد. برای آزمون فرضیه ها، از «فن آماری رگرسیون چند متغیره و روش آماری داده های ترکیبی» استفاده شده است.
    نتایج پژوهش نشان می دهد که بین کیفیت سود مبتنی بر نسبت «وجه نقد عملیاتی به سود خالص» و همچنین نسبت «انحراف معیار سود عملیاتی به انحراف معیار وجه نقد عملیاتی» در شرکت های خانوادگی و شرکت های غیرخانوادگی، تفاوت معناداری وجود ندارد. با بررسی کیفیت سود در شرکت های خانوادگی و رابطه ی آن با درصد مالکیت خانوادگی، مشخص گردید که بین کیفیت سود مبتنی بر نسبت «وجه نقد عملیاتی به سود خالص» با میزان مالکیت خانوادگی و همچنین نسبت «انحراف معیار سود عملیاتی به انحراف معیار وجه نقد عملیاتی» با میزان مالکیت خانوادگی، رابطه ی معنی داری وجود دارد. افزون بر این، بین میانگین بازده سهام شرکت های خانوادگی با میانگین بازده سهام شرکت های غیرخانوادگی، تفاوت معنی داری وجود ندارد.
    کلیدواژگان: شرکت های خانوادگی، شرکت های غیر خانوادگی، کیفیت سود، بازده سهام، بورس اوراق بهادار تهران
|
  • Dr. A. Khodamipour, M. Qadiri Pages 1-29
    IntroductionInformation is the basis of decision-making of securities market participants that is published by the stock exchange, securities publishers and financial intermediaries of these markets. Use of information and correct decision-making in the securities market is possible when information is timely, relevant, complete and understandable. On the other hand, the type and how to access information are also important. Unequal and asymmetrical data transmission between individuals can cause different results from a subject. Information asymmetry has various undesirable consequences such as decreasing market efficiency, increasing trading costs, low liquidity and generally decreasing the profits of trading in capital markets. These subjects can reflect the importance of information asymmetry and its undeniable influence on economic decisions. The purpose of this study is to investigate the relationship between Accruals and information asymmetry in Tehran Stock Exchange.Research hypothesis Accounting accruals convert cash flows into net income by matching expenses with revenues in the period in which they are earned regardless of when the actual cash flow occurs. Accounting accruals also constitute items that represent managements’ expectations of uncertain future events, and thus are liable to some degree of measurement error. They may also be biased to the extent that managers intentionally misrepresent their expectations to achieve private gain (i.e., “manage earnings”) or convey their private information. Therefore, investors must incur significant information processing costs to fully understand the valuation implications of the accruals.Studies have shown that investors may be slow in reacting to the information in accruals and therefore, misprice them. Mispricing indicates that, on average, investors are not able to discern the information in accruals. This evidence of mispricing coupled with the evidence of selective accrual comprehension by certain sets of informed investors suggests that accruals create informational inequalities in the market, increase the informed trader's informational advantage and exacerbate information asymmetry in the market. On the other hand, Glosten and Milgrom (1995) suggest that information asymmetry in the market leads to increased bid-ask spread. Hence, we expect that with increasing accruals and abnormal accruals, bid-ask spread will increase. To determine this relationship we defined following hypotheses:1) There is positive and significant relationship between bid-ask spread and absolute magnitude of total accruals.2) There is positive and significant relationship between bid-ask spread and absolute magnitude of abnormal accruals.3) After controlling the effect of liquidity, firm size, institutional holding and volatility, there is positive and significant relationship between bid-ask spread and absolute magnitude of total accruals.4) After controlling the effect of liquidity, firm size, institutional holding and volatility, there is positive and significant relationship between bid-ask spread and absolute magnitude of abnormal accruals.MethodsThis research is of descriptive-correlative type. The study sample includes 101 companies listed in Tehran Stock Exchange for a period of seven years (2003-2010). We used Panel Data simple and multiple linear regression analysis to examine the hypotheses. The significance of the models and coefficients has been examined using F-statistic and t-statistic at the 0.05 levels. In order to test the poolability and determine whether the Fixed Effects or Random Effects is appropriate we used Chow Test and Hausman Test. In this investigation, the information asymmetry and the components of accruals have been estimated by bid-ask spread and Jones adjusted model based error estimation. The variables being considered are: bid-ask spread as the dependent variable, absolute magnitude of total accruals and absolute magnitude of abnormal accruals as the dependent variable; and the control variables are liquidity, firm size, institutional holding and volatility. ResultsAccording to the results of Chow Test and Hausman Test, all hypotheses have been examined using Fixed Effect Panel Data model. The result of statistical test show that the Bid-Ask spread is positively related to the absolute magnitude of abnormal accruals. However, the results do not show significant relationship between absolute value of total accruals and information asymmetry. Furthermore, the findings revealed the existence of a negative and significant relationship between stock liquidity, firm size and percentage of institutional ownership and information asymmetry. Also, the results indicated that there is a significant positive relationship between information asymmetry and volatility of stock returns.Discussion and ConclusionIn this paper, we investigate whether the heterogeneous response among investors to accruals exacerbates information asymmetry in the market. We test this argument by studying the relation between absolute magnitude of total and abnormal accruals on the bid-ask spread. The results of study provide empirical evidence of a positive association between the bid-ask spread and abnormal accruals. Based on the results we find that in the capital market of Iran, abnormal accruals create informational inequalities, increase the informed trader's informational advantage and exacerbate information asymmetry. However, the results do not show significant relationship between absolute value of total accruals and information asymmetry.Existence of a negative relationship between firm size and information asymmetry suggests that in Iran, small companies have less transparency for outside investors but larger firms generally have greater media coverage and higher analyst following. Hence, large-sized firms are associated with a more information-rich environment, which results in lower information asymmetries among investors. With regard to negative relationship between trading volume and information asymmetry it seems that in asymmetric conditions, Iranian investors are faced with the adverse selection problem, so that the risks resulting from this phenomenon leads to reduced liquidity. The findings of the study also show that there is less information asymmetry in the companies with high percentage of institutional holding.
  • Dr. M. H. Qaemi, M. Rahimpour, R. Nozari Pages 31-50
    Introduction
    Information asymmetry is costly for the investors because it enhances the transaction costs. The finance literature considers the bid-ask spread an important component of the total transaction costs incurred by investors while dealing in securities. (Stoll 1978) The bid-ask spread emerges from the need for a supplier who stands ready in the market with his bid and ask quotes to execute any unfulfilled orders and to maintain liquidity at all times. The bid price represents the price at which the specialist offers to buy shares in the market. The ask price refers to the price at which the specialist offers to sell in the market. The difference between these two prices is called the bid-ask spread.Venkatesh and Chiang (1986) argue that a specialist in a firm’s stock may be construed as an uninformed trader who is under the risk of heavy losses to informed traders since he or she must be willing to trade at all times. Bid-ask spread is the dealer’s source of revenue to offset the expected losses resulting from the trading activity of the informed traders. Hence, the bid-ask spread set by the market is an increasing function of the adverse selection problem perceived which in turn depends upon the amount of firm-specific information asymmetry in the market. One part of the spread, namely the adverse selection component, is a result of revisions made by the market maker to widen the spread subsequent to informed trades (Copeland and Galai 1983, and Glosten and Milgrom 1985).Glosten and Harris (1988) find that the adverse selection cost of the spread is directly related to the perceived level of information asymmetry in the capital market. Stoll (1989) provides empirical evidence that the adverse information component is around 43% of the total spread and it is an inevitable component of the spread.This paper provides new empirical evidence on the relationships between quarterly earnings announcements, information asymmetry, in Tehran Stock Exchange. These results have implications for our understanding of how the influence of quarterly earnings announcements on stock market asymmetry.Hypothesis: Corporate disclosures aim to reduce the expectation gap between investors, to decrease the advantage from which informed investors benefit, and consequently to reduce the effects of information asymmetry on the cost of capital. This argument is based on the intuition provided by Akerlof (1970), according to whom information asymmetry generates costs by introducing adverse selection into transactions. This is likely to decrease liquidity and increase firm’s cost of capital (Diamond and Verrecchia, 1991).The following hypothesis on the base of the previous theories for investigating has been considered.H1: The quarterly earnings announcement decreases information asymmetry.H2: The quarterly earnings announcement with good news decreases the information asymmetry more than announcement of quarterly earning with bad news.
    Methods
    We test the change in information asymmetry using panel data regression analyses. Then, we examine information asymmetry proxies around quarterly earnings announcements by focusing on effective bid-ask spreads. With panel data, it is possible to control for some types of omitted variables by observing changes in the dependent variable over time (in our case, we choose 21 days around the date of announcement). The models are estimated on the event period [-20, +20]. We run four separate regressions to determine whether spreads widen on any of the three days surrounding the earnings announcement date and on the event window [-20, +20], and whether information asymmetry increases in the same periods.We run next model based on [-20, -2] and [+2, +20], and [-10, -2] and [+2, +10]. LN(SPREADi,t)= α0 + α1 LN(VOLUMEi,t)+ α2 LN(PRICEi,t)+ α3 LN(VOLATILITYi,t)+ α4 LN(AVi,t)+ α5 LN(BVi,t) + α6Di,t+ α7 Ii,t+ α8 Pi,t + α9 Pert + ei,tControl variables are bid and ask volume, dividend declaration (D), declaration of capital increasing (I), and portfolio declaration (P). Pert is dummy equal to 1 if the period goes from -20 to -1 and 0 otherwise.Dit: is dummy equal to 1 if the period goes from -20 to -20, dividend declaration and 0 otherwise.Iit: is dummy equal to 1 if the period goes from -20 to -20, declaration of capital increasing and 0 otherwise.Pit: is dummy equal to 1 if the period goes from -20 to -20, portfolio declaration and 0 otherwise.To determine bad and good announcement we use the following equation. : the growth of predicted earnings for the year(t) related to actual earnings for the year(t-1).: predicted earnings by management for the year (t). Et-1: Actual earnings for the year (t).: The growth of predicted earnings for quarter (Q) at year (t) related to actual earnings for quarter (Q) at the year (t-1).EQ,t: predicted earnings for the quarter (Q) at the year (t).EQ,t-1: actual earning for the quarter (Q) at the year (t-1).If the growth of quarterly earnings (Q) at year (t) is equal or more than predicted growth for the year (t), the announcement quarterly earnings is good news and otherwise is bad news.
    Results
    Our results show the information asymmetry after the announcement of quarterly earnings. This finding is shown at the announcement with good and bad news. Although the results show that the announcement of quarterly earnings in comparison to the announcement of annual earnings does not have significance in decreasing information asymmetry, it is better to care about information content assessment at the announcement of quarterly earnings.
    Keywords: Information Asymmetry, Bid-Ask Spread, Accruals, Abnormal Accruals
  • Dr. M. Kashanipoor, Dr. S. Rasekhi, B. Naghinejad, A. Rasaiian Pages 51-74
    Introduction
    In recent years, the subject of investment-cash flow sensitivity has been an important and controversial issue among researchers. They argued that financially constrained firms have a larger cost differential between internal and external funds and hence rely more on internal cash for making investments (Arsalan et al, 2006). This paper investigates the investment-cash flow sensitivity and the role of cash holding on reducing this sensitivity in an emerging market, named Tehran stock exchange (TSE). This paper contributes to the development of empirical literature on several grounds:1.We use variety proxies (firm size, firm age, dividend payout ratio, business group, financial leverage, percentage of block holders ownership, cash holding and optimal cash model (dynamic model)) as financially constrains agency. From this viewpoint, our work is similar to (Arsalan et al, 2006).2. We use panel data (fixed effects model) to estimate investment model instead of cross-sectional analyses. Because we believe that cross-sectional, analyses may reduce variation in variables, and consequently yield poor results.3. Iranian firms, apart from US, UK, or other developed countries firms, are facing with tighter financial constraints. The TSE is a small market and advanced financial instruments such as options, and futures do not exist in it so far and the place and role of information intermediaries such as financial analysts, industry experts and the financial presses feel is empty in the capital market mechanism. These conditions appear to be good opportunities for studying the impact of financial constraints on cash flow sensitivity of investment. Research Questions or hypothesis: In the absence of capital market imperfections, there are accurate substitutions between internal and external funds and all firms have equal access to external funds. However, for existence of capital market imperfections (information asymmetry and agency conflicts), the costs of internal financing and external financing are different. High wedge between the costs of internal and external financing may lead firms to rely more on internal cash flows for investment financing. The question of this research is:Do financially constrained firms have a larger Investment-Cash Flow Sensitivity than unconstrained firms in Tehran Stock Exchange do? The research hypothesis is as follows: Financially constrained firms have a larger Investment-Cash Flow Sensitivity than unconstrained firms do in Tehran Stock Exchange. The period of research is years 1381-1387.
    Methods
    The measure has been used in the literature to assess the degree of financial constraints experienced by firms is the sensitivity of investments to availability of internal funds, after controlling for investment opportunities as measured by Tobin’s Q (Hovakimian,2010). Consequently, investment model is defined under a linear model to determine financial constraints effects on the cash flow sensitivity of investment. (1) INV is the ratio of capital expenditures in the fixed assets to net fixed assets at the beginning of period. CFLOW is the ratio of operating cash flows to net fixed assets at the beginning of period. Q represents growth opportunities measured by the ratio of book value of total liabilities plus market value of equity to book value of total assets. In the perfect capital markets, the coefficient of CFLOW must be insignificant and the coefficient of Q must be significant (Kadapakkam et al, 1998). The positive and significant coefficient for CFLOW interpreted as instances of financial constraints. Financial constraints defined as firms that have restrictive and costly access to external capital markets. As result, financially constrained firms have to rely more on internal funds for making investment (Hovakimian and Hovakimian, 2009). In contrast, financially unconstrained firms have unrestrictive access to capital markets and their external financing costs are tiny. NFC firms do not rely on internal funds for investment making. Then, the first hypothesis is defined as follows: financial constraints (FC) firms have higher investment-cash flow sensitivity than non-financial constraints (NFC) firms. For testing, the above hypothesis, all firms in the sample, were separated into two groups, named, FC and NFC.Then the investment model (model 1) runs in two groups, separately (George et al, 2008).Model (1) is examined based on optimal cash model. Optimal cash model is specified as follows:Firm size: Following Arsalan et al (2006) and Kadapakkam et al (1998) among others, we rank firms on the basis of firm size (measured by natural logarithm of book value of total assets) and assigned to FC (NFC) group those firms whose sizes fall below (above) the median size in the sample. The main argument here is that smaller firms have higher information asymmetry and agency conflicts than larger firms.FIRM AGE: Older firms have an established reputation in the market, which facilitates their access to external finance, mainly because their relationships with creditors settled within a longer time span. Moreover, there is a positive relationship between size and age. We rank firms on the basis of firm age (measured by the number of years that have elapsed from the firm's establishment date) and assigned to FC (NFC) group those firms whose age lies below (above) the median age in the sample (George et al, 2008).Dividend payout ratio: The argument that firms with higher dividend payout ratios can cut dividends in financial distresses and use it for internal financing. However, in using this proxy caution must keep, since cutting of dividends may hurt the firm's reputation and reduce the market value of equity. Dividends may be regard as an efficient instrument to mitigate managers – shareholders conflict. Dividends reduce free cash flow and force the firm to attract capital from external sources. Dividend payout ratio measured by dividend payments to book value of total assets at the beginning of period. We rank firms on the basis of dividend payout ratio and assigned to FC (NFC) group those firms whose dividend payments lies below (above) the median dividend payout ratio in the sample.Business Group: The main argument is that group membership in financial distresses helps the poor membership. Intra-group loans are an important means of transferring cash across group firms and typically used to support financially weaker firms. They argued that the main reason for these financial aids might be to avoid default by a group firm and consequent negative spillovers to the rest of the group. Affiliated firms in comparison with stand-alone firms are less prone to bankruptcy and experiences of financial distresses. The reasons for this claim retrieved from some features of affiliated firms. First, banks and other financial institutions may be more willing to lend to firms that belong to a business group. Second, diversified nature of business groups may cause risk sharing and hence, the cost of external financing will be low. Third, group name can play valuable role (reputation effects). Fourth, intra-group capital markets may look as cheap market for external financing. Economists who have studied business groups have tended to emphasize that group affiliates linked together through equity cross-ownership patterns (George et al, 2008).Financial leverage: The argument is that firms with higher financial leverage ratios had to use internal financing (George et al, 2008). Ownership Structure (Percentage of block holders ownership): The argument is that firms with lower Percentage of block holders ownership have financial constrains (George et al, 2008).Cash holding: There are various explanations for the question why firm hold large amounts of cash and cash equivalents. The assumption of no financial frictions is unrealistic. The capital market imperfections (information asymmetry and agency conflicts) impose severe external financing costs to the firms. As a result, firms hold large amounts of cash balances for minimizing financing costs. However, holding of large cash balances may cause agency conflicts between managers and shareholders with respect to the free cash flow theory (Almeida et al, 2004). Cash flows are measured using operating cash flows obtained from cash flow statement.
    Results
    This study utilized financial information of 96 firms of Tehran Stock Exchange during 1381 to 1387. Results show that financial constraints firms have higher investment-cash flow sensitivity than the other firms do. In other words, financial constraints firms, in investment making decisions rely highly on internal cash flows.Discussion and
    Conclusion
    This paper presents a wide literature in the field of the cash flow sensitivity of investment and the hedging role of cash holding. Our findings show that the cash flow sensitivity of investment in the financially constrained firms is higher than in the unconstrained firms. It seems that firm size, firm age, dividend payout ratio, financial leverage, percentage of block holders ownership and business group proxies are accurate agencies of financial constraint existence according to theories. Moreover, the results show that using cash holding and optimal cash model as a financially constrained agency prudence are not forgotten. It is appropriate to suppose that cash holding acts in the opposite direction of size, age, dividend and business group proxies. In addition, we found cash holding could not reduce the effect of capital market imperfections on investment-cash flow sensitivity. Firms with restricted access to capital markets and high costs of external financing save a high portion of assets in cash but this strategy has failed to reduce financial constraint's effects on investment-cash flow sensitivity.
    Keywords: Investment, cash Flow, Sensitivity Financial Constraints, Optimal Cash Model, Cash Holding, Tehran Stock Exchange
  • Dr. G. Kordestani, M. Najafi Omran Pages 75-108
    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). CARi,t+1 = α + β1*∆Fini,t + β2*UX i,t + β3* BETA i,t + β4*SIZE i,t + ei,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 β2H to be positive and significantly different from zero in the model (4). CAR t+1 = α + β1*UXt + β2*I/XFt*UXt + β2,H*HI*I/XFt*UXt + β3*LEVt*UXt + β4*BETAt*UXt + Β5* PERSt*UXt + β6*HIt*UXt + β7*SIZEt*UXt + et+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).
    Keywords: Cumulative Abnormal Returns, Financing methods, Net Operating Assets, Internal Financing, External Financing
  • Dr. G. R. Karami, Dr. S. Mehrani, H. Eskandar Pages 109-132
    Introduction
    Dividend has a special position among decision makers. Dividend policies depend on several factors. One of these factors is ownership structure. Different stockholders have different interests in relating to dividend. Among stockholders, institutional owners have an influence on companies because of their substantial investments; and can affect companie's policies (including dividend policies). The main goal of this study is the determination of relationship between institutional ownership and dividend policy in Tehran Stock Exchange.There are two theories about this relationship. Agency theory hypothesizes a positive relationship between institutional ownership and dividend, as institutions demand dividends in order to reduce managerial discretionary funds and agency costs. Under signaling theory, institutional shareholders may be viewed as alternative for dividend to signal good performance. The existence of institutional shareholders may mitigate the use of dividends as a signal of good performance, as these owners themselves can act as a (more) credible signal. With this theory, a negative relation is predicted between dividends and institutional shareholders. Research Hypotheses: To assess the purpose of this study, two research hypotheses are chosen. These hypotheses are as follow: 1. There is a significant relationship between institutional ownership and dividend payout. 2. There is a significant relationship between concentrated institutional ownership and dividend payout. Research
    Method
    On the basis of purpose and method, this study is a practical and descriptive research. Three regression models (The dividend models of Lintner (Full adjustment method and partial adjustment method) and Waud) are used to test the relation between dividend policy and institutional ownership. The sample for this study is comprised of 61 firms listed in Tehran Stock Exchange (TSE) over 8 years.
    Results
    In this study, two theories (agency theory and signaling theory) about institutional ownership were examined. The results demonstrate the evidence of a negative association between institutional ownership and dividend payout and approve signaling theory. It shows the presence of institutional investors results in lessening usage from dividend as signal for good corporate performance. According to evidences, a positive relationship exists between dividend payout and concentrated institutional ownership that approves agency theory.
    Keywords: Institutional ownership, Concentrated Institutional Ownership, Agency Theory, Signaling Theory, Dividend Policy
  • Dr. F. Nasirzadeh, A. R. Mostaqiman Pages 133-158
    Introduction
    This study examines two theories including static trade-off and pecking order theories which belong to the capital structure’s theories. According to static trade-off theory, firms are searching for an optimum capital structure which maximizes the corporate value. Regarding this theory, firms ask for establishing a balance between benefits and cost of issuing the debts. The benefits of issuing the debts would be the tax deductibility of the interest and conflict decreasing between the shareholders and managers. On the other hand, the cost of issuing the debts would comprise potential bankruptcy cost and conflict between the shareholders and creditors. According to the pecking order theory, regardless to leverage optimal, financing decision through the internal funds would be the priority for firms, and when the internal funds are not enough, they use the external funds; in the meantime, they prefer issuing the debts to issuing the shares. Research questions or Hypotheses First hypothesis: capital structure model of TSE accepted companied can be defined by static trade-off theory. Second hypothesis: capital structure model of TSE accepted companied can be defined by pecking order theory. Undoubtedly, the acceptance of each of these theories does not necessarily mean another’s rejection.
    Methods
    Statistical community of this study includes all TSE accepted companies and the examined sample includes 279 companies from 21 various industries. Thereafter, the data of 279 companies for the period of 5 years from 2002 to 2006 is being analyzed. The nature of data is compound in this study, a combination of time series and cross sectional data. The data are analyzed by the descriptive statistical methods, and for testing the hypotheses, time series cross sectional regression is used.
    Results
    Results show that none of these theories can explain company’s capital structure. Nevertheless, the evidences are of the static trade-off theory. Testing the given hypotheses based on the industry shows the confirmation of the pecking order theory which emphasizes the importance of industry kind in order to determine the companies’ financing decision behavior. Discussion and
    Conclusion
    Results indicate a positive significant relationship between the long-term debt changes of studied companies and the required adjustment in order to gain the optimal leverage. In other words, the studied companies have tried to reach the long-term debts to the industry average debt which support the static trade-off theory. However, these conclusions cannot be generalized to all industries since there are just 12 studied industries in which the first hypothesis is accepted. The conclusions which result from the static trade-off theory differ from Sunder and Myers’ (1998) confirming the pecking order theory. Even though, the results are of the Flannery and Rangan’s (2006); and are of the Bagherzadeh’s researches in Iran which confirm the static trade-off theory more.
    Keywords: Capital Structure, Determinant of Capital Structure, the Static Trade, off Theory, the Pecking Order Theory, Optimal Leverage
  • Dr. M. Namazi, M. Mohammadi Pages 159-194
    Introduction
    This study aims at examining earnings quality of family firms and non-family firms in the Tehran Stock Exchange (TSE) to determine whether earnings quality of family firms and non-family firms are significantly different or not. In effect, it demonstrates important differences between family firms and non-family firms in corporate profitability and value, which is important for shareholders, via an empirical method, and expands the boundaries of accounting and financial knowledge in this growing field. Research hypothesis: Following the literature in this area (e.g., Anderson and Rybe, 2003 and Wang, 2006), the main hypothesis of this research is: In TSE, earnings quality of the family firms and non-family firms is different. In approaching this hypothesis, the following subhypotheses are expressed: 1- In family firms, earnings quality based on the "net operating cash to net income" would be different from non-family firms. 2- In family firms, earnings quality based on the "standard deviation of the operating income to the standard deviation of the operating cash" would be different from non-family firms. 3- A significant relationship exists between earnings quality based on the "cash operating to net income" with the family percentage ownership. 4- A significant relationship exists between family ownership and earnings quality based on the "standard deviation of the operating income to the standard deviation of the operating cash". 5- The average stock returns of the family firms and non-family firms are different.
    Methods
    In this study, companies are regarded as family firms when: 1) at least 20 percent of the shares, individually or collectively, belongs to family members, or 2) at least one member of the firm, by-law or ancestral relatives, is the member of the board or executive director and actively participates in the board and 3) at least two generations of the family are involved in controlling the company. Non-family firms are those firms that maintain none of the conditions expressed for the family firms. Given the preceding definition, 39 family firms and 76 non-family firms among companies listed in the Tehran Stock Exchange were identified, during 2002-2007. To collect data, archival method and Tehran Stock Exchange databases were utilized. To obtain the required information, weekly and monthly reports from the stock exchange, and Sahra, Tadbir Pardaz and Rahavard Novin Softwares were also employed. Consequently, Panel data, regression analysis was performed, and this was exerted by SPSS16 and EVIEWS6 software.
    Results
    Data relating to the first and second hypotheses indicate that no significant difference exist between earnings quality of the family firms and non-family firms. The third and fourth hypothesis analysis reveal a significant relationship between the percentage of the family ownership and earnings quality. And the fifth hypotheses indicates that there is not a significant difference between stock returns of the family firms and non-family firms. Conclusion and
    Discussion
    Based on the first and second hypothesis, family and non-family firms earnings quality have no significant difference at the level of 95% confidence. Based on the third and fourth hypotheses, no significant relationship was observed between control variables and earnings quality; but a significant relationship between earnings quality and family ownership percentage was confirmed. According to the definition of family firms, in the first and second hypotheses, the relationship between family ownership and earnings quality was not confirmed, but with measuring the relationship, it was clear that a significant relationship exists between these two variables. In the fifth hypothesis, possible differences between stock returns of the family and non-family firms were investigated. In this hypothesis, stock returns was defined as "the difference in stock prices in a period to its prior period plus any dividends". After investigating existing stock returns of the family and non-family firms, no difference in stock returns of the family and non-family firms was found at the level of 95% of confidence.
    Keywords: Family Firms, Non, family Firms, Earnings Quality, Stock Return, Family Ownership