mahnam molaei; naser izadinia; hadi Amiri
Abstract
The purpose of this study is to investigate the information content of a new risk measure (earnings downside risk) in financial statement analysis, which is based on the below-expectation variability in earnings. So, the relation between earnings attributes, earnings beta, earnings volatility, return ...
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The purpose of this study is to investigate the information content of a new risk measure (earnings downside risk) in financial statement analysis, which is based on the below-expectation variability in earnings. So, the relation between earnings attributes, earnings beta, earnings volatility, return downside risk and negative skewness of stock return with earnings downside risk were examined. Five main hypotheses and seven sub-hypotheses were defined and data were analyzed for 91 companies members of Tehran stock exchange of the period from 2000 to 2014. The research regression model was tested using panel data method. The results of research show that accruals quality, persistence, predictability, smoothing, timeliness, earnings beta, earnings volatility, return downside risk and negative skewness of stock return have a significant relation with the earnings downside risk. Therefore, it can be calculated that information on this risk measures falls in the earnings downside risk. Relevance and conservatism variables, although in regression analysis did not have a significant relation with the earnings downside risk along with other risk factors, but in the correlation analysis, there is a significant and negative relationship with the earnings downside risk.
darioush foroughi; Hadi Amiri; Seyed Mohammad Alsharef
Abstract
The purpose of the study is to investigate the influence of accruals on future assets’ returns and future stocks returns. Due to their estimating nature, accruals are less stable relative to cash flows; therefore, they are more influential on returns; however, financial distress may increase or ...
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The purpose of the study is to investigate the influence of accruals on future assets’ returns and future stocks returns. Due to their estimating nature, accruals are less stable relative to cash flows; therefore, they are more influential on returns; however, financial distress may increase or decrease the influence of accruals on future returns. The study sample includes 117 companies incorporated in Tehran Stock Exchange between 2006 and 2015. The findings of this study reveal that the influence of accruals on the future returns of assets in the companies suffering financial distress is less which is owing to more persistency of the accruals (much real estimations) in the companies struggling with financial distress. Furthermore, the influence of accruals on the future returns of the stocks in the companies suffering financial distress is less which is due to less abnormality of accruals (less mispricing) in companies suffering financial distress compared to companies with non-financial distress. Key words: Financial Distress, Abnormality of Accruals, Persistence Argument, Assets Returns, Stock Returns.
