Document Type : Research Paper
Authors
Abstract
Abstract
The present study aims at investigating the influence of earnings quality measures on excess stock return and the capability of each one of those measures in explanation for this excess. For so doing, in the current research, eight measures for earnings quality in four total categories have been used: time series measures (persistence and earnings predictability), smoothness measures (volatility of earnings or accruals to operating cash flows volatility), accruals-based measures (abnormal accruals and accruals quality) and market-based measures (earnings response coefficient and value relevance). Research sample consists of 62 firms listed in Tehran Stock Exchange in time interval of 1376-1392 (1997-2013). Findings indicate that among measures for earnings quality, accruals-based measures and value relevance have negative and significant influence on the absolute of excess stock return. Time series measures, accruals volatility to operating cash flows volatility (earnings smoothing), and earnings response coefficient have significant but positive influence on the absolute of excess stock return. Furthermore, earnings volatility to operating cash flows volatility (earnings smoothing) does not have significant influence on the absolute of excess stock return. Also, among the Criteria for earnings quality, accruals-based measures have more ability than other measures in explanation of the absolute of excess stock return.
Keywords
احمدپور، احمد و معصومه شهسواری ( 1393 ). مدیریت سود و تاثیر کیفیت سود بر
سودآوری آتی شرکت های ورشکسته بورس اوراق بهادار تهران. مطالعات تجرب ی
.37- حسابداری مالی، دوره 12 ، شماره 41 ، صص 58
کردستانی، غلامرضا و سیامک طایفه ( 1392 ). ویژگی های کیفی سود و هزینه سرمایه
.75- سهام عادی. تحقیقات مالی، دوره 15 ، شماره 1، صص 94
کرمی، غلامرضا و وحید افتخاری ( 1392 ). بررسی برخی معیارهای کیفیت سود
، حسابداری در چرخه های تجاری. بررسیهای حسابداری و حسابرسی، دوره 20
.93- شماره 4، صص 112
مرادی، محمد علی و مصطفی نجار ( 1392 ). بررسی رابطه بین مازاد سرمایه در گردش و
- مازاد بازده سهام. بررسیهای حسابداری و حسابرسی، دوره 20 ، شماره 2، صص 132
.109
مشایخی، بیتا و مهدی محمدآبادی ( 1390 ). رابطه مکانیزم های حاکمیت شرکتی با کیفیت
.17- سود. پژوهش های حسابداری مالی، دوره 3، شماره 2، صص 32
مهرانی، ساسان، اسدی، قربان و حمیدرضا گنجی ( 1393 ). رابطه بین کیفیت سود،
هموارسازی سود و ریسک سهام. مطالعات تجربی حسابداری مالی، دوره 11 ، شماره
.115- 42 ، صص 137
Allayanis, G., B. Rountree and J. Weston. (2008). Do Investors Value Smooth Performance? Journal of Financial Economics, Vol. 90, No. 3, Pp. 237–51.
Bartov, E., S. Radhakrishnan and I. Krinksy. (2000). ‘Investor Sophistication and Patterns in Stock Returns after Earnings Announcements’. The Accounting Review, Vol. 75, No. 1, Pp.43–63.
Cornell, B. and Landsman, W. (2003). Accounting Valuation: Is Earnings Quality an Issue? Financial Analysts Journal, Vol. 59, Pp. 20-29.
Dechow, P., R. Sloan and A. Sweeney (1995). ‘Detecting Earnings Management’, The Accounting Review, Vol. 70, No. 2, Pp. 193–225.
Dechow, P. M. and I. D. Dichev. (2002). ‘The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors’. The Accounting Review, Vol. 77, Supplement, Pp. 35–59.
تاثیر معیارهای کیفیت سود بر مازاد بازده سهام 27
Dechow, P., Ge, W. and Schrand, C. (2009). Understanding Earnings quality: A Review of the Proxies, Their Determinants and Their Consequences, Haas School of Business, University of California.
Dechow, P. M., W. Ge and C. M. Schrand. (2010). ‘Understanding Earnings Quality: A Review of the Proxies, Their Determinants and Their Consequences’. Journal of Accounting and Economics, Vol. 50, Nos. 2–3, Pp. 344–401.
Ewert, R. and A. Wagenhofer. (2012). ‘Earnings Management, Conservatism, and Earnings Quality’. Foundations and Trends in Accounting, Vol. 6, No. 2, Pp. 65–186.
Fama, E. and K. French. (1992). ‘The Cross-Section of Expected Stock Returns’. Journal of Finance, Vol. 47, No. 2, Pp. 427–65.
Francis, J., R. LaFond, P. M. Olsson and K. S chipper. (2004). ‘Costs of Equity and Earnings Attributes’. The Accounting Review, Vol. 79, No. 4, pp. 967–1,010.
Francis, J., R. Lafond, P. M. O lsson and K. S chipper. (2005). ‘The Market Pricing of Accruals Quality’. Journal of Accounting and Economics, Vol. 39, No. 2, Pp. 295–327.
Francis, J., P. O lsson and K. S chipper. (2006). ‘Earnings Quality’. Foundations and Trends in Accounting, Vol. 1, No. 4, Pp. 259–340.
Francis, J., R. Lafond, P. Olsson & K. Schipper. (2007). ‘Information
Uncertainty and Post-Earnings-Announcement-Drift’. Journal of
Business Finance & Accounting, Vol. 34, Nos. 3–4, Pp. 403–33.
Francis. R.N. (2010). The Relative Informational Content of Operating and Financing Cash-Flow in the Proposed Cash-Flow Statement. Journal of Accounting and Finance, Vol. 50, No. 2, Pp. 829-851.
Fairfield, P. M., S. Whisenant and T. Lombardi Yohn. (2003). ‘Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing’. The Accounting Review, Vol. 78, No. 1, Pp. 353–71.
Graham, J. R., C. R. Harvey and S. Rajgopal. (2005). ‘The Economic Implications of Corporate Financial Reporting’. Journal of Accounting and Economics, Vol. 40, Nos. 1–3, Pp. 3–73.
Hirshleifer, D., S. S. Lim and S. H. Teoh (2011), ‘Limited Investor Attention and Stock Market Misreactions to Accounting Information’, Review of Asset Pricing Studies, Vol. 1, No. 1, pp. 35–73.
Holthausen, R. W. and R. L. W atts (2001), ‘The Relevance of the Value-relevance Literature for Financial Accounting Standard Setting’, Journal of Accounting and Economics, Vol. 31, Nos. 1–3, pp. 3–75.
Jones, J. (1991). ‘Earnings Management during Import Relief Investigations’. Journal of Accounting Research, Vol. 29, No. 2, Pp. 193–228.
Kim, D. and Y. Qi. (2010). ‘Accruals Quality, Stock Returns, and Macroeconomic Conditions’. The Accounting Review, Vol. 85, No. 3, Pp. 937–78.
Leuz, C., Nanda, D. and Wysocki, P. (2003). Earning Management and Investor Protection: an International Comparison. Journal of Financial Economics, Vol. 69, Pp. 505-527.
Marinovic, I. (2013). ‘Internal Control System, Earnings Quality, and the Dynamics of Financial Reporting’. Rand Journal of Economics, Vol. 44, No. 1, Pp. 145–67.
Nanda, F., C. Leuz and P. D. Wysocki. (2003). ‘Earnings Management and Investor Protection: An International Comparison’. Journal of Financial Economics, Vol. 69, No. 3, Pp. 505–27.
Penman, S. and J. Zhu. (2011). ‘Accounting Anomalies, Risk and Return’, Working Paper (New York, NY/Boston, MA: Columbia University/Boston University).
Perotti, P. and Wagenhofer, A. (2014). ‘Earnings Quality Measures
and Excess Returns’. Journal of Business Finance & Accounting,
Vol. 41, Pp. 545–571.
Peterson, K., Schmardebeck, R. and Wilks, T. (2015). The earnings quality and information processing effects of accounting consistency. The Accounting Review, In-Press.
Schipper, K. and L. V incent. (2003). ‘Earnings Quality’. Accounting
Horizons, Vol. 17, Supplement, Pp. 97–110.
Schwert, W. (2002). ‘Anomalies and market efficiency’. The Bradley Policy Research Center Financial Research and Policy, No.FR 02-13, Pp. 1-54.
Sloan, R. (1996). ‘Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? The Accounting Review, Vol. 71, Pp. 289–315.
Sun, Q., Yung, K. and Rahman, H. (2012). Earnings quality and corporate cash holdings. Accounting & Finance, Vol. 52, No. 2, Pp. 543-571.
Wooldridge. (2005). ‘Introductory Econometrics’. Edit 3.
Zhang, X. F. (2006). ‘Information Uncertainty and Stock Returns’. Journal of Finance, Vol. 61, No. 1, Pp. 105–36.
سودآوری آتی شرکت های ورشکسته بورس اوراق بهادار تهران. مطالعات تجرب ی
.37- حسابداری مالی، دوره 12 ، شماره 41 ، صص 58
کردستانی، غلامرضا و سیامک طایفه ( 1392 ). ویژگی های کیفی سود و هزینه سرمایه
.75- سهام عادی. تحقیقات مالی، دوره 15 ، شماره 1، صص 94
کرمی، غلامرضا و وحید افتخاری ( 1392 ). بررسی برخی معیارهای کیفیت سود
، حسابداری در چرخه های تجاری. بررسیهای حسابداری و حسابرسی، دوره 20
.93- شماره 4، صص 112
مرادی، محمد علی و مصطفی نجار ( 1392 ). بررسی رابطه بین مازاد سرمایه در گردش و
- مازاد بازده سهام. بررسیهای حسابداری و حسابرسی، دوره 20 ، شماره 2، صص 132
.109
مشایخی، بیتا و مهدی محمدآبادی ( 1390 ). رابطه مکانیزم های حاکمیت شرکتی با کیفیت
.17- سود. پژوهش های حسابداری مالی، دوره 3، شماره 2، صص 32
مهرانی، ساسان، اسدی، قربان و حمیدرضا گنجی ( 1393 ). رابطه بین کیفیت سود،
هموارسازی سود و ریسک سهام. مطالعات تجربی حسابداری مالی، دوره 11 ، شماره
.115- 42 ، صص 137
Allayanis, G., B. Rountree and J. Weston. (2008). Do Investors Value Smooth Performance? Journal of Financial Economics, Vol. 90, No. 3, Pp. 237–51.
Bartov, E., S. Radhakrishnan and I. Krinksy. (2000). ‘Investor Sophistication and Patterns in Stock Returns after Earnings Announcements’. The Accounting Review, Vol. 75, No. 1, Pp.43–63.
Cornell, B. and Landsman, W. (2003). Accounting Valuation: Is Earnings Quality an Issue? Financial Analysts Journal, Vol. 59, Pp. 20-29.
Dechow, P., R. Sloan and A. Sweeney (1995). ‘Detecting Earnings Management’, The Accounting Review, Vol. 70, No. 2, Pp. 193–225.
Dechow, P. M. and I. D. Dichev. (2002). ‘The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors’. The Accounting Review, Vol. 77, Supplement, Pp. 35–59.
تاثیر معیارهای کیفیت سود بر مازاد بازده سهام 27
Dechow, P., Ge, W. and Schrand, C. (2009). Understanding Earnings quality: A Review of the Proxies, Their Determinants and Their Consequences, Haas School of Business, University of California.
Dechow, P. M., W. Ge and C. M. Schrand. (2010). ‘Understanding Earnings Quality: A Review of the Proxies, Their Determinants and Their Consequences’. Journal of Accounting and Economics, Vol. 50, Nos. 2–3, Pp. 344–401.
Ewert, R. and A. Wagenhofer. (2012). ‘Earnings Management, Conservatism, and Earnings Quality’. Foundations and Trends in Accounting, Vol. 6, No. 2, Pp. 65–186.
Fama, E. and K. French. (1992). ‘The Cross-Section of Expected Stock Returns’. Journal of Finance, Vol. 47, No. 2, Pp. 427–65.
Francis, J., R. LaFond, P. M. Olsson and K. S chipper. (2004). ‘Costs of Equity and Earnings Attributes’. The Accounting Review, Vol. 79, No. 4, pp. 967–1,010.
Francis, J., R. Lafond, P. M. O lsson and K. S chipper. (2005). ‘The Market Pricing of Accruals Quality’. Journal of Accounting and Economics, Vol. 39, No. 2, Pp. 295–327.
Francis, J., P. O lsson and K. S chipper. (2006). ‘Earnings Quality’. Foundations and Trends in Accounting, Vol. 1, No. 4, Pp. 259–340.
Francis, J., R. Lafond, P. Olsson & K. Schipper. (2007). ‘Information
Uncertainty and Post-Earnings-Announcement-Drift’. Journal of
Business Finance & Accounting, Vol. 34, Nos. 3–4, Pp. 403–33.
Francis. R.N. (2010). The Relative Informational Content of Operating and Financing Cash-Flow in the Proposed Cash-Flow Statement. Journal of Accounting and Finance, Vol. 50, No. 2, Pp. 829-851.
Fairfield, P. M., S. Whisenant and T. Lombardi Yohn. (2003). ‘Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing’. The Accounting Review, Vol. 78, No. 1, Pp. 353–71.
Graham, J. R., C. R. Harvey and S. Rajgopal. (2005). ‘The Economic Implications of Corporate Financial Reporting’. Journal of Accounting and Economics, Vol. 40, Nos. 1–3, Pp. 3–73.
Hirshleifer, D., S. S. Lim and S. H. Teoh (2011), ‘Limited Investor Attention and Stock Market Misreactions to Accounting Information’, Review of Asset Pricing Studies, Vol. 1, No. 1, pp. 35–73.
Holthausen, R. W. and R. L. W atts (2001), ‘The Relevance of the Value-relevance Literature for Financial Accounting Standard Setting’, Journal of Accounting and Economics, Vol. 31, Nos. 1–3, pp. 3–75.
Jones, J. (1991). ‘Earnings Management during Import Relief Investigations’. Journal of Accounting Research, Vol. 29, No. 2, Pp. 193–228.
Kim, D. and Y. Qi. (2010). ‘Accruals Quality, Stock Returns, and Macroeconomic Conditions’. The Accounting Review, Vol. 85, No. 3, Pp. 937–78.
Leuz, C., Nanda, D. and Wysocki, P. (2003). Earning Management and Investor Protection: an International Comparison. Journal of Financial Economics, Vol. 69, Pp. 505-527.
Marinovic, I. (2013). ‘Internal Control System, Earnings Quality, and the Dynamics of Financial Reporting’. Rand Journal of Economics, Vol. 44, No. 1, Pp. 145–67.
Nanda, F., C. Leuz and P. D. Wysocki. (2003). ‘Earnings Management and Investor Protection: An International Comparison’. Journal of Financial Economics, Vol. 69, No. 3, Pp. 505–27.
Penman, S. and J. Zhu. (2011). ‘Accounting Anomalies, Risk and Return’, Working Paper (New York, NY/Boston, MA: Columbia University/Boston University).
Perotti, P. and Wagenhofer, A. (2014). ‘Earnings Quality Measures
and Excess Returns’. Journal of Business Finance & Accounting,
Vol. 41, Pp. 545–571.
Peterson, K., Schmardebeck, R. and Wilks, T. (2015). The earnings quality and information processing effects of accounting consistency. The Accounting Review, In-Press.
Schipper, K. and L. V incent. (2003). ‘Earnings Quality’. Accounting
Horizons, Vol. 17, Supplement, Pp. 97–110.
Schwert, W. (2002). ‘Anomalies and market efficiency’. The Bradley Policy Research Center Financial Research and Policy, No.FR 02-13, Pp. 1-54.
Sloan, R. (1996). ‘Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? The Accounting Review, Vol. 71, Pp. 289–315.
Sun, Q., Yung, K. and Rahman, H. (2012). Earnings quality and corporate cash holdings. Accounting & Finance, Vol. 52, No. 2, Pp. 543-571.
Wooldridge. (2005). ‘Introductory Econometrics’. Edit 3.
Zhang, X. F. (2006). ‘Information Uncertainty and Stock Returns’. Journal of Finance, Vol. 61, No. 1, Pp. 105–36.
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