A. Saghfi; R. Baghomian
Volume 7, Issue 25 , April 2009, Pages 1-52
Abstract
In response to growing concerns about the usefulness of current financial reporting, several studies have investigated changes in the value relevance of accounting information during the last few decades. In addition to lacking a consensus on whether there has been a decline in value relevance, a major ...
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In response to growing concerns about the usefulness of current financial reporting, several studies have investigated changes in the value relevance of accounting information during the last few decades. In addition to lacking a consensus on whether there has been a decline in value relevance, a major concern over this literature relates to the appropriateness of the conventional method for measuring relevance based on the market price variable association. Motivated by growing evidence in the behavioral finance literature that market prices deviate from their underlying fundamental values, and by using of residual income valuation model, this study argues, and demonstrates empirically, that the documented decline in value relevance, is the outcome of two effects, not one effect as previously interpreted. The first one is the accounting measurement effect, reflecting a failure in current financial reporting to (fully) capture the underlying economic value of the firm, resulting in a genuine decline in value relevance. The second is the investor behavior effect caused by growing influence of non-fundamental factors in investor pricing decisions, which results in an artificial decline in value relevance. Results show that, based on the conventional method, there has been a decline in the value relevance of accounting information of companies listed on Tehran Stock Exchange (TSE) during the period between 1378 and 1387. As hypothesized, the documented decline in value relevance is not solely the outcome of financial reporting becoming less relevant (the accounting measurement effect), but is similarly caused by growing speculation in investor behavior as evident in the increasing extent of non-fundamental values in market prices (the investor behavior effect). An additional analysis of value relevance based. on the association between financial variables and estimated fundamental values indicates no decline in financial information value relevance during this period and shows that the documented decline in value relevance is driven mostly by increasing investor speculation that is not attributable to changes in fundamental values.
Mohsen Khoshtinat; V. Nadi Gbomi
Volume 7, Issue 25 , April 2009, Pages 53-85
Abstract
Many finance researchers know disability of classical models of assets pricing and efficient market hypothesis to explain predictable patterns in securities return, anomalies and mispricing in assumption of full rationality of economic agents. Based on this assumption, the probability that people will ...
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Many finance researchers know disability of classical models of assets pricing and efficient market hypothesis to explain predictable patterns in securities return, anomalies and mispricing in assumption of full rationality of economic agents. Based on this assumption, the probability that people will mistake is random and its effects quickly remove by other rational investors. By relaxing this assumption, some models developed based on specific trading strategies and others based on cognitive biases and psychological characteristics of investors.
One of the most common cognitive biases in the field of psychology is overconfidence that has been defined as overestimation (optimistic) of precise of private information. Many researchers explain stylized facts such short-term continuation (momentum) and a long-term reversal in stock returns, high levels of trading volume, excessive volatility, and a disproportionate amount of risk borne by investors by using overconfidence bias. In this study, which tried to plan and test four hypotheses based on the data of 119 companies during the period from the beginning of the 1378 to end of 1386 (for 9 years) in regard to evidence documentation for aggregate overconfidence behavior. Results of study show that evidence for supporting aggregate overconfidence is not strong.
M. A. Aghaei; A. A. Javan; M. Nazemi Ardakani; E. Mousavi
Volume 7, Issue 25 , April 2009, Pages 87-103
Abstract
Decision making about capital structure and determining its effectiveness is increasingly important subject in managing of firms. In addition, earnings management is one of the effective factors on capital structure in corporate governance subjects. This study aimed to investigate the impact of earnings ...
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Decision making about capital structure and determining its effectiveness is increasingly important subject in managing of firms. In addition, earnings management is one of the effective factors on capital structure in corporate governance subjects. This study aimed to investigate the impact of earnings management, Profitability ratios and firm size on the capital structure of listed companies of Tehran Stock Exchange (TSE) in the period of 1382-1386. A sample of 125 companies of TSE was taken for research study. For the analysis of data, multiple regression model approach was applied. Gearing ratio was taken as dependent variable whereas absolute discretionary accruals, ROA, ROE, and Size were used as independent variables. The results indicate that absolute discretionary accruals have insignificant effect on dependent variable. According to the results, Size, and ROE have positive Impact on the capital structure of the listed companies in Tehran stock exchange.
M. Bozorg Asl; A. Sarafraz Ardekani
Volume 7, Issue 25 , April 2009, Pages 105-125
Abstract
The purpose of firm's management is to maximize the firm’s value and as a result, to increase stockholder’s equity by providing more yields than their expectations. Basically, dividend is one of the most important sources of yields for the stockholders. The firm's managers recognized that ...
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The purpose of firm's management is to maximize the firm’s value and as a result, to increase stockholder’s equity by providing more yields than their expectations. Basically, dividend is one of the most important sources of yields for the stockholders. The firm's managers recognized that their stockholders are seeking a stable policy in dividend payment because stable dividend policy reveals that the firm is financially stable and holds a lower business risk and increases stock market value. This paper investigates the relation between stable dividend policy and abnormal yields of firm's stock, And the difference of stable dividend policy among various industrial groups in Tehran exchange market on samples consist of 80 working company from 17 different industrial groups between the years 1379 to 1386. The main variable of this paper consist of stable dividend policy as an independent variable and abnormal yields of firm's stock as a dependent variable. Stable dividend policy was measured by Standard deviation of dividend and abnormal yields were measured by capital asset pricing model (CAPM).
The result of performed analysis indicate that there is a significant correlation between stable dividend policy and abnormal yields at the confidence level of 95% ,but the stable dividend policy do not vary among various industrial groups significantly.
M. H. Setayesh; M. Jamalian Pour
Volume 7, Issue 25 , April 2009, Pages 127-146
Abstract
This article explores the changes and effects of capital structure on the production of products. For this purpose we test hypotheses with simple and logistic multi-regression analysis. This research use data related to 341 corporations that were listed in Tehran Stock Exchange from 1378 to 1387. ...
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This article explores the changes and effects of capital structure on the production of products. For this purpose we test hypotheses with simple and logistic multi-regression analysis. This research use data related to 341 corporations that were listed in Tehran Stock Exchange from 1378 to 1387. The findings of the research are follows:
A significant statistic relation was seen between the components of capital structure (The only exceptions were registered capital) and companies' capacity in getting access to the predicted products.
Between change in short-term liabilities, allowance for labors' work and retained earnings in capital structure and actualization of predicted products are observes a statistically significant relation. In addition, components of capital structure and changes in them can predict ability of manufacturing amount that predicted in first of fiscal year. Lastly the results show that with over use components of capital structure and changes in them one can predict through 95.9 percent increase or decrease in products manufacturing.
R. Hejazi; F. Heydarpour; H. Khan Mohammadi
Volume 7, Issue 25 , April 2009, Pages 147-166
Abstract
In the semi strong form of efficient capital markets, stock price reflects all information has been published, so it is available for public. In capital markets, stock price responses to new information and price changes, will be appropriate to received information,
But in some capital ...
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In the semi strong form of efficient capital markets, stock price reflects all information has been published, so it is available for public. In capital markets, stock price responses to new information and price changes, will be appropriate to received information,
But in some capital markets, regulations are applied in order to controlling volatilities in stock price. This kind of controlling causes stock price wouldn't be reflection of distributing information therefore the market will become non efficient.
In this research in order to assessing the threshold volume on the capital market, two transaction groups compared with each other. The threshold volume hadn't any effect on both, statistical group consist of implement transaction by using threshold volume and experimental group consist of transaction without using threshold volume. Information about stock volatility and transaction volume was tested by Wilkaxon test for ten day before and after event.
The results of this research show that threshold volume accelerates volatility, and also threshold volume cause delay in reaching to real stock price but it doesn't have any effect on transaction volume.
