O. Pourhaydari; A. Sadeghi
Volume 8, Issue 31 , October 2010, Pages 1-31
Abstract
This paper investigates the relationship between stock returns and financial and non-financial information, such as operating income, net Income, dividends, cash flows, industry effects, price-earnings ratios, and earnings growth in companies listed in Tehran Stock Exchange (TSE). The testing period ...
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This paper investigates the relationship between stock returns and financial and non-financial information, such as operating income, net Income, dividends, cash flows, industry effects, price-earnings ratios, and earnings growth in companies listed in Tehran Stock Exchange (TSE). The testing period is from 1378 to 1387. We use cross sectional data for investigate trends and use pooled data for investigate the relationship between stock returns and financial and non-financial information. The results show that operating earnings, net income and earnings growth have the most explanatory power in determinant stock return. Similar to the findings of western studies, our study shows that earnings data is key information for investors. Also, our findings indicate that cash flows, industry effects, and price-earnings ratios are relatively less important information to the market.
V. Mojtahedzadeh; S. Sadeghi Askari
Volume 8, Issue 31 , October 2010, Pages 33-60
Abstract
This study examines the impact of earnings management on the value -relevance of financial statement information by considering short-term and long-term discretionary accruals. This study uses valuation framework, developed by Ohlson (1995) and Jones (1991) as basis for developing two distinct models ...
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This study examines the impact of earnings management on the value -relevance of financial statement information by considering short-term and long-term discretionary accruals. This study uses valuation framework, developed by Ohlson (1995) and Jones (1991) as basis for developing two distinct models to examine short-term and long-term discretionary accruals.10 hypotheses have been designed for this purpose. To examine these hypotheses we use the information of 100 companies listed on Tehran - Stock -Exchange during 1383–1387 and Pierson correlation. The results demonstrate that, both Earnings and Book Value have value-relevance information about firms' value. Moreover, earnings management via short-term, long- term and total discretionary accruals reduce value relevance of earnings but value relevance of book value reduce only in presence of earnings management via long-term discretionary accruals.
Gh. Karami; A. Tahriri; A. Davarinejad
Volume 8, Issue 31 , October 2010, Pages 61-77
Abstract
The purpose of this paper is to investigate a relation between real earnings management and accounting earnings management to smooth earnings and to survey this fact when managers smooth earnings by real activities manipulation and when by discretionary accruals manipulation. On this paper is focus on ...
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The purpose of this paper is to investigate a relation between real earnings management and accounting earnings management to smooth earnings and to survey this fact when managers smooth earnings by real activities manipulation and when by discretionary accruals manipulation. On this paper is focus on discretional cash flow from operations as proxy variable of real earnings management and discretional accruals as proxy variable of accounting earnings management. Our statistical population is the firms listed in Tehran Stock Exchange that examined for the time period 1381 to 1386 by 98 firms as the sample.
As a result, we find evidences that show that managers use both real earning management and accounting earnings management to smooth earnings and relation between real and accounting earnings management is Simultaneous and managers use complementarily the two earnings management to smooth income.
M. Gh. Osmani; M. H Namdar
Volume 8, Issue 31 , October 2010, Pages 77-100
Abstract
According to the Iranian Accounting Standard No. 2, alternative use of both direct and indirect methods of reporting cash flows from operating activities is allowed. In practice, despite all persuasive and encouraging measures favoring the direct method, Iranian companies, free in their choice of which ...
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According to the Iranian Accounting Standard No. 2, alternative use of both direct and indirect methods of reporting cash flows from operating activities is allowed. In practice, despite all persuasive and encouraging measures favoring the direct method, Iranian companies, free in their choice of which method to use, tend to prefer indirect method due to its being easier. Indirect method involves net cash flow reporting rather than a report of each and every element of cash flows from operating activities. This method could be in clear contrast to the general principles concerning the set off between cash inflows and outflows. The general principle dealing with this issue, developed by IASB (2007), declares that setting off cash outflows and inflows is permitted only when presenting the gross numbers is devoid of any informational content.
Accordingly, the present study is an effort to examine informational content of Cash flow disaggregation through testing their ability in predicting future earnings of listed companies in Tehran Stock Exchange. The final goal is to help managers and regulatory authorities with specifying the kind and amount of information to be presented in cash flow statement, and investors with estimating future earnings.
Results show that Cash Flow disaggregation, compared to net cash flow from operating activities are better predictors of future earnings.
S.M Shariat Panahi; J. Ebadi; M. Peimani
Volume 8, Issue 31 , October 2010, Pages 101-119
Abstract
Maximizing of wealth or better say, end of period expected utility is the main goal of investors. But because of uncertainty of price changes, investors act in an unsafe environment and any risk reduction will redound to decreasing in expected return. Because of this, determining of the best measure ...
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Maximizing of wealth or better say, end of period expected utility is the main goal of investors. But because of uncertainty of price changes, investors act in an unsafe environment and any risk reduction will redound to decreasing in expected return. Because of this, determining of the best measure of risk is so important in finance.
There are many measures to quantify risk of investment. In this paper, we compare some of these measures of risk based on their ability to predict return in various time horizons. Therefore, four measure of risk (standard deviation, mean absolute deviation, semi standard deviation and value at risk) are selected from common and downside risk family and their abilities to forecasting return in one, two and three months periods are examined. Our analysis method is panel regression and results are conducted based on R-squared and nested regressions method. Our sample contains 66 Tehran Stock Exchange listed companies in time period of 1383 to 1387. Our results depict that semi standard deviation and value at risk have a better performance especially in one month prediction.
A. Saeedi; F. Rahnama Roodposhti; F. Bikzadeh Abbasi
Volume 8, Issue 31 , October 2010, Pages 121-141
Abstract
Two techniques which are used in stock markets and most investigators and market analysts used are contrarian and momentum investing strategies. These strategies help investors to predict future performance based on past performance. Momentum investing strategy move the same way as the market ...
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Two techniques which are used in stock markets and most investigators and market analysts used are contrarian and momentum investing strategies. These strategies help investors to predict future performance based on past performance. Momentum investing strategy move the same way as the market stock move. In contrast, contrarian investing strategy acts vice versa.
In this paper, for the period of 2005- 2007 different formation periods (1 to 6 month) and holding periods (1 to 36 month) are examined. The results show each strategy is profitable in a specific formation periods and holding periods. For formation periods from 1 to 4 month, momentum strategy is profitable and for formation periods from 5 and 6 month, contrarian strategy creates profitable portfolios.
The best momentum effect is seen in formation periods of 4 month and holding periods of 36 month. Also, the best contrarian effect is seen in formation periods of 5 month and holding periods of 35 month.
F. Rostamian; Sh. Javanbakht
Volume 8, Issue 31 , October 2010, Pages 143-157
Abstract
The relation between risk and return, and capital asset pricing is the most basic topics in capital market. Capital Asset Pricing Model (CAPM) was suggested by Lintner and Sharpe in 1965 and has been reformed and criticized since.
This paper studies another version of CAPM along with the traditional ...
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The relation between risk and return, and capital asset pricing is the most basic topics in capital market. Capital Asset Pricing Model (CAPM) was suggested by Lintner and Sharpe in 1965 and has been reformed and criticized since.
This paper studies another version of CAPM along with the traditional CAPM in Tehran Stock Exchange. The new version of CAPM puts the covariance between stock return and consumption growth as a risk measure and is recognized as the Consumption-based Capital Asset Pricing Model (CCAPM).
To this end, we use a sample that includes 134 companies listed in Tehran Stock Exchange. The results indicate the CAPM is more efficient than the CCAPM in anticipating of the expected return in Tehran Stock Exchange.
