Financial Accounting Research
Year:2011 | Volume:3 | Issue:1 (7)|Papers Count:11

In this paper association between stock return and earning quality with Quality of Accruals are studied. Our sample is obtained from the Tehran Stock Exchange listed companies. The sample is restricted to firms with complete data for assets, earnings, cash flow from operations, changes in accounts receivable, and changes in inventory. Hence these restrictions reduce our sample to 95 firms over the period of 1379 - 1386. Our approach to measure accrual quality is the residuals from regressions of changes in working capital on past, present, and future operating cash flows. The standard deviation of these residuals is our measure of accruals quality, where a higher standard deviation signifies lower quality. We document that measure of accrual quality is positively related to earnings persistence (earnings quality) and we show that accrual quality is negatively related to stock return. Also we document that magnitude of accruals is negatively related to earnings persistence (earnings quality) and accrual quality.

In this paper, we try to find factors that determine the ability of companies to pay dividend. After searching in literature review, we determined some factors, then, we defined five hypotheses. Therefore, we built variables and collected data from 141 companies listed in Tehran stock Exchange over a period of eight years (1380-1387). Given the purpose of this study to determine the factors affecting the dividend payment; Logit model was used. The final model was estimated by Logit panel with fixed effects, showed that among the factors considered, uncertainty of cash flows, company’s life cycle, investment opportunities and company’s profitability having impact on the dividend payments. The marginal effect showed that company’s life cycle and company’s profitability are two factors with the most significant effect.

The purpose of this study is to investigate the relation between firm value with income smoothing and earning quality in the companies listed in Tehran stock exchange for a period of 2000 to 2007. This paper studies that whether income smoothing improve firm value or smoothers should consider earning quality too? Therefore, sample firms is divided into two groups of smoothers and non smoothers by the use of Eckle model. Then sample firms are divided into two groups of quality earnings and non-quality earnings by the use of Sloan model and finally sample firms are divided into four groups: quality earnings smoothers, quality earnings non-smoothers, non-quality earnings smoothers and non-quality earnings non-smoothers. Value relevance of reported earnings is tested using both the Level and Changes Approaches. Results show quality earnings smoothers have the highest price-earnings multiple while non-quality earnings non-smoothers have the lowest price earnings multiple.

Managers and investors have always been interested in the ability of financial statements to summarize value relevant information that affects stock returns and also the relation of this information to the value of the company. Given the financial reports aims’, it is supposed that much of the information in financial statements can be used in investors decision-making model. The aim of this research is to assess the relation of accrual components and selected financial ratios with the stock prices of listed companies in Tehran Stock Exchange. For this purpose, nine hypotheses and three models were set. In addition to earning per share (EPS), each model includes the variables that may have informational content about manipulation of financial statements and evaluation of earning price relation. To estimate these models and analysis of data, the panel data method were applied to a sample of 137 the companies during 2001 to 2008. The results show that EPS and the ratios of working capital to assets, net profit to assets, net profit to sales and sales to assets in 95% confidence interval are all related to stock prices of sampled companies. The results also indicate that accrual components are not statistically significant in this case. This indicates that consideration of quality of earning by the accruals is not so important in earning-price relation and the variability of earning is less influenced by the business position and manager decisions about accruals. In general we can claim that the earning per share is the most related accounting variable to the value of company in the level of the sampled companies and there is an inverse relationship between current assets and stock prices.

This paper provides evidences about existence of income smoothing and earning management in the Tehran Stock Exchange. In this study for earning management identification, we divided firms into two groups: smoothing firms and non-smoothing firms. Also the univariate analysis and logistic regression analysis used to test the research hypotheses. The results from univariate analysis show, that in the levels of net income and operation income, firms with weaker performance and in the levels of net income and earning per share, firms with more growth and also in the level of net income, firms with larger size and finally in the level of earning per share, firms with higher dividend pay out ratio, do management earning. Also the findings from logistic regression analysis indicate that firms with more growth and less returns do management earning.

This research aimed to study privatization effect on enhancing development of stock market. Privatization is a financial and juridical process which governments use in order to reform economy and administerial system in country. According to privatization literary, meaning the purposes of privatization is to enhance guild effectiveness, proper distribution of earning, government miniaturization, empower the private branch, enhance stock market, increase competition and provide consumers revenue by entrusting the ownership and generalship of governmental political guilds to non-government branches in financial, economical and social-political ambits. The population of this research consists of all companies listed in Tehran’s stock market during the period of 1379 to 1387. Since this paper aims to study general state of stock market there is no need to select a sample. In order to evaluate effect of privatization on stock market development, according to spotted index, by using Perron test, proceed with probable structural break points in 9 dates, according to trend of privatization. Result of the research showed that privatization does not affect on stock market development. A reason of this finding could be Iran’s incorrect process of privatization.

Given the importance of the relationship between risk and returns, the effect of liquidity risk and factors affecting risk such as: market risk or systematic risk, size, book to equity ratio and free float on cross-sectional returns, using FARM model is investigated. Our sample consists of 108 companies from listed companies in Tehran stock exchange. Required data for a period of 4 years (1383-1386) is collected. To test the research hypotheses, simple and multiple regression (step by step) techniques were used. Results show that market risk, size and free float have significant relationship with returns, but relationship between book-to-market ratio, liquidity risk and returns is not significant. Also, findings indicate that the relationship between systematic risk and liquidity risk is significant.

The purpose of this study is recognizing the determinants of equity systematic risk of listed companies in Tehran Stock Exchange using contingent claims modeling. For this purpose, theoretical model relating to determinants of beta is introduced. The determinants are presented in the form of three main group contain of company’s characteristics, growth option and risk free interest rate. Then to empirical test of this model 80 companies are selected from companies listed in Tehran Stock Exchange during 1997 to 2008. For hypothesizes testing, that are based on the theoretical model, this study uses multivariable regressions for pooled data. The results suggest that the determinants of systematic risk include operating income growth rate, operating income volatility, correlation between the market portfolio index and the company’s operating income, and growth option. In addition, results provide weak evidences that equity betas of highly leveraged companies may be nonstationary and volatile.

This paper investigates performance of mutual funds in Tehran Stock Exchange (TSE) by measures based on modern portfolio theory (e.g. Sharpe, beta, etc) and measures based on post modern portfolio theory (e.g. Sortino measure, Upside Potential Ratio, Downside Risk, etc) and compares the relation between ranking of them. For this purpose, we have used from data of 14 mutual funds during 1387-1388 period. Because the nature of this study is ordinal, we applied non parametric tests. The results of this research show that there is a positive relationship between ranking of measures based on modern portfolio theory and ranking of measures based on post modern portfolio theory, while this relation is not related to normal distribution return of mutual funds, it is related negative skewness distribution return of mutual funds, and that's why using measures based on post modern portfolio theory, is more reliable and efficient in comparison to measures based on modern portfolio theory.