Modeling of Accounting and Non Accounting Items Affecting Shareholders, Wealth: Prediction and Validation

Document Type : Research Paper

Authors

Department of Accounting, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran.

Abstract

The Stock market is one of the markets from which investors try to earn interests. Stock returns are the most important measures for decision making of investors in this market. This study develops a model for predicting stock returns using financial statements, disclosure quality, corporate governance mechanisms, audit quality, stock market qualification and macroeconomic items. Data is collected from disclosures of firms listed in Tehran Stock Exchange during a period from 2004 to 2012. Based on this model, net income, price index for consumer goods and services, dividend, oil price index and gold coin price index are the most important variables effective on predicting stock returns. To determine the developed model’s accuracy and validity, stock returns are predicted for sample firms (86 firms) for years from 2013 to 2017 and then errors of predicted returns as compared to real returns for those periods are determined. Furthermore, other prior valid predicting models (capital assets pricing model (CAPM) , Fama and French three factors model and arbitrage pricing model) errors are calculated for that period. Comparing developed predicting model errors with other predicting models errors shows that this model has significantly fewer errors in predicting future stock returns than the prior models.

Keywords

Main Subjects

References

منابع
پژویان، جمشید و احمد عزیزی. (1378). شناسایی متغیرهای کلان اقتصادی مؤثر بر شاخص قیمت سهام. پایان‌نامه دکتری دانشگاه علامه طباطبائی.
پناهیان، حسین و پیام مجتهدی. (1387). بررسی رابطه بین نسبت بدهی و هزینه سرمایه در بورس اوراق بهادار تهران. فصلنامه بصیرت، شماره 39، 55-80.
پورحیدری، امید و حمید پهلوان. (1387). بررسی تأثیر متغیرهای کلان اقتصادی بر بازدهی بورس اوراق بهادار. فصلنامه بورس اوراق بهادار، شماره 1، 71-99.
تقوی، مهدی و شاعر بیابانی. (1382). اثرات تغییر نرخ ارز بازار آزاد و جریان نقد آتی بر ارزش سهام شرکت‌های سهامی عام پذیرفته شده در بورس اوراق بهادار تهران. پژوهشنامه اقتصادی، شماره 10 و 11، 13-28.
ثقفی، علی و صابر شعری آناقیز. (1383). نقش اطلاعات بنیادی حسابداری در پیش‌بینی بازده سهام. پایان‌نامه دکتری، دانشگاه علامه طباطبائی.
حساس‌یگانه، یحیی و محمد جواد سلیمی. (1390). مدلی برای رتبه‌بندی حاکمیت شرکتی در ایران. مطالعات تجربی حسابداری مالی، شماره 30، 1-35.
سجادی، سید حسین، حسن فرازمند و عبدا... تاج‌الدینی. (1392). تأثیر کیفیت حسابرسی برهزینه سرمایه سهام عادی. پژوهش‌های تجربی حسابداری، شماره 10، 109-128.
طالب‌نیا، قدرت‌اله و حیدر محمدزاده سالطه. (1384). تأثیر خصوصی‌سازی شرکت‌های دولتی پذیرفته شده در بورس اوراق بهادار تهران بر بازده سهام آن‌ها. تحقیقات مالی، شماره 19، 97-116.
قائمی، محمدحسین و سعید طوسی. (1385). بررسی عوامل مؤثر بر بازده سهام عادی شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران. پیام مدیریت، شماره 17 و 18، 159-177.
مجتهدزاده، ویدا و مونا قدرتی. (1391). اثر بی‌قاعدگی اقلام تعهدی بر قیمت‌گذاری شرکت‌ها. مهندسی مالی و مدیریت اوراق بهادار، شماره 10، 119-135.
مشایخ، شهناز و حدیثه حاجی‌مرادخانی. (1388). بررسی رابطه نرخ تورم، نرخ سود تضمین‌شده و بازده طلا بر بازار سهام ایران. تحقیقات حسابداری، شماره 4، 2-18.
ملکی، بهرام، علی فاطری و شاهین افتخاریان. 1392. تأثیر مالکیت نهادی بر بازده سهامداران شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران. اولین کنفرانس بین‌المللی حماسه سیاسی (با رویکردی بر تحولات خاورمیانه) و حماسه اقتصادی (با رویکردی بر مدیریت و حسابداری).
 
Admati, A. ,Pfleiderer, p. (2000). Forcing Firm to Talk: Financial Disclosure Regulation and Externalities. Review of Financial Studies, 13 (3) , 479-519.
Al-Ajmi, J. (2009). Audit firm, corporate governance, and audit quality: Evidence from Bahrain. Advances in International Accounting, 25, 64–74.
Al-Akra, M. ,Ali, M. J. (2012). The value relevance of corporate voluntary disclosure in the Middle-East – The case of Jordan. Journal of Accounting and Public policy, 31 (5) , 533-549.
Arkan, T. (2016). The Importance of Financial Ratios in Predicting Stock Price Trends: A Case Study in Emerging Markets. Finanse, Rynki Finansowe, Ubezpieczenia 79 (1): 13-26.
Arouri, M. E. H. , Lahiani, A. , and Nguyen, D. K. (2013). World Gold Prices and Stock Returns In China: Insights for Hedging and Diversification Strategies. http: //hal. archives-ouvertes. fr/docs/00/79/80/38/PDF/Nguyen_et_al_GoldStocks_V4. pdf.
Baker, R. A. ,Al-Thuneibat, A. (2011). Emerald Article: Audit tenure and the equity risk premium: evidence from Jordan. International Journal of Accounting and Information Management, 19 (1) , 5-23.
Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics, 9, 3-18.
Bauer, R. , M. Cosemans, and P. C. Schotman. (2010). Conditional asset pricing and stock market anomalies in Europe. European Financial Management, 16 (2) , 165–190.
Bird, R. , Reddy, K. , and Yeung, D. (2011). the relationship between uncertainty and the market reaction to information: How Is It Influenced by Market and Stock-Specific Characteristics? working paper series: The Paul Woolley Centre for Capital Market Dysfunctionality, UTS, 14.
Botosan, C. A. ,Plumlee, M. A. (2001). A re-examination of disclosure level and the expected cost of equity capital. Journal of Accounting Research, 40 (1) , 21-40.
Bugeja, M. (2011). Takeover premiums and the perception of auditor independence and reputation. The British Accounting Review, 43, 278-293.
Büyükşalvarcı, A. (2010). The Effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey. European Journal of Social Sciences, 14 (3) , 404-416.
Chi, W. , H. Huang, Liao, Y. , and Xie, H. (2009). Mandatory audit partner rotation, audit quality, and market perception: Evidence from Taiwan. Contemporary Accounting Research, 26 (2) , 359–391.
Chuang, W. I. , Liu, H. H. , and Susmel, R. (2012). The bivariate GARCH approach to investigating the Relation Between Stock Returns, Trading Volume , and Return Volatility. Global Finance Journal, 23, 1-15.
Claessens, S. ,Yurtoglu, B. B. (2012). Corporate governance in emerging markets: A survey. Emerging Markets Review, Article In Press.
Dasilas, A. ,Leventis, S. (2011). Stock market reaction to dividend announcements: Evidence from the Greek stock market. International Review of Economics and Finance, 20, 302–311.
DeBoskey, D. G. , Li, Y. , Lobo, G. J. , & Luo, Y. (2017). Transparency of corporate political disclosure and the cost of debt. Working Paper.
Dzingai, I. , & Fakoya, M. B. (2017). Effect of Corporate Governance Structure on the Financial Performance of Johannesburg Stock Exchange (JSE) -Listed Mining Firms. Sustainability, 9 (6) , 867.
Fama, E. F. , Macbeth, F. , and James, D. (1973). Risk, Return and Equilibrium. Empirical Tests, Journal of Political Economy, 81 (3) , 607-639.
Fama, E. F. ,French, K. R. (1992). cross-section of expected stock-returns. Journal of Finance, 47, 427–465.
Fang, V. W. , Noe, T. H. , and Tice, S. (2009). Stock market liquidity and firm value", Journal of Financial Economics. Journal of Financial Economics, 94 (2009) , 150–169.
Fernando, G. D. , Fernando, G. D. , Thevaranjan, A. , & Thevaranjan, A. (2017). Impact of audit quality on the components of executive cash compensation. Journal of Centrum Cathedra, 10 (1) , 49-62.
Firth, M. , Oliver, M. R. , and Wu. , X. (2012). How Do Various Forms of Auditor Rotation Affect Audit Quality? Evidence from China. The International Journal of Accounting, 47: 109-138.
Florackis, C. , Gregoriou, A. , and Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Electronic copy available at: http: //ssrn. com/abstract=1628108.
FRC, F. R. C. (2010). The UK Corporate Governance Code.
Ghaemi, M. , Tousi, S. (2007). Investigation the effective factors on TSE listed firms return. Management Message, 17. (In Persian)
Glezakos, M. , Mylonakis, J. , and Kafouros, C. (2012). The Impact of Accounting Information on Stock Prices: Evidence from the Athens Stock Exchange. International Journal of Economics and Finance, 4 (2) , 56-68.
Gunny, K. , Krishnan, G. V. , and Zhang, T. C. (2007). Is Audit Quality associated with Auditor tenure, industry expertise and fee? Evidence from PcAOB opinions. http: //ssrn. com/abstract=1015089.
Hassan, O. M. G. , Romilly, P. , Giorgioni, G. , and Power, D. (2009). The value relevance of disclosure: Evidence from the emerging capital market of Egypt. The International Journal of Accounting, 44 (79–102).
Hassas Yeganeh, Y. , Salimi, M. (2011). Developing a Model for Corporate Governance Rating in Iran. Empirical Studies in Financial Accounting, 8 (30) , pp. 1-35. (In Persian)
Hearn, B. (2011). Size and liquidity effects in Japanese regional stock markets. Journal of the Japanese and International Economies, 25 (2) , 157–181..
Hejazi, R. , Jafari, M. , and Karimi, A. (2011). The Information content of Accounting Variables In Companies listed in Tehran Stock Exchange (TSE). Business Management Dynamics, 1 (2) , 32-38.
Hellstron, K. (2005). The value relevance of Financial Accounting in a Transitional Economy: the case of Czech Republic. Working paper Series in Business Administration.
Heo, J and Yong, J, (2016) , Stock Price Prediction Based on Financial Statements Using SVM, International Journal of Hybrid Information Technology, 9 (2): 57-66.
Hirshleifer, D. , Hou, K. , and Teoh, S. H. (2009). Accruals, cash flows, and aggregate stock returns. Journal of Financial Economics, 91, 389-406.
Hyde, S. ,Sherif, S. (2010). Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns. International Journal of Finance & Economics, 15 (2) , 198-211.
IAASB, I. A. A. S. B. (2011). Audit Quality and IAASB perspective. www. iaasb. org.
Izedonmi, P. F. ,Abdullahi, I. B. (2011). The Effects of Macroeconomic Factors on the Nigerian Stock Returns: A Sectoral Approach. Global Journal of Management and Business Research, 11 (7) , 24-30.
Jones, C. P. (2007). Investments: Analysis and Management: John Wiley & Sons Inc.
Karunarathne, W. V. A. D. ,Rajapakse, R. M. D. A. P. (2012). The Value Relevance Of Financial statements Information: With Special Reference To The Listed Companies In Colombo Stock Exchange. 3rd International Conference On Business And Information.
Kettell, B. (2001). Financial Economics: Making Sense of Market Information. London: FT/Prentice-Hall.
Kinda, A. , & Menningerb, F. (2017). Corporate Governance and Equity Risk.
Kothari, S. P. and Warner, Jerold B. , (1997) , Measuring long-horizon security price performance, Journal of Financial Economics, 43, issue 3, p. 301-339
Krishnan, G. V. ,Largay, J. A. (2000). The Predictive Ability of Direct Method Cash Flow Information. journal of bussiness finance and accounting, 27 (1) , 215-245.
Lam, K. S. ,Tam, L. K. (2011). Liquidity and asset pricing: Evidence from the Hong Kong stock market. Journal of Banking and Finance, 35 (9) , 2217–2230.
Lee,Lin, C. (2010). An accounting-based valuation approach to valuing corporate governance in Taiwan. Journal of Contemporary Accounting & Economics, 6, 47–60.
lee. (2011). The world price of liquidity risk. Journal of Financial Economics, 99 (1) , 136–161.
Lischewski, J. ,Voronkova, S. (2012). Size, value and liquidity. Do They Really Matter on an Emerging Stock Market. Emerging Markets Review, 13, 8–25.
Mashayekh, Sh. , Hajimoradkhani, H. (2010). Investigation the relationship between inflation rate, free risk rate and gold return on Iran stock exchange. Accounting and Auditing Researches, 4. (In Persian)
Mohamad, W. S and Elewa, M. M, (2016) , The Impact of Corporate Governance on Stock Price and Trade Volume, International Journal of Accounting and Financial Reporting, 6 (2): 27-44.
Mojtahedzade, V. , Ghodrati, M. (2013). The effect of accruals anomalies on valuations. Journal of Finance Enginering and Securities Management, 10. (In Persian)
Mouselli, S. ,Hussainey, K. (2009). Disclosure Quality And Stock Return In The UK. http: //ssrn. com/abstract=1499258.
Ng, J. , Tuna, I. , and Verdi, R. (2012). management forecast credibility and underreaction to news. http: //ssrn. com/abstract=930697.
Oskenbayev, Y. , Yilmaz, M. , and Chagirov, D. (2011). The impact of macroeconomic indicators on stock exchange performance in Kazakhstan. African Journal of Business Management, 5 (7) , 2985-2991.
Ou, a. , Penman, S. (1989) , Financial statement analysis and the prediction of stock returns, Journal of Accounting and Economics, Volume 11, Issue 4.
Pajuyan, j. , azizi, a. (1999). Identification of effect of macroeconomic variables on stock price index. Phd Thesis. Allame Tabatabaei University. (In Persian)
Panaheyan, h. , mojtahedi, P. (2009). Investigation the relationship between debt ratio and cost of capital in Tehran Stock Exchange. Basirat Journal, 39. (In Persian)
Pourheydari, O. , Pahlavan, H. (2009). A study on the effects of macroeconomic variables on the returns. Journal of Securities Exchange, 1 (1). (In Persian)
Rahmani, A. , Sheri, S. , and Tajvidi, E. (2006). Accounting Variables, Market Variables and Stock Return in Emerging Markets: Case of Iran. http: //ssrn. com/abstract=947288.
Rjoub, H. , Tu¨rsoy, T. , and Gu¨nsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul Stock Market. Studies in Economics and Finance, 26 (1) , 36-45.
Robu, M. A and Robu, I. B, (2015) , The Influence of the Audit Report on the Relevance of Accounting Information Reported by Listed Romanian Companies, Procedia Economics and Finance, 20: 562-570.
Ross, S. R. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341-360.
Saghafi, A. , Sheri, S. (2005). The role of Accounting Information in predicting of return.. Phd Thesis. Allame Tabatabaei University. (In Persian)
Sahore, N. S. , & Verma, A. (2017). Corporate Disclosures and Financial Performance of Selected Indian Manufacturing and Non-Manufacturing Companies. Accounting and Finance Research, 6 (1) , 119.
Sajadi, S. , Farazmand, H. , Tajodini, A. (2014). The Effect of Audit Quality on Cost of Equity Capital. Empirical Research in Accounting, 3 (2) , pp. 109-128. (In Persian).
Sridharan, U. V. , L. Dickes, and W. R. Caines. (2002). The Social Impact of Business Failure: Enron. Mid-American Journal of Business, 17 (2) , 11-21.
Sun, L. (2012). Information Content of P/E Ratio, Price to Book Ratio and Firm Size in Predicting Equity Returns. International Conference on Innovation and Information Management, Singapour.
Taghavi, M. , Beyabani, Sh. (2004). The effects of currency rate and future cash flows on share value of Tehran Stock Exchange Listed Firms. Economics Research, 3 (11) , 13-38. (In Persian)
Talebneya, Gh. Mohamadzade, H. (2006). The effect of privatization of Government Companies on return in TSE, Financial Research, 7 (1). (In Persian)
Tiryaki, A. , Erdogan, L. , & Ceylan, R. (2017). The Casual Relationship between Selected Macroeconomic Variables and Stock Returns in Turkey, 1: 299-326.
Wade, K. ,May, A. (2013). GDP growth and equity market returns. working paper.
Yao, T. , Yu, T. , Zhang, T. , and Chen, S. (2011). Asset growth and stock returns: Evidence from Asian financial markets. Pacific-Basin Finance Journal,19, 115–139.
 
 
Empirical Research in Accounting
Volume 8, Issue 2 - Serial Number 28
September 2018
Pages 181-216

Files

History

  • Receive Date: 25 September 2017
  • Revise Date: 25 December 2017
  • Accept Date: 25 December 2017

Share

How to cite

Statistics