نقش ریسک ورشکستگی در توسعه تئوریک و بهبود عملکرد مدلهای ارزشیابی مبتنی بر عایدات غیرعادی
الموضوعات : دانش سرمایهگذاریمحمدرضا امامی نائینی 1 , فروغ رحیمی موگویی 2
1 - دکتری حسابداری (نویسنده مسئول)
2 - دکتری حسابداری
الکلمات المفتاحية: ارزشیابی مبتنی بر عایدات غیر ع, ریسک ورشکستگی, محافظه کاری, سود حسابداری, تداوم فعالیت,
ملخص المقالة :
با توجه به مبانی نظری موجود در خصوص توان اثرگذاری ریسک ورشکستگی بر سه جزء از مبانی طراحی مدل های ارزشیابی مبتنی بر عایدات غیرعادی (فرض تداوم فعالیت، میزان محافظه کاری و سود حسابداری) در این پژوهش ضمن طراحی مجدد مدلهای پیش بینی عایدات غیر عادی و ارزشیابی مبتنی بر عایدات غیر عادی اولسون (1995) و فلتهام و اولسون (1995)، با لحاظ نمودن متغیر ریسک ورشکستگی، به مقایسه عملکرد مدلهای اولیه و تعدیل شده با استفاده از داده های ترکیبی شرکتهای پذیرفته شده در بورس اوراق بهادار تهران طی دو دوره تخمین 5 ساله (1382-1387) و 10 ساله (1382-1392) پرداخته شده است. نتایج پژوهش نشان می دهد لحاظ کردن ریسک ورشکستگی باعث بهبود قدرت مدلهای پیش بینی و ارزشیابی اولسون (1995) و فلتهام و اولسون (1995) طی هر دو دوره تخمین 5 و 10 ساله می شود، اما به سبب افزایش شدید ارزشهای سهام در سالهای پایانی دوره ی تخمین 10 ساله (به خصوص سالهای 91 و 92) ، ارزشهای برآورد شده توسط مدل های اولیه و تعدیل شده طی دوره تخمین 10 ساله به نحو معناداری پایین تر از ارزشهای واقعی بازار است.
* خدادادی، ولی.، و عرفانی، حسین.(1389) . بررسی رابطةبین نوع صنعت،سهم بازار و فشردگی سرمایه با پایداری سودهای غیرعادی درشرکتهای بورسی. دانش حسابداری.1(1): 109-89.
* خدادادی، ولی.، فرازمند، حسن.، و شیبه، سکینه.(1392) . بررسی مدل ارزشگذاری مبتنی بر سودهای غیرعادی) اولسن) از منظر اقتصاد کلان با استفاده از روش GMM. پژوهشهای حسابداری مالی.5 (17) :58-41.
* وکیلی فرد، حمید رضا.،فروغ نژاد،حیدر.، و خوشنود،مهدی. (1392). ارزیابی رفتار سرمایه گذاران در بورس اوراق بهادار تهران با روش فرایند تحلیل شبکه ای. مدیریت دارایی و تامین مالی.1(2): 34-19
* Ahmed, A. S., Billings, B. K., Morton, R. M. and Stanford-Harris, M. (2002). The Role of Accounting Conservatism in Mitigating Bondholder-Shareholder Conflicts over Dividend Policy and in Reducing Debt Costs. The Accounting Review 77: 867–890.
* Ahmed, A. S. and Duellman, S. (2007). Accounting Conservatism and Board of Director Characteristics: An Empirical Analysis. Journal of Accounting and Economics 43: 411-437.
* Altman, E.I. (1968). Financial ratios, disarmament analysis and the prediction of corporate Bankruptcy. The Journal of Finance.23:589-609.
* Basu, S. (2009). Conservatism Research: Historical Development and Future Prospects. Chinese Journal of Accounting Research 2: 1-20.
* Biddle, G.C., M.L. Ma, and F.M. Song. (2011). Accounting Conservatism and Bankruptcy Risk. SSRN eLibrary.
* Butler, M., Leone, A. J.,& Willenborg, M. (2004). An empirical analysis of auditor reporting and its association with abnormal accruals. Journal of Accounting and Economics. 37(2): 139–165.
* Bauman, M. P. (1999). An empirical investigation of conservatismin book value measurement. Managerial Finance. 25 (12):42-54.
* Bushman, R., M., Piotroski, J. D. and Smith, A. (2010). Capital Allocation and Timely Accounting Recognition of Economic Losses. Working Paper, The University of North Carolina at Chapel Hill.
* Callen, J. L., Chen, F., Dou, Y. and Xin, B. (2010). Information Asymmetry and the Debt Contracting Demand for Accounting Conservatism. Working paper, University of Toronto.
* Callen, J. L., & Morel, M. (2001). Linear accounting valuationwhen abnonnal earnings are AR(2). Review ofQuantitative Finance and Accounting. 16: 191-203.
* Camcho-Minano, M.D.,& Campa, P. (2014). Integrity of financial information as a Determinant of the outcome of a bankruptcy procedure. International Review of Law and Economics. 37: 76-85.
* Campbell, J., Hilscher, J. and Szilagyi, J. (2008). In Search of Distress Risk. Journal of Finance 53 :2899-2939.
* Charitou, A., Lambertides, N.,& Trigeorgis, L. (2007). Earnings Behavior of financially distressed firms: the role of institutional ownership. Abacus. 43(3):271–296.
* Charitou, A., Neophytou, E.,& Charalambous, C. (2004). Predicting corporate failure: empirical evidence for the UK. European Accounting Review. 13(3): 465–497.
* Choi, Y., O'Hanlon, J.,& Pope, P. F. (2001). Linear informationmodels in residual income-based valuation: a development of the Dechow, Hutton and Sloan empiricalapproach. Working paper.Lancaster University.
* DeAngelo, H., DeAngelo L. & Skinner, D. J. (1994). Accounting choice in troubled companies. Journal of Accounting and Economics. 17 (1–2): 113–143.
* Dechow, P., Hutton, M.,.& Sloan, R. G. (1999). Anempirical assessment of the residual income valuationmodel. Journal of Accounting and Economics. 26: 1-34.
* DeFond, M. L.,& Jiambalvo, J. (1994). Debt covenant violation and manipulation of accruals. Journal of Accounting and Economics. 17(1–2): 145–176.
* De Ste. Croix, G. E. M. (1956). Greek and Roman Accounting. In: Littleton, A. C.and Yamey, B. S., ed., Studies in the History of Accounting. Richard D. Irwin, Homewood. IL: 14-74.
* Fama E. F. and K.R. French. (1992). The Cross-Section of Expected Stock Returns, Journal of Finance, 47(2):427 - 465.
* Feltham, G. A.,& Ohlson, J. A. (1995). Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research. 11 (2): 689-731.
* Foerster, S.R& Sapp, S. G. (2005). Valuation of financial versus non-financial firms: a global perspective. Int. Fin. Markets, Inst. and Money. VOL. 15: 1–20.
* Francis, J., Ohlson, P.,& Oswald, D. (2000). Comparing the accuracy and explain ability of dividend, free cash flow, and abnormal earnings equity value estimates. Journal of Accounting Research. 38: 45–70
* Frankel, R.,& Lee, C. M. C. (1998). Accounting valuation, market expectation, and cross-sectional returns. Journal of Accounting and Economics. 25: 283-319.
* Garcia Lara, J.M. B., Garcia,O., & Neophytou,E. (2009). Earning quality in ex-post failed firms. Accounting and Business Research. 39(2): 119-138.
* Gerald, I.W. (1998). The Analysis and Use of Financial Statements. Wiley: 983-1037.
* Giner, B.,& Iniguez,R. (2006). An empirical assessments of the feltham-ohlson models considering the sign of abnormal earnings. Accounting and Business Research.36(3): 169-190.
* Guay, W. and Verrecchia, R. E. (2007). Conservative Disclosure. Working paper, University of Pennsylvania.
* Hui, K. W, Klasa, S. and Yeung, E. (2009). Corporate Suppliers and Customers and Accounting Conservatism. Working paper, Hong Kong University of Science and Technology.
* Khodadadi, V.,& Emami, M.R. (2010). Comparative assessment of feltham-ohlson Sign-oriented &traditional models. International Research Journal of Finance & Economics. 2010. 36: 59-74.
* Kim, J., Ramaswamy, K. and Sundaresan, S. (1993). Does Default Risk in Coupons Affect the Valuation of Corporate Bonds: A Contingent Claims Model. Financial Management, 117–131.
* Krischenheiter, M. and Ramakrishnan, R. (2010). Prudence Demands Conservatism. Working paper. University of Illinois at Chicago.
* Li F., Abeysekera, I.,& Ma, S. (2011). Earnings management and the effect of earnings quality In relation to stress level and bankruptcy Level of Chinese Listed Firms. Corporate Ownership and Control. 9 (1): 366-391.
* Lo, K. and Lys,T. (2000). The Ohlson model: contributionto valuation theory, limitations, and empirical applications.Journal of Accounting, Auditing and Finance, 15(3): 337-370.
* McCrae, M. and Nitsson, H. (2001). The explanatory andpredictive power of different specifications of the Ohlson(1995) valuation models. The European AccountingReview,10 (2), 315-341.
* Myers, J. (1999). Implementing residual income valuation with linear information dynamics. AccountingReview.74 (January): 1-28.
* Newton, G.W. (1998). Bankruptcy insolvency accounting practice and procedure: Wiley.
* Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research. 11 (2): 661-687.
* Ota, K. (2002). A test of the ohlson (1995) model: empirical evidence from japan. The International Journal of Accounting. 37 (2): 157-182.
* Peltier-Rivest, D. (1999). The determinants of accounting choices in troubled companies. Quarterly Journal of Business and Economics. 38(4). 28–44.
* Qiang, X. (2007). The Effects of Contracting, Litigation, Regulation, and Tax Costs on Unconditional and Conditional Conservatism: Cross-Sectional Evidence at the Firm Level.The Accounting Review 82: 759-796.
* Ryan, S. G. (2006). Identifying Conditional Conservatism. European Accounting Review 15:511 -525.
* Saleh N. M.,& Ahmed, K. (2005). Earnings management of distressed firms during debt renegotiation. Accounting and Business Research. 35(1): 69–86.
* Srivastava, A. and Tse, S. (2010). The Contribution of Delayed Gain Recognition to Trends in Conservatism: A Re-Examination Using a New Approach to Measuring Accounting Conservatism. Working paper, Northwestern University.
* Stober, T. L. (1996).Do prices behave as if accountingbook values are conservative? Cross-sectional tests of theFeltham-Ohlson (1995) valuation model. Working paper. University of Notre Dame.
* Sweeney, A. P. (1994). Debt-covenant violations and managers accounting responses. Journal of Accounting and Economics. 17(3): 281–308.
* Uhrig-Homburg, M. (2005). Cash-flow Shortage as an Endogenous Bankruptcy Reason.Journal of Banking and Finance 29: 1509–1534.
* Watts, R. (2003). Conservatism in Accounting Part I: Explanations and Implications. Accounting Horizons 17: 207–221.
* Watts, R. L. & Zimmerman J. L. (1986). Positive accounting theory. Prentice-Hall, Inc: Upper Saddle River,New Jersey, NJ.
* Wittenberg-Moerman, R. (2008). The Role of Information Asymmetry and Financial Reporting Quality in Debt Trading: Evidence from the Secondary Loan Market. Journal of Accountingand Economics 46: 240-260
* Zhang, J. (2008). The Contracting Benefits of Accounting Conservatism to Lenders and Borrowers. Journal of Accounting and Economics 45: 27–54
