چکیده:
هدف از این پژوهش، بررسی پایداری سود بر حسب سود نقدی و تعهدی و در سطح سود خاص شرکت و سود خاص صنعت است. هر چه پایداری سود بیشتر باشد، شرکت توان بیشتری برای حفظ سودهای جاری دارد و فرض می شود کیفیت سود بالاتر است. جامعه آماری این پژوهش، شامل کلیه شرکتهای پذیرفته شده در بورس اوراق بهادار تهران است. به منظور دستیابی به هدف پژوهش، 113 شرکت از بین شرکتهای پذیرفته شده در بورس اوراق بهادار تهران طی سالهای 1384 تا 1394 برای نمونه آماری انتخاب شدند. به منظور تجزیه و تحلیل دادهها و آزمون فرضیهها از الگوی معادلات همزمان میشکین استفاده شده است. یافتههای پژوهش حاکی از آن است که پایداری سود خاص صنعت نسبت به سود خاص شرکت بیشتر است و پایدارترین جزء در بین سایر اجزا، جزء نقدی سود خاص صنعت و ناپایدارترین جزء، جزء تعهدی سود خاص شرکت است. از دیگر یافتههای این پژوهش، عدم درک پایداری متفاوت اجزای سود توسط سرمایهگذاران است.
Economic theory suggests that firm performance determined by industry fundamentals is relatively long lasting. On the other hand, performance that deviates from industry norms tends to dissipate more quickly. Investors tend to fixate on reported earnings, however, not fully recognizing differences in the persistence of its components. As a result, we expect the market to underreact to the higher persistence of the industry-wide component of earnings.
Research Hypothesis
The aim of the study is to investigate the persistence of components of industry and firm earnings.
H1. The industry-wide component of earnings is more persistent than the firm-specific component.
H2. Investors fail to fully appreciate difference persistence of industry-wide component of earnings and firm-specific earnings.
H3. Investors underreact to the persistence of industry-wide earning.
H4. Investors overreact to the persistence of firm-specific earning.
H5. Industry wide cash flows is the most persistent component of earnings.
H6. Firm-specific accruals is the least persistent component of earnings.
H7. Investors underreact to industry-wide cash flows component.
H8. Investors overreact to firm-specific accruals component.
Method
To achieve the purpose of this study, a sample consisting of 113 companies listed in Tehran Stock Exchange during the year 2005 to 2015 were selected. In order to test the hypothesis, model of Mishkin approach was applied. The Mishkin test was conducted using non-linear least square estimation. The cross-equation restrictions were tested using a Wald-based test with robust Wald statistics.
Results
The results of research indicate that industry-wide component of earnings is more persistent than the firm-specific component and investors fail to fully appreciate difference persistence of industry-wide component of earnings and firm-specific earnings; also they underreact to the persistence of industry-wide earning and overreact to the persistence of firm-specific earning. The results show that industry wide cash flows is the most persistent component of earnings and firm-specific accruals is the least persistent component of earnings. Research data show investors underreact to industry-wide cash flows component and they overreact firm-specific accruals component.
Conclusion
We find that industry-wide earnings are significantly more persistent than firm-specific earnings. However, investors fail to fully distinguish this differential persistence as stock prices place similar weights on these two earnings components in forecasting one-year-ahead earnings. In other words, the market underreacts to the persistence of industry-wide earnings and overreacts to the persistence of firm-specific earnings. Finally,we find that industry-wide cash flow is the most persistent component of earnings while firm-specific accruals is the least persistent. Results indicates that investors underreact to industry-wide cash flows component while they overreact to firm-specific accruals component.