ارزيابي نقش چرخه عمر شركت در بهينه سازي مدل ارزشگذاري اولسون

Evaluation of the role of firm’s life cycle in the optimal design of Ohlson valuation model

ﺑﯿﻨﯽ و ارزﺷﯿﺎﺑﯽ اوﻟﺴﻮن )1995( ﺑﺮ ارزش دﻓﺘﺮي ﺷﺮﮐﺖ، ﺳﻮد ﺣﺴﺎﺑﺪاري و ﻓﺮض ﺗﺼﺎدﻓﯽ، ﻣﺘﻌﺎدل و ﺑﺎ ﺛﺒﺎت ﺑﻮدن ﺳﻮدﻫﺎي ﻏﯿﺮﻋﺎدي" ﻣﺘﮑﯽ اﺳﺖ. در اﯾﻦ ﭘﮋوﻫﺶ ﺑﺎ ﻫﺪف ﺑﺮرﺳﯽ ﺗﻮان ﺑﻬﺒﻮد ﻣﺪل ارزﺷﯿﺎﺑﯽ اوﻟﺴﻮن ﺑﺎ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﻣﺘﻐﯿﺮ ﭼﺮﺧﻪي ﻋﻤﺮ ﺷﺮﮐﺖ، ﻧﻤﻮﻧﻪاي ﻣﺘﺸﮑﻞ از 110 ﺷﺮﮐﺖ ﭘﺬﯾﺮﻓﺘﻪ ﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻃﯽ ﺳﺎﻟﻬﺎي 1382 ﺗﺎ 1392 اﻧﺘﺨﺎب و ﺑﺎ اﺳﺘﻔﺎده از روش ﺷﻨﺎﺳﯽ ﭘﺎرك و ﭼﻦ )2006( ﺑﻪ ﻣﺮاﺣﻞ ﺳﻪ ﮔﺎﻧﻪ ﭼﺮﺧﻪ ﻋﻤﺮ ﺗﻘﺴﯿﻢ و ﺳﭙﺲ ﺑﺎ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﺟﺎﯾﮕﺎه ﺷﺮﮐﺖ در ﭼﺮﺧﻪ ﻋﻤﺮ، ﻣﺪلﻫﺎي ﭘﯿﺶ ﺑﯿﻨﯽ ﻋﺎﯾﺪات ﻏﯿﺮ ﻋﺎدي و ارزﺷﯿﺎﺑﯽ اوﻟﺴﻮن )1995( ﺗﻌﺪﯾﻞ و ﻣﺪل ﺗﻌﺪﯾﻞ ﺷﺪه ﺑﺎ ﻣﺪل اوﻟﯿﻪ در دو دوره ﺗﺨﻤﯿﻦ ﮐﻮﺗﺎه ﻣﺪت 5 ﺳﺎﻟﻪ و ﺑﻠﻨﺪ ﻣﺪت 10 ﺳﺎﻟﻪ ﻣﻘﺎﯾﺴﻪ ﮔﺮدﯾﺪ. ﻧﺘﺎﯾﺞ ﭘﮋوﻫﺶ ﻧﺸﺎن ﻣﯽدﻫﺪ ﮐﻪ ﻃﯽ ﻫﺮ دو دوره ﺗﺨﻤﯿﻦ ﻣﺪل ﺗﻌﺪﯾﻞ ﺷﺪه ﻧﺴﺒﺖ ﺑﻪ ﻣﺪل اوﻟﯿﻪ ﻋﻤﻠﮑﺮد ﺑﻬﺘﺮي در ﭘﯿﺶ عايدات غير عادي و ارزشيابي شركتها دارد، هرچند در دوره تخمين 51 ساله، ارزشهاي برآوردي هر دو مدل اوليه و تعديل شده به نحو معنا داري كمتر از ارزشهاي واقعي شده است.

The significance of risk and performance indicators during the firm’s life cycle is different according to the life cycle theory. On the other hand Ohlson prediction and valuation models (1995) are based on firm book value, accounting profit and the assumption of "randomized, balanced and stabilized abnormal earnings". In this study which is aimed to review the ability to improve the Ohlson valuation model considering the firm’s life cycle variable, a sample of 110 firms listed in Tehran Stock Exchange between 2003 and 2013 was selected. Using Park and Chen (2006) methodology, the life cycle was divided into three stages and then, considering the firm’s place in the life cycle, prediction models of abnormal earnings and Ohlson firm’s valuation (1995) were adjusted and afterward the adjusted models were compared with the initial model in two short-term and long-term estimation periods of 5 and 10 years, respectively. The results show that during both estimation periods, the adjusted model has a better performance in predicting abnormal earnings and firm’s valuation compared to the initial model, however during the 10-year estimation period, the two models’ estimated values were significantly less than actual values.