اقلام تعهدي، جريان‌هاي نقدي و سود عملياتي در مقطع بازدۀ سهام باتوجه به نسبت شارپ

The Role of Accruals, Cash Flows and their Information Content in Operating Profitability of the Stock Returns

هدف پژوهش حاضر، بررسي نقش اجزاي جريان‌هاي نقدي و اقلام تعهدي و محتواي اطلاعاتي آنها در پيش‌بيني جريان‌هاي نقدي و سود است. در اين راستا، چهار فرضيۀ تـدوين و براي آزمون اين فرضيه‌ها از الگوي رگرسيون پانلي استفاده شد. نتـايج آزمـون نمونـة پـژوهش نشـان دادنـد، جزء نقدي و تعهدي سود بر بازدۀ آتي سهام تأثير معناداري دارد؛ ولي تأثير جزء تعهدي نسبت به جزء نقدي بزرگ‌تر است. به‌علاوه، نتايج بيانگر آن است كه تأثير جزء تعهدي سود بر بازدۀ آتي سهام، تفاوت معناداري با ميزان تأثير جريان نقدي سود بر بازدۀ آتي سهام در شركت‌هاي داراي نسبت شارپ متفاوب دارد. شركت‌هايي با ميزان معيار شارپ بالاتر، بازده را با تقبل ريسك كمتري دريافت خواهند كرد

Different criteria have been offered so far to evaluate the performance of commercial units and at the time being the most usual and the most important criterion of performance evaluation and profitability of the institutes is the stock return which has a key role in investment. This criterion alone has had information content for the investors and is used to evaluate the performance and operations of a commercial unit. Whenever this criterion declines, it will be an alarm for the company and indicates that the company performance is not appropriate. This study aims to examine the role of components of cash flows and accruals and their information content in anticipating the stock return. The time period of the research consisted of 5 consecutive years from 2009 to 2014 and the research sample consists of 154 companies listed in Tehran Stock Exchange. In the current study the hypotheses testing method is panel data which was carried out with the use of software EVewis8, R3.1, SAS 9.4 and EXCEL2010 and according to the output of the software, the significance of the relationships between variables was investigated. The sample test results show that the cash component and profit accrual have a significant impact on future stock returns, but the effect of accrual component is larger than that of cash component. Also the results indicate that the effect of accrual component on future stock returns is significantly different from the effect rate of profit cash flow on future stock returns of companies with different Sharpe Ratio. The companies with higher Sharpe ratio, receive returns with lower risk.