بررسي تاثير روش‌هاي تامين مالي بر بازده آتي سهام

Extended Abstract Impact of Financing Methods on Future Stock Returns

در اين پژوهش تاثير روش‌هاي مختلف تامين مالي و نحوه‌ي مصرف عوايد حاصل از اين روش‌ها بر بازده آتي سهام، بررسي شده است. در ادبيات مالي، در ارتباط با تاثير روش‌هاي مختلف تامين مالي خارجي بر بازده آتي سهام، دو فرضيه‌ي « قيمت گذاري نادرست اوراق بهادار» و «سرمايه گذاري بيش از حد»، مطرح شده است. بر اساس اين فرضيات، روش‌هاي مختلف تامين مالي خارجي بر بازده آتي سهام، تاثيري منفي دارند. همچنين، بر اساس فرضيه‌ي سرمايه گذاري بيش از حد، رابطه‌ي منفي بين مبادلات تامين مالي و بازده آتي سهام، زماني به حداكثر مي‌رسد كه عوايد حاصل از اين روش‌ها در فعاليت‌هاي عملياتي، سرمايه‌گذاري شوند. علاوه بر اين، به دليل هزينه‌هاي مبادلاتي و عدم تقارن اطلاعاتي بين مديريت و سرمايه‌گذاران برون سازماني شركت، هزينه‌ي منابع مالي داخلي بايد كم‌تر از هزينه‌ي منابع مالي خارجي باشد. بنابراين، انتظار مي‌رود بين نسبت تامين مالي داخلي به تامين مالي خارجي و بازده آتي سهام، رابطه‌ي مثبت وجود داشته باشد. همچنين، اين رابطه در شركت‌هاي با رشد زياد، قوي‌تر از شركت‌هاي با رشد كم باشد؛ زيرا در اين شركت‌ها، عدم تقارن اطلاعاتي بين مديريت و سرمايه گذاران راجع به فرصت‌هاي سرمايه گذاري بيش‌تر است. داده‌هاي اين تحقيق، از 65 شركت پذيرفته شده در بورس اوراق بهادار تهران در طي دوره‌ي زماني 1385-1378 به دست آمده و آزمون‌ها به روش داده‌هاي تركيبي و مقطعي انجام شده است. يافته‌ها دلالت بر آن دارد كه رابطه‌ي بين خالص تغيير در تامين مالي كل، خالص تغيير در تامين مالي خارجي و تغيير در خالص دارايي‌هاي عملياتي تامين شده از محل منابع مالي داخلي با بازده غيرعادي انباشته‌ي سهام، معنادار است؛ ولي بر خلاف پيش بيني، مثبت است. علاوه براين، رابطه‌ي بين نسبت تامين مالي داخلي به تامين مالي خارجي و بازده غيرعادي انباشته‌ي سهام، در شركت‌هاي با رشد زياد ، قوي‌تر از شركت‌هاي با رشد كم است. همچنين، بر اساس داده‌هاي مقطعي رابطه بين خالص تغيير در تامين مالي داخلي و تغيير در خالص دارايي‌هاي عملياتي تامين شده از محل منابع مالي داخلي با بازده غيرعادي انباشته‌ي سهام، مثبت و معني‌دار است.

Introduction This research examined the effect of various financing methods and ways of using proceeds provided from these methods on futures stock returns. The financial literature documents two hypotheses, namely security mispricing hypothesis and over-investment hypothesis, which explain the effect of various external financing methods on future stock returns. These hypotheses posit that external financing methods have negative impact on future stock returns. Also, the over-investment hypothesis posits that the negative relation between financing transactions and future stock returns arises when the proceeds provided from these methods are invested in operating activities. Moreover, because of transaction costs and manager/investor information asymmetries, internally generated funds should be less costly than funds raised by externally generated funds. Thus, it is expected that internal to external funding ratio has positive relation with future stock returns. Also, this relation will be magnified for high growth firms relative to low growth firms since the disparity between inside information and publicly available information about high growth firmʹs investment opportunities is greatest. Hypothesis In order to provide evidence about the effect of various financing methods and ways of using proceeds provided from these methods on futures stock returns, main hypothesis to be tested is that: H1: The changes of total financing will be negatively correlated with the cumulative abnormal return (CAR). So, we expect p1 to be negative and significantly different from zero in the model (1). CARi,t+1 = a + P1 AFinu + P2 UX u + P3 BETA u + P4 SIZE u + ei,t+1 (1) H2: the cumulative abnormal return (CAR) is negatively correlated with the external financing if operational net assets of the firms increased after external financing. H3: the cumulative abnormal return (CAR) is negatively correlated with the internal financing if operational net assets of the firms increased after internal financing. So, we expect P1 and P2 to be negative and significantly different from zero in the model (2). (2) CARi,t+1 = a + p1*AEXNOAi,t + p2*AINOAi,t + p3*ACASHi,t + ei,t+1 H4: the earnings response coefficient (ERC) is higher for firms with higher internal to external funding ratio. (3). So, we expect p2 to be negative and significantly different from zero in the model CARt+ 1=a+P 1*UXt+p2*I/XFt*UXt+p3*LEVt*UXt+ P4* BETAt* UXt+ B5*PERSt*UXt+ p6*HIt* UXt + p7*SIZEt*UXt + et+1 (3) H5: the earnings response coefficient (ERC) is positively correlated with the internal to external funding ratio for firms with higher growth. So, we expect p2H to be positive and significantly different from zero in the model (4). CAR t+1 = a + p1*UXt + pi*I/XFt*UXt + p2,H*HI*I/XFt*UXt + p3*LEVt*UXt + p4*BETAt*UXt + B5* PERSt UXt + p6*HIt*UXt + p7 SIZEt UXt + et+1 (4) Methods The sample includes 65 production firms listed in Tehran Stock Exchange (TES) with data available between 1378 and 1385. Financial firms and firms that changed fiscal year end during the test period are excluded from sample. We used cross-section and polling data methods for estimated models. Results The results of estimated models (1) to (4) in cross-section and polled data methods show that: on the basis of pooled data, there are significantly positive relationships between net changes in total financing, net changes in external financing and changes in internally financed net operating assets and cumulative abnormal returns (CAR). Moreover, the relationship between internal to external funding ratio and CAR is stronger in high growth firms relative to low growth firms. Also, on the basis of cross-sectional data, net changes in internal financing and changes in internally financed net operating assets have a significantly positive relationship with CAR. Discussion and Conclusion The financial literature documents the effect of various external and internal financing methods on future stock returns. The external financing methods have negative impact on future stock returns and negative relationship between financing transactions and future stock returns arises when the proceeds provided from these methods are invested in operating activities. The internal financing should be less costly than external financing. Thus, it is expected that internal to external funding ratio has positive relation with future stock returns. Our findings do not confirm negative relation between external financing and future stock returns (Richardson et.al.2003; Bradshaw et.al 2006) but the results show the positive relation between internal financing future stock returns (Chul, Park and Pincus, 2001). Keywords: Cumulative Abnormal Returns, Financing methods, Net Operating Assets, Internal Financing, External Financing. Journal of Accounting Advances (J.A.A) Vol. 2, No. 2, Fall & Winter 2010, Ser. 59/3