پايداري سود و اجزاي تشكيل دهنده آن در سطح صنعت و شركت

Persistence of Components of Industry-wide and Firm-Specific Earnings

هدف از اين پژوهش، بررسي پايداري سود بر حسب سود نقدي و تعهدي و در سطح سود خاص شركت و سود خاص صنعت است. هر چه پايداري سود بيشتر باشد، شركت توان بيشتري براي حفظ سودهاي جاري دارد و فرض مي شود كيفيت سود بالاتر است. جامعه آماري اين پژوهش، شامل كليه شركت‌هاي پذيرفته شده در بورس اوراق بهادار تهران است. به منظور دستيابي به هدف پژوهش، 113 شركت از بين شركت‌هاي پذيرفته شده در بورس اوراق بهادار تهران طي سال‌هاي 1384 تا 1394 براي نمونه آماري انتخاب شدند. به منظور تجزيه و تحليل داده‌ها و آزمون فرضيه‌ها از الگوي معادلات همزمان ميشكين استفاده شده است. يافته‌هاي پژوهش حاكي از آن است كه پايداري سود خاص صنعت نسبت به سود خاص شركت بيشتر است و پايدارترين جزء در بين ساير اجزا، جزء نقدي سود خاص صنعت و ناپايدارترين جزء، جزء تعهدي سود خاص شركت است. از ديگر يافته‌هاي اين پژوهش، عدم درك پايداري متفاوت اجزاي سود توسط سرمايه‌گذاران است.

ng 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.