تأثیر مدیریت بهره وری سرمایه بر مدل های قیمت گذاری دارایی های سرمایه ای با تاکید بر چرخه عمر
محورهای موضوعی : مدیریت بازرگانی
علی علی محمد پور
1
(دانشجوی دکتری گروه حسابداری واحد ساری، دانشگاه آزاد اسلامی، ساری، ایران.)
علی ذبیحی
2
(استادیار،گروه حسابداری، واحد ساری، دانشگاه آزاد اسلامی، ساری، ایران)
خسرو فغانی ماکرانی
3
(دانشیار،گروه حسابداری، واحد ساری، دانشگاه آزاد اسلامی، ساری، ایران)
کلید واژه: بهره‌وری سرمایه, قدرت توضیح دهندگی, مدل های پیش بینی بازده سهام, چرخه عمر شرکت‌ها,
چکیده مقاله :
مفهوم بهره وری سرمایه به اندازه گیری توان مدیریت در استفاده بهینه از سرمایه به عنوان یکی از منابع مهم و محدود شرکت می پردازدو طبیعی است که سهام شرکت های با بهره وری سرمایۀ بالا، بازده بالاتری نیز داشته باشند و همچنین قدرت توضیح دهندگی مدل های ارائه شده جهت پیش بینی بازده سهام با استفاده از بهره وری سرمایه افزایش یابد. هدف این مطالعه، بررسی چگونگی تأثیر بهره وری سرمایه بر قدرت توضیح دهندگی مدل های پیش بینی بازده سهام و همچنین بررسی این تأثیر در مراحل مختلف چرخه عمر شرکت ها است. نسبت سود عملیاتی به سرمایه ی سرمایه گذاری شدۀ شرکت(ROIC) به عنوان شاخص بهره وری سرمایه و از مدل های سه عاملی فاما و فرنچ (1993) و پنج عاملی فاما و فرنچ (2013) به عنوان مدل های پیش بینی بازده سهام و از روش جریان های نقدی دیکنسون(2011) جهت طبقه بندی چرخه عمرشرکت ها استفاده شده است. دورۀ مورد مطالعه، سال های 1384 الی 1394 است و نمونه ی انتخابی110 شرکت از میان شرکت های پذیرفته شده در بورس اوراق بهادار تهران و با ویژگی های تعریف شده، می باشد. نتایج حاصل از آزمون فرضیه ها نشان می دهد که بهره وری سرمایه بر رابطه بین عامل بازار و رشد با صرف ریسک در تمام مراحل چرخه عمر تأثیر دارد ولی بر رابطه بین عامل اندازه با صرف ریسک فقط در مرحله بلوغ تأثیر معنادار دارد.
Capital productivity concerns the measurement of management power in making optimal use of capital as one of the important and limited company resources. In companies with highly efficient capital productivity, stocks are expected to offer higher returns and the explanatory power of the models proposed to predict stock returns is assumed to increase. The purpose of this study was, thus, to examine the extent to which capital productivity might influence the explanatory power of stock market predictive models and to scrutinize this viable effect at various stages of corporate life cycle. The Operating Profit Ratio (ROIC) was used to operationalize Capital productivity, the Tripartite Factor Model (Fama & Franch, 1993) and the Pentagonal Factor Model (Fama & Franch, 2013) were employed to predict stock returns and corporate life cycle was categorized via the Dickinson Cash Flow (2011). The research sample comprised 110 companies with specific descriptive characteristics selected from among all those listed on the Tehran Stock Exchange during a ten-year period from 2005 to 1394. The results of the hypothesis testing analyses demonstrated that capital productivity affects the relationship between market factor and risk-free growth at all stages of the life cycle, but size was found significantly correlated with risk merely at the maturity stage of the life cycle.
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Babolivan and Mozafari (2016) ,“ Comparison of the predictive power of the Fama and French five-factor model with four-factor caractor model and q factor-HXZ in explaining stock returns”, Quarterly Journal of Financial Knowledge Analysis of Securities, Vol(30). PP:15- 32. [ In Persian]
Black E.L, (1998), Life-Cycle Impacts on the Incremental Relevance of Earnings and Cash flow Measures. Journal of Financial Statement Analysis, 40-56.
Carhart, M. (. (1977).. On persistence in mutual fund performance. Jornal of Finance 52,, 57-82.
Dickinson, Victoria, (2011), Cash Flow Patterns as a Proxy for Firm Life Cycle, The Accounting Review, 86 (6), 1969-1994.
Emami,ali.,Rahimi,forogh.,(2016),“Extensions of Olson & Fletham & Olson Valuation Models Using the Dickinson Life Cycle Classification ”, Journal of Management Accounting, Vol(30), PP:5- 24. [ In Persian]
Etemadi et al. (2016) ,“ Evaluating the Company's Life-cycle Role in Optimizing the Olson Valuation Model”, Journal of Accounting Accounting and Auditing Management, Vol(71). PP:112- 140. [ In Persian]
Fama E. and French. A. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance. Vol. 47, No. 2,, pp. 427-465.
Fama E. and French. A. (1993). Common Risk Factors in the Returns on Stocks and Bonds,. Journal of Financial Economics, Vol. 33, No. 1, pp. 3-56.
Fama, E., French, k. (2015), "A Five-factor Asset Pricing Model", Journal of Financial Economic 116, 1-22.
Hou, K., C. Xue, and Zhang, L. (2014), "Digesting anomalies: an investment approach", Review of Financial Studies, forthcoming
Izidinia, et al. (2015), “Comparison of the Fama and French Factor model with Carheart's four-factor main model in explaining the stock returns of listed companies in Tehran Stock Exchange”, Quarterly Journal of Asset Management and Financing,Vol(3). PP:32-45.[In Persian]
Karami, Gholamreza and Hamed Omrani (2010). The impact of the company's life cycle on the relevance of risk and performance criteria. Financial Accounting Research, Vol (3).PP:1-18.[In Persian]
Khodadadi V. and M.R. Emami, (2010), Comparative Assessment of Fetham-ohlson sign oriented and Traditional Models, International Research Journal of Finance and Economics, 36, 59-73.
Park Y, Chen K, (2006), The Effect of Accounting Conservatism and Life-Cycle Stages on Firm Valuation, Journal of Applied Business Research. 22, 75-92.
Rahimi, forogh (2016). Evaluating the Company Life-cycle Role in Optimizing the Olson & Faltham Valuation Model. Accounting PhD Thesis, Tarbiat Modarres University. [In Persian]
Xu, Bixi, (2007), Life Cycle Effect on the Value Relevance of Common Risk Factor, Review of Accounting and Finance, 6, 162-175
Zhang, X. (2013), "Essays on Empirical Asset Pricing", Doctora Thesis, Universitat Autonoma DE Barcelona.
_||_Anthony, J., Ramesh, K, (1992), Association between accounting performance measures and stock prices: a test of the life cycle hypothesis, Journal of Accounting and Economics, 15, 203- 227.
Babolivan and Mozafari (2016) ,“ Comparison of the predictive power of the Fama and French five-factor model with four-factor caractor model and q factor-HXZ in explaining stock returns”, Quarterly Journal of Financial Knowledge Analysis of Securities, Vol(30). PP:15- 32. [ In Persian]
Black E.L, (1998), Life-Cycle Impacts on the Incremental Relevance of Earnings and Cash flow Measures. Journal of Financial Statement Analysis, 40-56.
Carhart, M. (. (1977).. On persistence in mutual fund performance. Jornal of Finance 52,, 57-82.
Dickinson, Victoria, (2011), Cash Flow Patterns as a Proxy for Firm Life Cycle, The Accounting Review, 86 (6), 1969-1994.
Emami,ali.,Rahimi,forogh.,(2016),“Extensions of Olson & Fletham & Olson Valuation Models Using the Dickinson Life Cycle Classification ”, Journal of Management Accounting, Vol(30), PP:5- 24. [ In Persian]
Etemadi et al. (2016) ,“ Evaluating the Company's Life-cycle Role in Optimizing the Olson Valuation Model”, Journal of Accounting Accounting and Auditing Management, Vol(71). PP:112- 140. [ In Persian]
Fama E. and French. A. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance. Vol. 47, No. 2,, pp. 427-465.
Fama E. and French. A. (1993). Common Risk Factors in the Returns on Stocks and Bonds,. Journal of Financial Economics, Vol. 33, No. 1, pp. 3-56.
Fama, E., French, k. (2015), "A Five-factor Asset Pricing Model", Journal of Financial Economic 116, 1-22.
Hou, K., C. Xue, and Zhang, L. (2014), "Digesting anomalies: an investment approach", Review of Financial Studies, forthcoming
Izidinia, et al. (2015), “Comparison of the Fama and French Factor model with Carheart's four-factor main model in explaining the stock returns of listed companies in Tehran Stock Exchange”, Quarterly Journal of Asset Management and Financing,Vol(3). PP:32-45.[In Persian]
Karami, Gholamreza and Hamed Omrani (2010). The impact of the company's life cycle on the relevance of risk and performance criteria. Financial Accounting Research, Vol (3).PP:1-18.[In Persian]
Khodadadi V. and M.R. Emami, (2010), Comparative Assessment of Fetham-ohlson sign oriented and Traditional Models, International Research Journal of Finance and Economics, 36, 59-73.
Park Y, Chen K, (2006), The Effect of Accounting Conservatism and Life-Cycle Stages on Firm Valuation, Journal of Applied Business Research. 22, 75-92.
Rahimi, forogh (2016). Evaluating the Company Life-cycle Role in Optimizing the Olson & Faltham Valuation Model. Accounting PhD Thesis, Tarbiat Modarres University. [In Persian]
Xu, Bixi, (2007), Life Cycle Effect on the Value Relevance of Common Risk Factor, Review of Accounting and Finance, 6, 162-175
Zhang, X. (2013), "Essays on Empirical Asset Pricing", Doctora Thesis, Universitat Autonoma DE Barcelona.