Development of data envelopment analysis model for financial and social evaluation of companies based on stock returns and accounting value

الموضوعات :

Mohammad Mir Darikvandi ¹ (Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran)
Gholamreza Farsad Amanollahi ² (Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran)
Ali Esmaelzadeh Mogheri ³ (Department of Accounting, Science and Research Branch, Islamic Azad University, Tehran, Iran)
Amirreza Keyghobadi ⁴ (Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran)

تاريخ الإرسال : 25 الخميس , ربيع الثاني, 1442 تاريخ التأكيد : 03 الإثنين , رجب, 1442 تاريخ الإصدار : 02 الجمعة , ذو الحجة, 1443

الکلمات المفتاحية: Financial Evaluation, Data envelopment analysis, Social Responsibility, Stock Returns, Accounting value,

ملخص المقالة :

Corporate social responsibility has long attracted the attention of academics, researchers, NGOs, and the government, and has become an important aspect of corporate operations. Increasing the globalization of business, increasing the strategic importance of stakeholder relations and the growth of corporate image management are the three key factors and the main driver in increasing the importance of corporate social responsibility. Data envelopment analysis is a well-known methodology that is applied to evaluate the selected firms based on the most important features. Therefore, in this research, it is important to examine the social responsibility of companies with emphasis on stock returns and accounting value. For this purpose, information related to the member companies of the stock exchange during a ten-year period from 2010 to 2020 after performing the necessary statistical tests using linear regression and EViews 10 and SPSS 26 software to test We addressed the hypotheses. In this research, multivariate regression method has been used as a statistical method. The results show that there is no relationship between social responsibility and accounting value, but social responsibility has an inverse and significant relationship with corporate stock returns.

المصادر:

[1] Akbari, S., Heydari, J., Keramati, M., Keramati, A., Designing A Mixed System of Network DEA for Evaluating the Efficiency of Branches of Commercial Banks in Iran, Advances in Mathematical Finance and Applications, 2019, 4(1), P.1-13. Doi: 10.22034/amfa.2019.582260.1165

[2] Arab Salehi, M., Sadeghi, G., Moinuddin M., The relationship between social responsibility and financial performance of companies listed on the Tehran Stock Exchange, Empirical Accounting Research, 2013, 3(9), P.1-20. Doi: 10.22051/jera.2013.586

[3] Appuhami, R., Tashakor, S., The impact of audit committee characteristics on CSR disclosure: An analysis of Australian firms, Australian Accounting Review, 2017, 27(4), P.400-420, Doi: 10.1111/auar.12170

[4] Barth, M. E., Landsman, W. R., Lang, M.H., International accounting standards and accounting quality, Journal of Accounting Research, 2018, 46(3), P. 467–498. Doi: 10.1111/j.1475-679X.2008.00287.x

[5] Barth, M., Cram, D. P., and Nelson, K. K., Accruals and the prediction of future cash flows, The Accounting Review, 2001, 76(1), P. 27–58. Doi: 10.2139/ssrn.194931

[6] Bharath, S.T., Sunder, J., and Sunder, S.V., Accounting Quality and Debt Contracting, The Accounting Review, 2008, 83, P. 1–28. Doi: 10.2139/ssrn.591342

[7] Brandt, M.W., and Wang, K.Q., Time-varying risk aversion and unexpected inflation, Journal of Monetary Economics, 2003, 50(7), P. 1457–1498. Doi: 10.1016/j.jmoneco.2003.08.001

[8] Bushman, R., Piotroski, J., and Smith, A., What determines corporate transparency? Journal of accounting Research, 2004, 42(2), P. 207-252. Doi: 10.2139/ssrn.428601

[9] Badavar Nahandi, Y., Baradaran Hassanzadeh, R., Jalalifar, J., Investigating the relationship between social responsibility and the performance of companies listed on the Tehran Stock Exchange, Productivity Management, 2014, 8 (1), P. 139-164. (in Persian)

[10] Charnes, A., Cooper, W.W., and Rhodes, E., Measuring the efficiency of decision making units,
European Journal of Operational Research, 1978, 2, P. 429-444. Doi: 10.1016/0377-2217(78)90138-8

[11] Chemis., E., Mangena, M., Harvey Pamburai, H., Tauringana, V., Financial reporting in hyperinflationary economies and the value relevance of accounting amounts, hard evidence from Zimbabwe, 2018.

[12] Darabi R., Salmanian, M., Investigating the Relationship between Social Responsibility Reporting and the Value and Risk of Companies Listed on the Tehran Stock Exchange, Quarterly Journal of Value and Behavioral Accounting, 2016, 1 (2), P. 193-213. (in Persian)

[13] Derakhshan Mehr, A., Hamedanloo, M.R., Investigating the relationship between corporate disclosure and stock price concurrence with emphasis on institutional ownership, Accounting and Management Perspectives, 2018, 1 (5), P. 27-40. (in Persian)

[14] Foroughi, D., Mir Shams Shahshahani, M., Pourhossein, S., Managers' Attitudes Towards Disclosure of Social Accounting Information: Companies Listed on the Tehran Stock Exchange, Accounting and Auditing Reviews, 2008, 52, P. 70-55. (in Persian)

[15] Faghani Makrani, K., Heidari Rostami, K., Amin, V., Investigating the Relationship between Social Responsibility and Stock Risk Reduction in Companies Listed on the Tehran Stock Exchange, Investment Knowledge, 2016, 5(19), P. 269-284. (in Persian)

[16] Farrell, M. J., The measurement of productive efficiency, Journal of the Royal Statistical Society, Series A, 1957, 120 (III), P. 253-281. Doi: 10.2307/2343100

[17] Ferns, B., Prakash S.S., Emerging trends in corporate social responsibility (CSR) reporting by large corporations: a comparative analysis of corporate CSR reports by Western European and North American corporations, The Fifth ISBEE World Congress, Warsaw, Poland, 2012.

[18] Grant, A.M., The Significance of Task Significance: Job Performance Effects, Relational Mechanisms, and Boundary Conditions, Journal of Applied Psychology, 2008, 93(1), P. 108-124, Doi: 10.1037/0021-9010.93.1.108

[19] Ghaemi, M.H., Qitasvand, ‌M., and Tojiki, M., The effect of earnings smoothing on stock returns of companies listed on the Tehran Stock Exchange, Accounting and Auditing Reviews, 2003, 33, P. 60-75. (in Persian)

[20] Hajiha, Z., Sarfaraz, B., Investigating the Relationship between Corporate Social Responsibility and Cost of Equity in Companies Listed in Tehran Stock Exchange, Empirical Accounting Research, 2014, 14(4), P. 123-105. (in Persian)

[21] Hejami, M., Investigating the Relationship between Disclosure of Social Responsibility and Institutional Ownership in Companies Listed on the Tehran Stock Exchange, The end of the master bread, Islamic Azad University, Guilan Science and Research Branch, 2012.

[22] Hasas Yeganeh, Y., Sohrabi, H.A., Ghavasi Kenari, M., The relationship between social responsibility reporting and company value, Financial Accounting and Auditing Research, 2020, 12 (45), P. 1-20. (in Persian)

[23] Hasas Yeganeh, Y., Barzegar, G., Presenting a model for disclosing social responsibility and sustainability of companies and its current situation in companies listed on the Tehran Stock Exchange, Quarterly Journal of the Stock Exchange, 2015, 8(29), P. 91-98. (in Persian)

[24] Han, J.J., Kim, H.J., Yu, J., Empirical study on relationship between corporate social responsibility and financial performance in Korea, Asian Journal of Sustainability and Social Responsibility, 2016, 1, P. 61-76. Doi: 10.1186/s41180-016-0002-3

[25] Kirkulak, B., & Balsari, C.K., Value relevance of inflation-adjusted equity and income, The International Journal of Accounting, 2010, 44(4), P. 363–377.

[26] Izadikhah, M., Improving the Banks Shareholder Long Term Values by Using Data
Envelopment Analysis Model, Advances in Mathematical Finance and Applications, 2018, 3(2), P. 27-41. Doi: 10.22034/AMFA.2018.540829

[27] Izadikhah, M., and R., Farzipoor Saen, A new preference voting method for sustainable
location planning using geographic information system and data envelopment analysis, Journal of
Cleaner Production, 2016, 137, P. 1347-1367. Doi: 10.1016/j.jclepro.2016.08.021

[28] Jabbarzadeh Kangarloee, S., Bayazidi, A., Investigating the Relationship between Social Responsibility and Organizational Commitment with Conservatism in Financial Reporting of Companies Listed on Tehran Stock Exchange, Stock Exchange Quarterly, 2010, 3(9), P. 77-96. (in Persian)

[29] Khajavi, S., Bayazidi, A., Jabbarzadeh, Kangarloee, S., Study of the relationship between earnings management and social responsibility of companies listed on the Tehran Stock Exchange, Accounting Advances (Shiraz Social Sciences and Humanities), 2011, 3(1), P. 29-55. (in Persian)

[30] Kurdistani, G., Qaderzadeh, S.K., Haghighat, H., The effect of social responsibility disclosure on accounting, economic and market metrics of corporate performance appraisal, Accounting Advances, 2018, 10(1), P. 187-217. Doi: 10.22099/jaa.2018.26236.1596

[31] Kim, Y., Haidan, L., Siqi, L., Corporate social responsibility and stock price crash risk, Journal of Banking & Finance, 2014, 43, P. 1-13. Doi: 10.1016/j.jbankfin.2014.02.013

[32] Mousavi, S.A., Rezaei, F., Shah Veisi, F., Explain the performance of corporate social responsibility and its impact on the risk of falling stock prices. Knowledge of Financial Accounting, 2016, 3(3), P. 47-74. (in Persian)

[33] Izadikhah, M., Farzipoor Saen, R. Solving voting system by data envelopment analysis for assessing sustainability of suppliers. Group Decis Negot, 2019, 28, P. 641–669. Doi: 10.1007/s10726-019-09616-7

[34] Izadikhah, M., Azadi, M., Toloo, M., Hussain, F.K., Sustainably resilient supply chains evaluation in public transport: A fuzzy chance-constrained two-stage DEA approach, Applied Soft Computing, 2021, 113(B), Doi: 10.1016/j.asoc.2021.107879.

[35] Poordavoodi, A., Reza, M., Haj, H., Rahmani, A. M., Izadikhah, M., Toward a More Accurate Web Service Selection Using Modified Interval DEA Models with Undesirable Outputs. CMES-Computer Modeling in Engineering & Sciences, 2020, 123(2), P. 525–570. Doi: 10.32604/cmes.2020.08854

[36] Azadi, M., Izadikhah, M., Ramezani, F., Hussain, F.K., A mixed ideal and anti-ideal DEA model: an application to evaluate cloud service providers, IMA Journal of Management Mathematics, 2000, 31(20), P. 233–256, Doi: 10.1093/imaman/dpz012

[37] Izadikhah, M., A Fuzzy Goal Programming Based Procedure for Machine Tool Selection, 2015, 28(1), P. 361-372, Doi: 10.3233/IFS-141311

[38] Izadikhah, M. Financial Assessment of Banks and Financial Institutes in Stock Exchange by Means of an Enhanced Two stage DEA Model. Advances in Mathematical Finance and Applications, 2021, 6(2), P. 207-232. Doi: 10.22034/amfa.2020.1910507.1491

[33] Nouri Tajer, M., Ethical and social responsibilities in management, Tadbir, 2001, No. 115. (in Persian)

[34] Monika K., Mahesh, J., Gurdip., S.B., Determinants of corporate social responsibility disclosures: Evidence from India, Advances in Accounting, 2014, 30(1), P. 217-229, Doi: 10.1016/j.adiac.2014.03.009.

[35] Nelson, D., Conditional heteroscedasticity in asset returns: a new approach, Econometrica, 1991, 59 (2), 347–370. Doi: 10.2307/2938260

[36] Pour-Ali M., Hajjami M., Study of the relationship between disclosure of social responsibility and institutional ownership in companies listed on the Tehran Stock Exchange, Journal of Management Accounting and Auditing Knowledge, 2014, 3(10), P. 135-150. (in Persian)

[37] Rohi Maleki, S., Pak Maram, A., Investigating the relationship between accounting conservatism and market reaction and corporate value. Accounting Research, 2017, 7 (4), P. 99-126. Doi: 10.22051 / ijar.2017.9221.1093

[38] Rahman Seresht, H., Rafiei, M., Koosha, M., Social Responsibility, Extra-Organizational Ethics, Tadbir Monthly, 2009, 204. (in Persian)

[39] Ravanshad, M., Amiri, A., Salari, H., Khodadadi, D., Application of the two-stage DEA model for evaluating the efficiency and investigating the relationship between managerial ability and firm performance, Advances in Mathematical Finance and Applications, 2020, 5(2), P. 229-245. Doi: 10.22034/amfa.2019.582206.1160

[40] Servaes, H., Tamayo, A., The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Downloaded from aapc.khu.ac.ir at 9:41 IRST on Saturday September 26th 2020 Avareness, Management Science, 2013, 59(5), P. 1045-1061, Doi: 10.18869/acadpub.aapc.1.2.193.

[41] Shaykhs, S., Nasiri, S.S., Investigating the effect of financial reporting transparency on the relevance of accounting profit value, Empirical Accounting Research, 2016, 6(1), P. 127-154. Doi: 10.22051/jera.2016.2164

[42] Sharbat Oghli, A., Afshari, D., Najmi, M., Social Responsibility with Companies Listed on the Tehran Stock Exchange, Iranian Journal of Management Sciences, 2010, 5(19), P. 63-80. (in Persian)

[43] Sanobar, N., Khalili, M., Saghafian, H., Study of the relationship between social responsibility and financial performance of companies, Business Management Research, 2010, 2(4), P. 28-52. (in Persian)

[44] Standards Foundation, International Monetary Fund, Report for selected countries and subjects: Zimbabwe. World Economic, 2008.

[45] Tavana, M., Izadikhah, M., Di Caprio, D., Farzipoor Saen, R., A new dynamic range directional measure for two-stage data envelopment analysis models with negative data, Computers & Industrial Engineering, 2018, 115, P. 427-448. Doi: 10.1016/j.cie.2017.11.024.

[46] Tone, K., Toloo, M., Izadikhah, M., A modified slacks-based measure of efficiency in data
envelopment analysis, European Journal of Operational Research, 2020, 287(2), P. 560-571, Doi: 10.1016/j.ejor.2020.04.019

[47] Tsai, W., Social structure of coopetition within a multiunit organization: Coordination, competition, and intra-organizational knowledge sharing, Organization Science, 2002, 13(2), P. 179-190. Doi: 10.1287/orsc.13.2.179.536

[48] Utz, S., Stock synchronicity, stock price crash risk, and corporate social responsibility: Evidence from an international sample. www.ssrn.com, 2016, Doi: 10.1108/MF-10-2015-0278.

[49] Verdi, R.S., Financial reporting quality and investment efficiency, Working paper. University of Pennsylvania, 2006.

[50] Wang, Z., Sarkis, J., Corporate social responsibility governance, outcomes, and financial Performance, Journal of Cleaner Production, 2017, 162, P.1607-1616, Doi: 10.1016/j.jclepro.2017.06.142

[51] YU, G., Accounting Standards and International Portfolio Holdings: Analysis of Cross-Border Holdings following Mandatory Adoption of IFRS, Unpublished paper, Harvard University, 2013.

[52] Zhang, J., Does corporate social responsibility affect financial performance of listed manufacturing firms in Germany? Master Thesis, University of Twente, 2016.