The Impact of Real Earning Management on Investors' Asymmetric Perceptions in the Capital Market: Examination of the moderating role of Excess Stock Price Volatility
Subject Areas :
Journal of Investment Knowledge
Leila Zamanianfar
1
,
Bahman Banimahd
2
,
zahra dianati dalami
3
1 - Ph.D. Student in Accounting, Department of Accounting, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
2 - Associate Professor of Department of Accounting, Faculty of Management and Accounting, Karaj Branch, Islamic Azad University, Karaj, Iran.
3 - Associate Professor of Department of Accounting, Faculty of Financial Sciences, Kharazmi University, Tehran, Iran.
Received: 2019-09-22
Accepted : 2020-01-08
Published : 2021-12-22
Keywords:
Real Earning Management,
Excess Stock Price Volatility,
Investors' Asymmetric Perceptions,
Abstract :
Investors' perceptions in the capital market will not only influence individual decision-making and the allocation of monetary resources to the investment on corporate stocks, but also affect the total capital market. Investors' asymmetric perceptions are not usually influenced by one measure because of the extent of the expansion, but in a general segmentation it can be attributed to macroeconomic dimensions and industry-level criteria. The purpose of this study is to investigate the impact of real earning management on the investors' asymmetric perceptions in the capital market with regard to the moderating role of Excess Stock Price Volatility. In this study, 102 companies in Tehran stock exchange that were selected through systematic elimination sampling were evaluated in the period of 2015 -2019. Logistic regression was used because of the biased measurement of the dependent variable of this study, namely investors' asymmetric perceptions.The results showed that real earnings management has a significant positive effect on investors' asymmetric perceptions. It was also found that Excess Stock Price Volatility intensifies the positive impact of real earnings management on investors' asymmetric perceptions.
References:
اسکندری، رسول. (۱۳۹۶). بررسی آثار حد نوسان قیمت سهام در بورس اوراق بهادار، چشم انداز مدیریت مالی، ۱(۳): ۷۸-۹۴.
افلاطونی، عباس.، نیکبخت، نادر. (۱۳۹۳). بررسی تاثیر اخبار خوب و بد بر درک سرمایه‌گذاران از میزان پایداری اقلام تعهدی، حسابداری و حسابرسی، ۱(۳): ۱-۳۴.
رحمتی، محمدحسین.، وصال، محمد.، موسوی، سیدمجتبی. (1397). بررسی ویژگی‌های سهامی که قیمت آن‌ها به‌طور مکرر به حد نوسان قیمت برخورد می‌کند: شواهدی از بورس اوراق بهادار تهران. تحقیقات اقتصادی، 53(2): 345-366.
قوسی، زیبا. (1398). تأثیر مدیریت سود واقعی بر محتوای اطلاعاتی سود با تأکید بر عدم تقارن اطلاعاتی در شرکت های پذیرفته شده بورس اوراق بهادار تهران، چشم انداز حسابداری و مدیریت، 2(8): 85-100.
جلیلوند، ابوالحسن.، رستمی نوروزآباد، مجتبی.، رحمانی نوروز آباد، سامان. (۱۳۹۵). شواهد اخیر از رفتار سرمایه گذاران در بورس اوراق بهادار تهران: شواهد اولیه و بینش آینده، فصلنامه تحقیقات مالی، ۱۸(۱): ۹۵-۱۲۷.
حساس یگانه، یحیی.، سلیمی، محمدجواد.، فتاحی دولت‌آبادی، فروزان. (1396). بررسی تأثیر شرایط خاص شرکت‌ها بر رابطة بین اقلام تعهدی سرمایه در گردش و نوسانات بازده سهام، بررسی‌های حسابداری، 4(15): 23-44.
برادران حسن‌زاده، رسول.، حشمت، نسا. (1398). بررسی تأثیر متمایز انحراف از فعالیتهای واقعی و مدیریت واقعی سود در خطر سقوط قیمت سهام، مدیریت دارایی و تأمین مالی، 7(2): 81-98
خانی، عبداله.، حسینی، سیدعلی.، خادم خراسانی، آسیه. (۱۳۹۳). مطالعه الگوی رفتاری سرمایه‌گذاران حقیقی و نوسانات بازده سهام، فصلنامه بورس اوراق بهادار، سال هفتم، ۲۶(۲): ۱۰۹-۱۲۶.
راعی، رضا.، اسلامی بیدگلی، غلامرضا.، میرزا بیاتی، مهدی. (۱۳۹۰). ارزش‌گذاری سهام و ناهمگونی رفتار سهامداران در بورس اوراق بهادار تهران، مجله دانش حسابداری، سال دوم، ۵(۲): ۱۰۳-۱۲۶.
گل‌ارضی، غلامحسین.، ضیاچی، علی‌اصغر. (1393). بررسی رفتار جمعی سرمایه‌گذاران در بورس اوراق بهادار تهران با رویکردی مبتنی بر حجم معاملات، تحقیقات مالی، 16(2): 359-371.
ودیعی نوقابی، محمدحسین.، ساعی، محمدحسین. (1398). بررسی ارتباط بین اقلام تعهدی اختیاری خاص شرکت و بازده غیرعادی آتی سهام شرکت‌های پذیرفتهشده در بورس اوراق بهادار تهران، بررسی‌های حسابداری و حسابرسی، 26(1): 151-168.
Adam, K., Marcet, A., Nicolini, J. P. (2016). Stock market volatility and learning. J. Finance 71 (1), 33–82. http://dx.doi.org/10.1111/jofi.12364.
Akdeniz, L., Salih, A. A., Ok, S. T. (2007). Are stock prices too volatile to be justified by the dividend discount model? Physica A 376, 433–444. http://dx.doi.org/10.1016/j.physa.2006.10.097
Arif, S., Marshal, N. and Lombardi Yohn, T. (2016). Understanding The Relation Between Accruals and Volatility: A Real Optins-basd Investment Apptoach, Journal of Accounting and Economics, 62 (1): 65-86
Bogan, V.L., Just, D. R. & Dev, C.S. (2013). Team gender diversity and investment decision-making behavior. Review of Behavioral Finance, 5(2): 134-152.
Bolhuis, M. (2005). Reading between the Lines of Investor Biases. Journal of Financial Planning, 18(1): 62-70.
Bossaerts, P., Suzuki, Sh., O'Doherty, J, P. (2018). Perception of intentionality in investor attitudes towards financial risks, Journal of Behavioral and Experimental Finance, https://doi.org/10.1016/j.jbef.2017.12.011
Boswijk, H. P., Hommes, C., Manzan, S. (2007). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics and Control, 31(6): 1938–1970. http://dx.doi.org/10.1016/j.jedc.2007.01.001
Brundin, E. & Veronika, G. (2013). Entrepreneur’s decision making under different levels of uncertainty: The role of emotions. International Journal of Entrepreneurial Behaviour & Research, 19(6): 568 – 591.
Charlie, B. (2016). The effect of accounting comparability on the accrual-based and real earnings management. Journal of Accounting, 35(5): 1-27.
Chiarella, C., He, X, Z., Huang, W., Zheng, H. (2012). Estimating behavioral heterogeneity under regime switching. Journal of Economic Behavior and Organization 83(3): 446-460. http://dx.doi.org/10.1016/j.jebo.2012.02.014
Chiarella, C., He, X, Z., Huang, W., Zheng, H. (2012). Estimating behavioral heterogeneity under regime switching. Journal of Economic Behavior and Organization 83(3): 446-460. http://dx.doi.org/10.1016/j.jebo.2012.02.014
Chiarella, C., He, X, Z., Huang, W., Zheng, H. (2012). Estimating behavioral heterogeneity under regime switching. Journal of Economic Behavior and Organization 83(3): 446-460. http://dx.doi.org/10.1016/j.jebo.2012.02.014
Cohen, D., Dey, A., Lys, T., 2008. Real and accrual-based earnings management in the pre- and post- Sarbanes Oxley period. Account. Rev. 83 (3), 757–787.
Cohen, D.A., Zarowin, P., 2010. Accrual-based and real earnings management activities around seasoned equity offerings. J. Account. Econ. 50 (1), 2–19.
Dye R, (1998), "Earnings management in an overlapping generations model", Journal of Accounting Research, 26: 195-235
Easley, D. and M. O’Hara (1992). Time and the Process of Security Price Adjustment, Journal of Finance, No. 47, pp. 577-604
Farlin, J. D. (2006). Antecedents and Consequences of Heuristic Biases: Evidence from Individual Investors and Small Business Owners. ProQuest Information. ISBN: 9780542938290.
Flavin, M. A. (1983). Excess volatility in the financial markets: a reassessment of the empirical evidence. J. Polit. Econ. 91 (6), 929–956.
Foucault, TH., Sraer. D., Thesmar, D, J. (2011). Individual Investors and Volatility, Journal of Finance, LXVI, 10(4): 12-31.
Franke, R., Westerhoff, F., 2012. Structural stochastic volatility in asset pricing dynamics: estimation and model contest. J. Econ. Dyn. Control 36 (8), 1193–1211. http://dx.doi.org/10.1016/j.jedc.2011.10.004
Ge, J., Wang, W., Wang, G. (2018). Moderation Effect of Investor and Manager Heterogeneous Beliefs on the Relationship of Advertising and Firm Value. Academy of Marketing Science World Marketing Congress, 2(12): 267-277
Hommes, C., Veld, D., (2017). Booms, busts and behavioral heterogeneity in stock prices. J. Econ. Dyn. Control 80, 101–124.
Hudson, W.N., Roberts, B.W. & Lodi-Smith, J. (2012). Personality trait development and social investment in work. Journal of Research in Personality, 46(3): 334-344.
Ikeda, Sh, S., Zhang, Y. (2012). Heterogeneous Beliefs, A Short Sale Restriction and The Cross Section Of Stock Returns: An Evidence From China, GRIPS Discussion Paper
Isidro, H., Dias, J, G. (2017). Earnings quality and the heterogeneous relation between earnings and stock returns, Review of Quantitative Finance and Accounting, DOI 10.1007/s11156-017-0619-z
Janus, T., Jinjarak, Y., Uruyos, M. (2013). Sovereign Default Risk, Overconfident Investors and Diverse Beliefs: Theory and Evidence from a New Dataset on Outstanding Credit Default Swaps. Journal of Financial Stability, 9(10): 330-336
Kim, K, A. & Nofsinger, J. R. (2008). Behavioral finance in Asia, Pacific- Basin Finance Journal, 16(1-2): 1-7.
Kim, Y., Nelson, C. R. (2014). Pricing stock market volatility: does it matter whether the volatility is related to the business cycle? J. Financ. Econom. 12 (2), 307–328. http://dx.doi.org/10.1093/jjfinec/nbt014
Koerniadi, H., Krishnamurti, Ch., Tourani-Rad, A. (2014). Corporate governance and risk-taking in New Zealand, International Journal of Managerial Finance, 10(4): 494-510
Lia, Y. (2018). Heterogeneous Beliefs, Institutional Investors and Stock Returns – Evidence from China EURASIA Journal of Mathematics, Science and Technology Education, Heterogeneous Beliefs, Institutional Investors and Stock Returns – Evidence from China, ISSN: 1305-8223 (online) 1305-8215
Lof, M. (2015). Rational speculators, contrarians, and excess volatility. Manage. Sci. 61 (8), 1889–1901. http://dx.doi.org/10.1287
Long, V.T. (2008). Empirical Analysis of Stock Returns Volatility with Regime Change: The Case of Vietnam Stock Market. Working paper.
Miller, E. (1977). Risk, Uncertainty, and Divergence of Opinion. Journal of Finance 32, 1151-168.
Monahan, G. (2005). Managing Inventories in a Two-Eschelon Dual-Channel Supply Chain. European Journal of Operational Research, 162(2): 325-341
Morris, S. (1996). Speculative Investor Behavior and Learning. The Quarterly Journal of Economics 111, 1111-1133.
Nagel, S. (2005). Short Sales, Institutional Investors and the Cross-section of Stock Returns. Journal of Financial Economics 78(10): 277-309
Ofek, E., Richardson, M. (2003). Dotcom mania: the rise and fall of internet stock prices. J. Finance 58 (3), 1113–1137. http://dx.doi.org/10.1111/1540-6261.00560.
Onur, E. and U. Demirel (2009), “Measuring the Amount of Asymmetric Information in the Foreign Exchange Market”, California State University, Available at: http: //www. csus. edu (visited 8 May 2016).
Paruchuri, S., Misangyi, V, F. (2014). Investor Perceptions of Financial Misconduct: The Heterogeneous Contamination of Bystander Firms, Academy of Management Journal, 58(1): 23-45.
Peng, E., Yan, E., Yan, M. (2016). Accounting Accruals, Heterogeneous Investor beliefs, and Stock Returns, Journal of Financial Stability, 4(24): 102-130.
Rebai, I. (2011). Institutional Investors Heterogeneity and Earnings Management: The R&D Investment Strategy, International Journal of Business Research and Management (IJBRM), 8(3): 122-131.
Roberts, B. W., Wood, D. & Smith, J.L. (2005). Evaluating Five Factor Theory and social investment perspectives on personality trait development. Journal of Research in Personality, 39(1): 166-184
Roychowdhury, S. (2006). Earnings management through real activities manipulation. J. Account. Econ. 42(3): 335–370.
Ryan, L. V., & Schneider, M. (2003). Institutional Investor Power and Heterogeneity: Implications for Agency and Stakeholder Theories. Business & Society, 42(4), 398–429. https://doi.org/10.1177/0007650303260450
Schmitt, N., Westerhoff, F., 2017. Herding behaviour and volatility clustering in financial markets. Quant. Financ. 17 (8), 1187–1203. http://dx.doi.org/10.1080/2016.1267391
Schwert, G. W. (2002). Stock volatility in the new millennium: how wacky is Nasdaq? J. Monet. Econ. 49(1): 3–26.
Shalit, H., Yitzhaki, Sh. (2009). Capital market equilibrium with heterogeneous investors, Quantitative Finance, 9(6): 757-766.
Shiller, R.J., 1981. Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (3), 421–436.
Sundali, J. A., Stone, G. R. & Guerrero, F. L. (2012). The effect of setting goals and emotions on asset allocation decisions. Managerial Finance, 38 (11): 1008 –1031.
Thomas, J.K. (2003). Discussion of Post-Earnings Announcement Drift and Market Participants Information Processing Biases. Review of Accounting Studies,8(2): 347-353.
Shum, W, Y. (2019). Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines, The North American Journal of Economics and Finance, https://doi.org/10.1016/j.najef.2019.101070
Zhang, W., Zhou, Zh., Xiong, X. (2019). Behavioral heterogeneity and excess stock price volatility in China, Finance Research Letters, 28(2): 348-254. https://doi.org/10.1016/j.frl.2018.06.004
Zhu, B., Niu, F. (2016). Investor sentiment, accounting information and stock price: Evidence from China. Pacific-Basin Finance Journal, 38, 125-134.
_||_
