Investigating the Process of Influencing the Information Content Uncertainty of Financial Statement Components in Predicting Future Stock Prices over Time
Subject Areas : Financial accounting
Ali Akbar Sargholi Notarki
1
,
Allah Karam Salehi
2
*
,
Alireza Jorjorzadeh
3
1 - Ph.D. Candidate, Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran
2 - Assistant Prof., Department of Accounting, Masjed Soleyman Branch, Islamic Azad University, Masjed Soleyman, Iran.
3 - Assistant Prof., Department of Economics, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.
Keywords: Information content, Entropy, Uncertainty in financial statements, Future stock returns, TVP-PVAR,
Abstract :
Collecting information in accounting is summarized in three main financial statements: balance sheet, profit and loss, and cash flow. Any uncertainty in calculating this information will affect the capital market efficiency and the deviation of investors' decisions. Finally, this will reduce the accuracy of predicting future stock prices. As a result, the main problem of the current research is investigating the process of influencing the information content uncertainty of financial statement components in predicting the future stock price over time. The current study is in the field of applied research. The period of the research is 2012 to 2023 in the listed companies on the Tehran Stock Exchange. The TVP-PVAR approach has been used in MATLAB 2021 software. Based on the results, it is clear that in the average short-term, medium-term, and long-term intervals, the combination of uncertainties affects stock price prediction more than the simple one. The increase of triple uncertainty combinations (uncertainty combination of profit and loss statement components, balance sheet, and cash flow statement), is stronger than binomial combinations on stock price prediction. Also, this forecast in the cash flow statement is more than the balance sheet and in the balance sheet is more than the profit and loss statement. In other words, it can be said that uncertainty in the cash flow statement more than in other financial statements reduces the accuracy of the future forecast of stock prices.
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