بررسی تأثیر عدم‌اطمینان متغیرهای کلان اقتصادی بر رفتار چسبندگی هزینه
محورهای موضوعی : پژوهش های مالی و رفتاری در حسابداریبهزاد رضازاده 1 , شکراله خواجوی 2 , اله کرم صالحی 3
1 - گروه حسابداری، واحد بین المللی خرمشهر، دانشگاه آزاد اسلامی، خرمشهر، ایران
2 - استاد گروه حسابداری، دانشگاه شیراز، شیراز، ایران
3 - گروه حسابداری، واحد مسجد سلیمان، دانشگاه آزاد اسلامی، مسجدسلیمان، ایران
کلید واژه: رشد اقتصادی, عدم‌اطمینان اقتصادی, نرخ تورم, نرخ ارز و چسبندگی هزینه‌ها,
چکیده مقاله :
هدف این پژوهش، بررسی تأثیر عدم اطمینان متغیرهای کلان اقتصادی بر چسبندگی هزینه‌ها با استفاده از رگرسیون دو مرحله‌ای فاما- مکبث در شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران است. برای اندازه‌گیری عدم‌اطمینان متغیرهای کلان اقتصادی از چهار معیار رشد تولید ناخالص ملی، نرخ تورم، نرخ ارز و نرخ بهره با استفاده از شاخص‌های آرچ و گارچ استفاده شده است. بدین منظور فرضیه‌ای برای بررسی این موضوع تدوین شده و داده‌های مربوط به 108 شرکت عضو بورس اوراق بهادار تهران در فاصلۀ سال‌های 1390 تا 1398 تجزیه و تحلیل شده است. الگوی رگرسیون پژوهش با استفاده از روش دو مرحله‌ای فاما- مکبث آزمون شده است. نتایج به دست آمده نشان می‌دهد معیارهای عدم‌اطمینان اقتصادی چون رشد تولید ناخالص ملی، نرخ تورم، نرخ ارز و نرخ بهره تأثیر مثبت و معناداری بر چسبندگی هزینه‌ها دارند. بنابراین نتایج پژوهش گویای آن است که عدم اطمینان متغیرهای کلان اقتصادی موجب افزایش چسبندگی هزینه‌ها می‌شود.
The purpose of this research is to study macroeconomic uncertainty measures effect on cost stickiness conducting two steps Fama-Macbeth regression models on listed companies of Tehran Stock Exchange. In order to estimate macroeconomic uncertainty four measures of GDP growth, inflation rate, exchange rate and interest rate have been utilized by Arch and Garch models. For this purpose, a hypothesis is developed and the data of108 listed companies of Tehran Stock Exchange is analyzed during the period of 2011 to 2019. The research regression model is tested by two steps Fama-Macbeth regression model. Results show a positive significant effect of macroeconomic uncertainty measures (measures of GDP growth, inflation rate, exchange rate and interest rate) on cost stickiness. Thus, results hold that macroeconomic uncertainty measures increase cost stickiness.
Aflatoni, A. (2012). Statically analysis in financial management and accounting. )1st ed.( .Tehran: Termeh Publishers. (In Persian).
Aghaei, M., & Hassani, H. (2014). Study of the Effect of Managers' Personal Incentives and Corporate Governance Variables on Costs Stickiness in Companies Listed in Tehran Stock Exchange. Journal of Financial Accounting Research, 6(4), 109-128. (In Persian).
Anderson, M. C., Banker, R. D., & Janakiraman, S. N. (2003). Are selling, general, and administrative costs “sticky”? Journal of accounting research, 41 (1), 47-63.
Artikis, P. G., & Papanastasopoulos, G. A. (2016). Implications of the cash component of earnings for earnings persistence and stock returns. The British accounting review, 48 (2), 117-133.
Aye, G. C., Gupta, R., Lau, C. K. M., & Sheng, X. (2019). Is there a role for uncertainty in forecasting output growth in OECD countries? Evidence from a time-varying parameter-panel vector autoregressive model. Applied Economics, 51 (33), 3624-3631.
Azimi Arani, M. (2020). Underdeveloped circuits in the Iranian economy.) 7st ed. (.Tehran, Nashreney Publishers. (In Persian)
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131 (4), 1593-1636.
Balcilar, M., Gupta, R., & Jooste, C. (2017). Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach. Applied Economics, 49 (11), 1047-1054.
Bloom, N. (2009). The impact of uncertainty shocks. Econometrical, 77 (3), 623-685.
Castelnuovo, E., Lim, G., & Pellegrino, G. (2017). A short review of the recent literature on uncertainty. Australian Economic Review, 50 (1), 68-78.
Chen, J., Jiang, F., & Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting & Finance, 57 (5), 1265-1286.
Cheng, J. L., & Kesner, I. F. (1997). Organizational slack and response to environmental shifts: The impact of resource allocation patterns. Journal of management, 23 (1), 1-18.
Clance, M. W., Gozgor, G., Gupta, R., & Lau, C. K. M. (2019). The Relationship between Economic Uncertainty and Corporate Tax Rates. (No. 2019-45).
Collins, D. W., & Kothari, S. P. (1989). An analysis of intertemporal and cross-sectional determinants of earnings response coefficients. Journal of accounting and economics, 11 (2-31), 143-181.
Ebrahimi, M. (2020). Data Mining Algorithm in Macro Variable Effects on Stock Markets in Iran. Quarterly Journal of Financial Economics, 13(49), 283-309. (In Persian)
Eskandari Sabzi, S., Farzinvash, A., Hojabr Kiani, K., & Shahrestani, H. (2016). Money Growth Uncertainty and Currency Substitution in Iran: A Multivariate Garch Approach. Economic Modeling, 10(35), 1-21. (In Persian)
Faraji, Y. (2003). Familiarity with financial monetary instruments and institutions. (1st ed.). Tehran, Iran Banking Institute. (In Persian)
Forughi, D., Amiri, H., & Ebrahimian, A. (2017). Persistence of Components of Industry-wide and Firm-Specific Earnings. Journal of Advanced Accounting, 9(2), 63-92. (In Persian)
Gao, J., Zhu, S., O’Sullivan, N., & Sherman, M. (2019). The role of economic uncertainty in UK stock returns. Journal of Risk and Financial Management, 12 (1), 1-16.
Ghaemi, M., & Nematolahi, M. (2006). To Study the Behavior of Selling, General, and Administrative (SG&A) Costs and Cost of Goods Sold in Manufacturing Firms Accepted in Tehran Stock Exchange. Empirical Studies in Financial Accounting, 4(16), 71-89. (In Persian)
Goodell, J. W., Goyal, A., & Urquhart, A. (2021). Uncertainty of uncertainty and firm cash holdings. Journal of Financial Stability, 56 (4).
Hickson, D. J., Hinings, C. R., Lee, C. A., Schneck, R. E., & Pennings, J. M. (1971). A strategic contingencies' theory of intraorganizational power. Administrative science quarterly, 16(2), 216-229.
Jafari, A., Gorganli Davaji, J., Ashrafi, M., & Naderian, A. (2020). Evaluating the Moderating Role of Macroeconomic Variables in the Relationship between Financial Statement Comparability Criteria and Corporate Dividend Payout Policy. Quarterly Journal of Economic Growth and Development Research, 11(41), 117-136. (In Persian).
Kang, W., de Gracia, F. P., & Ratti, R. A. (2017). Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. Journal of International Money and Finance, 70, 344-359.
Kaplan, R. S. (1998). Cost & effect: using integrated cost systems to drive profitability and performance. Harvard Business Press.
Khajavai, S., Sadeghzadeh Maharluie, M., Jokar, M., & Taghizadeh, R. (2019). Cost Stickiness and Cost Inertia: Two Cost Driver Model of Cost Asymmetric Behavior. Journal of Management Accounting and Auditing Knowledge, 8(29), 135-148. (In Persian).
Kordestani, G., & Mortazavi, S. (2012). The Impact of Managers’ Deliberate Decisions on Costs’ Stickiness. Accounting and Auditing Review, 19(67), 73-90. (In Persian).
Lawrence, P. R., & Lorsch, J. W. (1967). Differentiation and integration in complex organizations. Administrative science quarterly, 12(1), 1-47.
Leduc, S., & Liu, Z. (2016). Uncertainty shocks are aggregate demand shocks. Journal of Monetary Economics, 82, 20-35.
Lee, W. J., Pittman, J., & Saffar, W. (2020). Political uncertainty and cost stickiness: Evidence from national elections around the world. Contemporary Accounting Research, 37 (2), 1107-1139.
Li, Q., Maydew, E. L., Willis, R. H., & Xu, L. (2018). Corporate tax behavior and political uncertainty: Evidence from national elections around the world. Vanderbilt Owen Graduate School of Management Research Paper, (No.2498198).
Li, W. L., & Zheng, K. (2017). Product market competition and cost stickiness. Review of quantitative finance and accounting, 49 (2), 283-313.
Li, Z., Cheng, X., Zhang, M., & Wen, X. (2020). Macroeconomic uncertainty and cost stickiness. In E3S Web of Conferences.214 .Article Number: 01031. EDP Sciences.
Namazi, M., & Davanipour, I. (2010). Empirical Evaluation of the Sticky Behavior of Costs in the Tehran Stock Exchange Market. Accounting and Auditing Review, 17(4), 85-186. (In Persian)
Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Neber Thecnical Paper Series, 55(3).703-708
Raei, R., Hasanzadeh, P., & Hamashi, M. (2014). Investigating the effect of financial ratios on cost stickiness. Quarterly Financial Accounting, 6(22), 26-44. (In Persian)
Salem Dezfuli, B., Salehi, A., Jorjorzadeh, A., & Nasiri, S. (2019). The Effect of Economic Uncertainty on Accrual Based Earnings Management and Real Earnings Management. Journal of Management Accounting and Auditing Knowledge, 8(30), 95-116. (In Persian)
Schmidt, S. M., & Cummings, L. L. (1976). Organizational environment, differentiation and perceived environmental uncertainty. Decision Science, 7 (3), 447-467.
Shekarkhah, J., & Ghasedi Dizaji, K. (2016). The Effect of Macroeconomic Variables on Management Financing Decision. Empirical Studies in Financial Accounting, 13(51), 87-120. (In Persian)
Stein, L. C., & Wang, C. C. (2016). Economic uncertainty and earnings management. Harvard Business School Accounting & Management Unit, Working Paper, (16-103).
Williams, C. D. (2015). Asymmetric responses to earnings news: A case for ambiguity. The Accounting Review, 90 (2), 785-817.
Xue, S., & Hong, Y. (2016). Earnings management, corporate governance and expense stickiness. China Journal of Accounting Research, 9 (1), 41-58.
Zanjirdar, M. Ghaffari, P., & Maddahi, Z. (2014). Review and analyze the factors affecting the behavior of sticky costs. Management Accounting, 7 (1), 79-91. (In Persian)
_||_