Comparability of Financial Reports and Negative Skewness of firm-Specific Monthly Returns: Evidence from Iranian firms
محورهای موضوعی : Financial Accounting
1 - Department of Accounting, Bandargaz Branch, Islamic Azad University, Bandargaz, Iran.
کلید واژه: Comparability of Financial Reports, negative skewness of stock return, multivariate regression model,
چکیده مقاله :
The present study aims to investigate the relationship between comparability of financial reports and negative coefficient of skewness of firm-specific monthly returns. In this study, to measure the financial statements comparability, De Franco et al. (2012) model is employed. Sample includes the 425 firm-year observations from companies listed on the Tehran Stock Exchange during the years 2013 to 2017 and research hypothesis was tested using multivariate regression model based on panel data. The results indicate that financial statements comparability mitigates negative skewness of stock return. Our findings are robust to alternative measure of stock price crash risk, individual analysis of the research hypothesis for each year and endogeneity concern. The current study is almost the first study which has been conducted in emerging capital markets, so the findings of the study not only extend the extant theoretical literature concerning the stock price crash risk in developing countries including emerging capital market of Iran, but also help investors, capital market regulators and accounting standard setters to make informed decisions
[1] Ahmadi, M. R., Dorseh, S., The Effect of Abnormal Real Operations and Accrual Based Earnings Management on Future Stock Price Crashes Article, Journal of Empirical Researches in Accounting, 2016, 6(1), P.153-184, (in Persian). Doi: 10.22051/jera.2016.2541.
[2] Barth, M. E., R. Landsman, W., H. Lang, M., &D. Williams, C., Effects on comparability and capital market benefits of voluntary adoption of IFRS by US Firms: Insights from voluntary adoption of IFRS by non-US Firms, Working Paper.Stanford University, University of North Carolina at Chapel Hill, and University of Michigan, 2013.
[3] Blundell, R., and S. Bond., Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics, 1998, 87, P.115–143. Doi:10.1016/S0304-4076(98)00009-8.
[4] Bon Kim, J., Li, L., Yi Lu, L. and Yu, Y., Financial statement comparability and expected crash risk, Journal of Accounting and Economics, 2016, 61, P. 294-312. Doi: 10.1016/j.jacceco.2015.12.003.
[5] Brochet, F., D. Jagolinzer, A., Riedl, E., Mandatory IFRS adoption and financial statement comparability. Contemporary Accounting Research (forthcoming), Harvard Business School Accounting& Management, 2012.
[6] Callen, J. L., and Fang, X., Institutional Investor stability and Crash Risk: Monitoring or Expropriation? Journal of Banking & Finance, 2013, 37(8), P.3047–3063.
[7] Chen, J., Hong, H., & Stein, J. C., Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics, 2001, 61, P.345–381. Doi:10.1016/S0304-405X(01)00066-6.
[8] Chen,C., Collins, D.W., Kravet,T.D. and Mergenthaler, R.J., Financial statement comparability and the efficiency of acquisition decisions, Working paper University of Iowa, 2014. Doi:10.1111/1911-3846.12380.
[9] Choi, J.H., Choi, S. A., Myers, L., Ziebart, D., Financial Statement Comparability and the Informativeness of Stock Prices About Future Earnings, 2015.
[10] De Franco, G., S. Kothari, and R. Verdi., The Benefits of Financial Statement Comparability, Journal of Accounting Research, 2011, 49, P.895–931. Doi:10.1111/j.1475-679X.2011.00415x.
[11] DeFond M., Hu X., Hung M., Li S., The impact of mandatory IFRS adoption on foreign mutual fund ownership: The role of comparability, Journal of Accounting and Economics, 2011, 51, P.240-258.Doi: 10.1016/j.jacceco.2011.02.001.
[12] Dianati Dilami,Z., Moradzadeh Fard, M., Mahmoudi, S., Examine the effect of Institutional Investors on Reduce Stock Price Crash Risk, Journal of Investment Knowledge, 2012, 2(1), P.1-18 , (in Persian).
[13] FASB (Financial Accounting Standards Board), Statement of Financial Accounting Concepts No. 8. Conceptual Framework for Financial Reporting, Chapter 1, the Objective of General Purpose Financial Reporting, and Chapter 3, Qualitative Characteristics of Useful Financial Information, 2010, Norwalk, CT: FASB.
[14] Francis, J., Pinnuck, L., Watanabe, O., Auditor Style and Financial Statement Comparability, Journal of The Accounting Review,2014,89(2),P.605-633. Doi:10.2308/accr-50642.
[15] Foroghi, D., & Ghasemzad, P., The Effect of Financial Statement Comparability on Future Earnings Response Coefficients, The Iranian Accounting and Auditing Review, 2016, 22(4), P. 479-500, (in Persian). Doi:10.22059/acctgrev.2016.56248.
[16] Foroghi, D., & Ghasemzad, P., The Effect of Financial Statements Comparability on Stock Price Synchronicity, Journal of Financial Accounting Research, 2016, 8(1), P. 39-54, (in Persian).
[17] Gujarati, D.N., Basic Econometrics. 5th edition. 2009, New York: Mc Graw-Hill.
[18] Gun Lee, M., Kang, M., Young Lee, H., Park, J. C., Related-party transactions and financial statement comparability: evidence from South Korea, Asia-Pacific Journal of Accounting & Economics Published online, 2014, 23)2), P. 224-252. Doi:10.1080/16081625.2014.957706.
[19] Hajiha, Z., Chenari Bouket, H., Skewness of Stock Returns and corporate social responsibility, Iranian Journal of Value and Behavioral Accountings Achievements, 2016, 1(1), P. 77-98, (in Persian).
[20] Hutton, A.P., Marcus, A.J. and Tehranian, H., Opaque Financial Reports, R2, and Crash Risk, Journal of Financial Economics, 2009, 94, P. 67-86. Doi: 10.1016/j.jfineco.2008.10.003.
[21] Kang, M., Kim, J.W , .Lee, H-Y., Lee, M-G., Financial statement comparability and audit Efficiency : evidence from South Korea, Journal of Applied Economics, 2015, 48(4),P.358-373. Doi:10.1080/00036846.2014.972543.
[22] Kia, A., and Safari Gerayli, M., Financial Statements Comparability, Accrual-based Earnings Management, Real Earnings Management; An empirical test of Tehran Stock Exchange, Accounting Empirical Research of Financial, 2017, 4(2), P.115-137. (InPersian).
[23] Kim, J. B., Wang, Z., & Zhang, L., CEO overconfidence and stock price crash risk, Contemporary Accounting Research, 2016, Doi:10.1111/19113846.12217.
[24] Kim, S., Kraft, P., Ryan, G. S., Financial statement comparability and credit risk, Journal of Review of Accounting Studies, 2013, 18(3), P.783-823. Doi:10.1007/s11142-013-9233-z.
[25] Kim, Y., Li, H., & Li, S., Social responsibility and stock price crash risk, Journal of Banking and Finance, 2014, 43, P.1–13. Doi: 10.1016/j.jbankfin.2014.02.013.
[26] Izadikhah, M., and Khoshroo, A., Energy management in crop production using a novel fuzzy data envelopment analysis model, RAIRO-Oper. Res., 2018, 52 (2), P. 595–617, Doi: https://doi.org/10.1051/ro/2017082
[27] Mehrvarz, F., & Marfou, M., The Relationship between Financial Statements Comparability with Stock Price in Formativeness about Future Earnings, Empirical Studies in Financial Accounting, 2016, 49(13), P.83-110, (in Persian). Doi:10.22054/qjma.2016.4195
[28] Roodman, D., How to do xtabond2: an introduction to difference and system GMM in stata, Stata Journal, 2009, 9, P.86–136.
[29] Sohn, B. C., The effect of accounting comparability on the accrual-based and real earnings management, Journal of Accounting and Public Policy, 2016, 35(5), P.513-539. Doi: 10.1016/j.jaccpubpol.2016.06.003.
[30] 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.
[31] Larcker, D.F., and Rusticus, T.O., On the use of instrumental variables in accounting research, Journal of Accounting and Economics, 2010, 49(3), P.186-205. Doi: 10.1016/j.jacceco.2009.11.004
