شناسایی بحران مالی بنگاه های اقتصادی بر اساس شاخص Z-Score Toffler و بررسی اثر چرخه عمر آنها بر معیارهای ریسک و عملکرد شرکت های پذیرفته شده در بورس اوراق بهادار تهران(با تاکید بر الگوی دیکینسون 2005)
محورهای موضوعی : مدیریت صنعتی
Abdollah Amiri
1
,
parviz saeidi
2
,
farshid pourshahabi
3
1 - Department of Management(Financial), Bojnourd Unit, Islamic Azad University, Bojnourd, Iran.
2 - Department of Accounting and Management, Ali Abad katoul Branch, Islamic Azad University, Ali Abad Katoul, Iran
3 - Department of Economic , Bojnourd Unit, Islamic Azad University, Bojnourd, Iran.
کلید واژه: Z تافلر, ریسک, بازده, بحران مالی, چرخه عمر,
چکیده مقاله :
بحران مالی و عدم توفیق مدیران شرکت ها، همواره برای محققان مشکلی در خور تامل بوده که به فکر یافتن روش هایی جهت پیش بینی آن و بهبود وضعیت بنگاه های اقتصادی باشند. پدیده ریسک نیز یکی از کلیدی‌ترین مشخصه‌های شکل‌گیری تصمیم در حوزه سرمایه‌گذاری، مالی و اقتصادی است. در این راستا ضرورت شناسایی بحران مالی و بررسی اثر متغیر های مختلف بر معیارهای ریسک و عملکرد برجسته می گردد. جامعه آماری پژوهش شرکت های بورس تهران در بازه زمانی 1394-1384 می باشد. در این پژوهش، نخست، شرکت های عضو نمونه آماری از روش حذفی انتخاب شدند. برای شناسایی شرکت های بحران زده از Z-score Toffler استفاده شد. سپس تفکیک شرکت ها با استفاده از الگوی جریانات نقدی دیکینسون(2005) صورت گرفته، پس از آن اثر دوره های مختلف چرخه عمر در هر مرحله بررسی شد. به منظور آزمون فرضیه های پژوهش از روش داده های ترکیبی و روش رگرسیون لاجیت استفاده شده است. نرم‌افزار مورد استفاده در این تحقیق نرم‌افزار Eviews9 می‌باشد. نتایج حاصل از آزمون 406 سال - شرکت نشان می دهد که تاثیر دوره های مختلف چرخه عمر بر مربوط بودن معیارهای ریسک و عملکرد تفاوت معنی داری دارند. تاثیر دوره های تولد و افول نسبت به سایر دوره ها بیشتر است. همچنین قدرت توضیحی فزاینده معیارهای ریسک در مراحل مختلف چرخه عمر تفاوت معنی داری دارند. بیشترین توان توضیحی مربوط به دوره افول می باشد. همچنین نتایج نشان می دهد تاثیر بحران مالی در دوره های مختلف چرخه عمر با یکدیگر تفاوت معنی داری دارد.
The financial crisis and failure of corporate managers always have been a problem for researchers to think of finding ways to predict and improve the status of firms. The risk phenomenon is one of the most important characteristics of decision formation in the field of investment, financial markets and economic activities. The statistical population of the research is the listed companies of Tehran Stock Exchange during the period of 2005-2015. In this regard, the necessity of identifying the financial crisis and examining the effect of different variables on risk and performance measures are highlighted. In this research, first, the statistical sample companies were selected from the elimination method Z - Toffler was used to identify the crisis companies then, the separation of firms to stages were performed using the model of Dickinson cash flows (2005), followed by different periods of life cycle on risk and performance measures in each stage. In order to test the hypotheses, the combination of mixed data and Logit regression method has been used. The software used in this research is Eviews9. The results of the 406 Samples test show that the impact of different periods of life cycle on risk and performance measures has significant differences with one another. The effects of birth and decay periods are higher than those of other periods. Also, the increasing explanatory power of risk measures in different stages of life cycle are significantly different. The maximum explanatory power is related to the decline period
1-Abasi, E.,& Timurpour, B.,& Molaei, A., & Esmaeili, Z. (2017).Application of Standard Value Risk of Conditional Risk in Portfolio Optimization Using Structural Failure Approach in Tehran Stock Exchange, Financial Management View, 18:85 -103.
2- Ahmadpor, A., & Resaian, A. (2006). The relationship between risk measures and the proposed price difference is the purchase and selling of shares in Tehran stock exchange. Quarterly Journal of Accounting and Accounting Studies, 13:37-60.
3- Ahmadpor, A., & Raseki, S., & Nasiri galesari, Z. (2013). Influence of Information Quality on Liquidity Risk. Quarterly Journal of Knowledge of Accounting and Audit Management, 2:85-98.
4- Agaie, M., & Norozi, M., & Byat, M., & Mohebkah, M. (2018). The life cycle of the company, risk taking and emotion of stakeholders: evidence of tehran stock exchange. Quarterly Journal of advances of accounting, 74(3):1-28.
5-Agamohamadi, A., & Sojodi, M., & Sojodi, M., & Tavvosi, M. (2017) The introduction of new risk criteria is Glue Var and its estimation using a hybrid regression model. Quarterly Journal of Financial engineering and portfolio management, 31:1-17.
6- Baktiarzadeh , S., (2009). Evaluating the causes and roots of the 2008 US economic crisis and providing solutions. Trading reviews. 38:53-68.
7- Bagaei, A., & Mosavi, M., & Wosog, J. (2009). Suitable financial strategy for managing total risks when financial recession occurs. Quarterly Journal of Thought management, 3:129-148.
8- Dehdar, F., &Alidadi, H. (2017). Investigating the Relationship between Financial Crisis, Life Cycle and Restructuring of Companies Acquired in Tehran Stock Exchange. The first conference on the role of accounting, economics and management Tehran.
9-Dickinson, V.(2005). Firm Life Cycle and Future Profitability and Growth, working paper.School of Business, University of Wisconsin - Madison.
10-Finlay, W.(2015). An analysis of firm life cycle and financial distress: Evidence from UK divestitures. Department of Accounting and Finance, University of Strathclyde.
11- Gorbani, B., &Ganbari, M., & Jamshidi, B., & Moradi, A. (2018). Financial crisis and profit smoothing techniques. Quarterly Journal of Industrial Management, 13.
12-Hidarpor, F., & Rajabi, D. H., & Kalife,S. A. (2016). Relationship between company life cycle and risk of falling stock prices in Tehran Stock Exchange. Quarterly Journal of Accounting research, 6:1-22.
13-Ionesco, Gh. Gh., & Negrasa, A. L. (2007). The Study about Organizational Life Cycle Models, Review of International Comparative Management, Volume 8, Number 4.
14- Karami, G., & Omrani, H. (2010). Impact of company life cycle on the relevance of risk and performance criteria. Financial Accounting Research, 3: 64-49.
15- Lev, B., & Sougiannis, T. (1996). The Capitalization, Amortization, and Value-Relevance of R&D. Journal of Accounting and Economics, 21, 107-138.
16- Mehrani, K., & Mehrani, K., & Sanei, S. R. (2009). Stock Valuation (Methods and Models) Fundamental Stock and Stock Value Framework. Tehran, University of Islamic Azad, Pardis Branch.
17- Owen, S., & Yawson, A. (2010). Corporate life cycle and M&A activity, Journal of Banking and Finance, Vol. 34, No. 2, pp.427-440.
18- Rahimian, N., & Rajabi, R. (2015). Investigating the relationship between the principles of corporate governance and the life cycle of companies accepted in Tehran Stock Exchange. Quarterly Journal of Accounting Knowledge, 15:51-67.
19- Sarlak, N., & faraji, O., & Byat, F. (2018). Relationship between the company's financial characteristics and capital structure in the company's life cycle. Quarterly Journal of Financial Accounting and Audit Research, 7:1-21.
20- Sharifpnahi, M., & Ebadi, J., & Pymani, M. (2011). Predict Returns Using Different Risk Criteria: Based on Evidence from Tehran Stock Exchange. Quarterly Journal of Empirical studies on financial accounting, 9:101-119.
21- Sadeghi, M., & Soroush, A., & Farhanian, M. J. (2010). Review of volatility criteria, favorable risk and undesirable risk in capital asset pricing model: Evidence from Tehran Stock Exchange, Journal of Financial Research, 29:59-78.
22- Vakilifard, H. R. (2017). Decision Making on Financial Issues by Hampton John, Hert Blake; Translating and Compiling Hamid Reza Vakili Fard, Tehran, University of Science and Technology.
23- Xu, B. (2007). Life cycle effect on the value relevance of common risk factor, Review of Accounting and Finance, 6:162-175.
24- Yan, Z., & Y. Zhao (2010). A new methodology of measuring firm life-cycle stages. International Journal of Economic Perspectives, 4:579, 587.
_||_1-Abasi, E.,& Timurpour, B.,& Molaei, A., & Esmaeili, Z. (2017).Application of Standard Value Risk of Conditional Risk in Portfolio Optimization Using Structural Failure Approach in Tehran Stock Exchange, Financial Management View, 18:85 -103.
2- Ahmadpor, A., & Resaian, A. (2006). The relationship between risk measures and the proposed price difference is the purchase and selling of shares in Tehran stock exchange. Quarterly Journal of Accounting and Accounting Studies, 13:37-60.
3- Ahmadpor, A., & Raseki, S., & Nasiri galesari, Z. (2013). Influence of Information Quality on Liquidity Risk. Quarterly Journal of Knowledge of Accounting and Audit Management, 2:85-98.
4- Agaie, M., & Norozi, M., & Byat, M., & Mohebkah, M. (2018). The life cycle of the company, risk taking and emotion of stakeholders: evidence of tehran stock exchange. Quarterly Journal of advances of accounting, 74(3):1-28.
5-Agamohamadi, A., & Sojodi, M., & Sojodi, M., & Tavvosi, M. (2017) The introduction of new risk criteria is Glue Var and its estimation using a hybrid regression model. Quarterly Journal of Financial engineering and portfolio management, 31:1-17.
6- Baktiarzadeh , S., (2009). Evaluating the causes and roots of the 2008 US economic crisis and providing solutions. Trading reviews. 38:53-68.
7- Bagaei, A., & Mosavi, M., & Wosog, J. (2009). Suitable financial strategy for managing total risks when financial recession occurs. Quarterly Journal of Thought management, 3:129-148.
8- Dehdar, F., &Alidadi, H. (2017). Investigating the Relationship between Financial Crisis, Life Cycle and Restructuring of Companies Acquired in Tehran Stock Exchange. The first conference on the role of accounting, economics and management Tehran.
9-Dickinson, V.(2005). Firm Life Cycle and Future Profitability and Growth, working paper.School of Business, University of Wisconsin - Madison.
10-Finlay, W.(2015). An analysis of firm life cycle and financial distress: Evidence from UK divestitures. Department of Accounting and Finance, University of Strathclyde.
11- Gorbani, B., &Ganbari, M., & Jamshidi, B., & Moradi, A. (2018). Financial crisis and profit smoothing techniques. Quarterly Journal of Industrial Management, 13.
12-Hidarpor, F., & Rajabi, D. H., & Kalife,S. A. (2016). Relationship between company life cycle and risk of falling stock prices in Tehran Stock Exchange. Quarterly Journal of Accounting research, 6:1-22.
13-Ionesco, Gh. Gh., & Negrasa, A. L. (2007). The Study about Organizational Life Cycle Models, Review of International Comparative Management, Volume 8, Number 4.
14- Karami, G., & Omrani, H. (2010). Impact of company life cycle on the relevance of risk and performance criteria. Financial Accounting Research, 3: 64-49.
15- Lev, B., & Sougiannis, T. (1996). The Capitalization, Amortization, and Value-Relevance of R&D. Journal of Accounting and Economics, 21, 107-138.
16- Mehrani, K., & Mehrani, K., & Sanei, S. R. (2009). Stock Valuation (Methods and Models) Fundamental Stock and Stock Value Framework. Tehran, University of Islamic Azad, Pardis Branch.
17- Owen, S., & Yawson, A. (2010). Corporate life cycle and M&A activity, Journal of Banking and Finance, Vol. 34, No. 2, pp.427-440.
18- Rahimian, N., & Rajabi, R. (2015). Investigating the relationship between the principles of corporate governance and the life cycle of companies accepted in Tehran Stock Exchange. Quarterly Journal of Accounting Knowledge, 15:51-67.
19- Sarlak, N., & faraji, O., & Byat, F. (2018). Relationship between the company's financial characteristics and capital structure in the company's life cycle. Quarterly Journal of Financial Accounting and Audit Research, 7:1-21.
20- Sharifpnahi, M., & Ebadi, J., & Pymani, M. (2011). Predict Returns Using Different Risk Criteria: Based on Evidence from Tehran Stock Exchange. Quarterly Journal of Empirical studies on financial accounting, 9:101-119.
21- Sadeghi, M., & Soroush, A., & Farhanian, M. J. (2010). Review of volatility criteria, favorable risk and undesirable risk in capital asset pricing model: Evidence from Tehran Stock Exchange, Journal of Financial Research, 29:59-78.
22- Vakilifard, H. R. (2017). Decision Making on Financial Issues by Hampton John, Hert Blake; Translating and Compiling Hamid Reza Vakili Fard, Tehran, University of Science and Technology.
23- Xu, B. (2007). Life cycle effect on the value relevance of common risk factor, Review of Accounting and Finance, 6:162-175.
24- Yan, Z., & Y. Zhao (2010). A new methodology of measuring firm life-cycle stages. International Journal of Economic Perspectives, 4:579, 587.