نقش ریسک ورشکستگی در توسعه تئوریک و بهبود عملکرد مدلهای ارزشیابی مبتنی بر عایدات غیرعادی
محورهای موضوعی : دانش سرمایه‌گذاری
محمدرضا امامی نائینی
1
(دکتری حسابداری (نویسنده مسئول))
فروغ رحیمی موگویی
2
(دکتری حسابداری)
کلید واژه: ارزشیابی مبتنی بر عایدات غیر ع, ریسک ورشکستگی, محافظه کاری, سود حسابداری, تداوم فعالیت,
چکیده مقاله :
با توجه به مبانی نظری موجود در خصوص توان اثرگذاری ریسک ورشکستگی بر سه جزء از مبانی طراحی مدل های ارزشیابی مبتنی بر عایدات غیرعادی (فرض تداوم فعالیت، میزان محافظه کاری و سود حسابداری) در این پژوهش ضمن طراحی مجدد مدلهای پیش بینی عایدات غیر عادی و ارزشیابی مبتنی بر عایدات غیر عادی اولسون (1995) و فلتهام و اولسون (1995)، با لحاظ نمودن متغیر ریسک ورشکستگی، به مقایسه عملکرد مدلهای اولیه و تعدیل شده با استفاده از داده های ترکیبی شرکتهای پذیرفته شده در بورس اوراق بهادار تهران طی دو دوره تخمین 5 ساله (1382-1387) و 10 ساله (1382-1392) پرداخته شده است. نتایج پژوهش نشان می دهد لحاظ کردن ریسک ورشکستگی باعث بهبود قدرت مدلهای پیش بینی و ارزشیابی اولسون (1995) و فلتهام و اولسون (1995) طی هر دو دوره تخمین 5 و 10 ساله می شود، اما به سبب افزایش شدید ارزشهای سهام در سالهای پایانی دوره ی تخمین 10 ساله (به خصوص سالهای 91 و 92) ، ارزشهای برآورد شده توسط مدل های اولیه و تعدیل شده طی دوره تخمین 10 ساله به نحو معناداری پایین تر از ارزشهای واقعی بازار است.
Based on the literature Review about the influence of bankruptcy risk on three principle factors of the abnormal earning valuation models (the going concern assumption, the accounting conservatism and the accounting earnings) in this research, ohlson (1995) and feltham-ohlson (1995) abnormal earning valuation models are adjusted considering the bankruptcy risk and primary models are compared with adjusted models during the 5-years period (from 2003 to 2008) and 10-years period (from 2003 to 2013) using panel data for 110 companies listed on Tehran Stock Exchange. The research results indicate that considering the bankruptcy risk improves the prediction and valuation power of the abnormal earning valuation models during both 5 and 10 years estimated periods. However, due to the uncontrolled growth of prices in the last years of the 10-years period (especially 2012 and 2013) the estimated values by both primary and adjusted models during 10-years estimated period are significantly lower than the actual market values.
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