تعداد نشریات | 161 |
تعداد شمارهها | 6,573 |
تعداد مقالات | 71,037 |
تعداد مشاهده مقاله | 125,522,654 |
تعداد دریافت فایل اصل مقاله | 98,782,340 |
آزمون توانایی نیروی حرکت و شکاف ارزش افزودۀ اقتصادی و معیارهای سنتی ارزیابی عملکرد در پیشبینی بازده سهام | ||
تحقیقات مالی | ||
مقاله 32، دوره 18، شماره 2، تیر 1395، صفحه 307-330 اصل مقاله (387.4 K) | ||
نوع مقاله: مقاله علمی پژوهشی | ||
شناسه دیجیتال (DOI): 10.22059/jfr.2016.61595 | ||
نویسندگان | ||
فریدون رهنمای رودپشتی1؛ میثم احمدوند* 2؛ محمد جواد ساده وند3 | ||
1استاد مدیریت بازرگانیـ مالی و حسابداری، دانشگاه آزاد اسلامی، واحد علوم و تحقیقات، تهران، ایران | ||
2دانشجوی دکتری مدیریت مالی، دانشکدۀ مدیریت و حسابداری، دانشگاه علامه طباطبائی (ره)، تهران، ایران | ||
3دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی، واحد علوم و تحقیقات، تهران، ایران | ||
چکیده | ||
این مقاله قصد دارد آثار بازده داراییها، ارزش افزودۀ اقتصادی، شکاف و نیروی حرکت آن را بر بازده سهام شرکتهای پذیرفتهشده در بورس اوراق بهادار تهران طی سالهای 1388 تا 1392 بررسی کند. شکاف و نیروی حرکت ارزش افزودۀ اقتصادی، معیارهای نسبتاً جدید ارزیابی عملکرد شرکت هستند که هر دو بر پایۀ مفهوم ارزش افزودۀ اقتصادی تدوین و معرفی شدهاند. در مقابل، ارزش افزودۀ اقتصادی و بازده داراییها بهعنوان روشهای سنتی و متداول ارزیابی عملکرد شرکت تلقی میشوند. یافتههای پژوهشهای پیشین نشاندهندۀ برتری دو معیار شکاف و نیروی حرکت ارزش افزودۀ اقتصادی بر روشهای سنتی ارزیابی عملکرد شرکت است. در این پژوهش، برای آزمون فرضیهها از مدل رگرسیون خطی چندگانه استفاده شده است. نتایج پژوهش حاضر نشان میدهد تأثیر سه متغیر بازده داراییها، شکاف و نیروی حرکت ارزش افزودۀ اقتصادی بر بازده سهام شایان توجه و از نظر آماری معنادار است. متغیرهای بازده داراییها و شکاف ارزش افزودۀ اقتصادی رابطۀ مثبت و معناداری با بازده سهام دارند، اما مشاهده میشود که رابطۀ نیروی حرکت ارزش افزودۀ اقتصادی و بازده سهام، منفی و معنادار است. | ||
کلیدواژهها | ||
ارزش افزودۀ اقتصادی؛ ارزیابی عملکرد؛ بازده سهام؛ بورس اوراق بهادار تهران؛ نیروی حرکت ارزش افزودۀ اقتصادی | ||
عنوان مقاله [English] | ||
Examining the Ability of EVA Momentum, EVA Spread and Conventional Performance Measures to Predict Stock Return | ||
نویسندگان [English] | ||
Fraydoon Rahnamay Roodposhti1؛ Maysam Ahmadvand2؛ Mohammad Javad Sadehvand3 | ||
1Prof., Faculty of Management and Economics, Islamic Azad University, Tehran, Iran | ||
2Ph.D. Candidate in Finance, Allameh Tabatabaei University, Tehran, Iran | ||
3Ph.D. Candidate in Finance, Islamic Azad University, Science and Research Branch, Tehran, Iran | ||
چکیده [English] | ||
Using data acquired from companies listed on Tehran stock exchange, during a five-year time period from 1388 to 1392, this study documents the impacts of economic value added (EVA), EVA spread, EVA momentum, and return on assets (ROA) on stock return as a measure of investors’ wealth creation. EVA spread and EVA momentum are new methods of firms’ performance measurement constructed on the basis of EVA. EVA and ROA are the traditional methods of performance measurement widely used currently. EVA spread and EVA momentum are argued to have better ability in explaining the variance of stock return compared to the two traditional methods. To test hypotheses, this study applies Multiple Linear Regression Model. The results indicate that EVA spread, EVA momentum, and ROA have significant effects on stock return, while the relationship between EVA and stock return is not significant. The regression coefficients of EVA spread and ROA are positive, but, it is found that the relationship between EVA momentum and stock return is negative. | ||
کلیدواژهها [English] | ||
Economic Value Added (EVA), EVA Momentum, Performance Evaluation, Stock Return, Tehran Stock Exchange | ||
مراجع | ||
Abate, J. A. Grant, J. L. & Stewart III, G. B. (2004). The EVA style of investing.Journal of Portfolio Management, 30(4), 61-72.
Ahmadvand, M. (2009). The effect of corporate governance indicators on stock returns, firm value and firm performance: based on evidence from firms listed on Tehran stock exchange. Master Thesis, Shahid Beheshti University, Tehran. (in Persian)
Al-Omush, A. M. (2014). The association between accruals, economic value added, and cash value added and the market performance of UK and US firms. Ph.D. Thesis, University of the West of England, UK.
Anastassis, C. & Kyriazis, D. (2007). The validity of the economic value added approach: an empirical application. European Financial Management, 13(1), 71-100.
Asadpour, A. A. & Mashoof, A. (2015). Investigating the relationship between refined economic value added (REVA) and stock returns in stock exchange companies. International Journal of Review in Life Sciences, 5(2), 1549-1557.
Athari, M. (2008). Examining the effect of economic value added (EVA) and net operating profit after tax (NOPAT) on stock return of firms listed on Tehran stock exchange. Master Thesis, Alzahra University, Tehran. (in Persian)
Awan, A. G. (2014). The effect of economic value added on stock return: evidence from selected companies of Karachi stock exchange. Research Journal of Finance and Accounting, 5(23), 140-152.
Baran, D. Hrotko, L. & Olejnik, P. (2007). Economic value added – EVA. Economics and Management, 12, 669-675.
Baybordi, A. Ghorban Nejad, K. & Farzaneh Kargar, E. (2015). Evaluating the relationship between economic value added and stock return in companies listed at Tehran stock exchange. Management and Administrative Sciences Review, 4(1), 215-221.
Biddle, G. C. Bowen, R. M. & Wallace, J. S. (1997). Does EVA beat earnings? evidence on associations with stock returns and firm values.Journal of Accounting and Economics, 24(3), 301-336.
Burkette, G. D. & Hedley, T. P. (1997). The truth about economic value added. The CPA Journal, 67(7), 46-49.
Chen, S. & Dodd, J. L. (1997). Economic value added: an empirical examination of a new corporate performance measure. Journal of Managerial Issues, 9(3), 318 - 333.
Chen, S. & Dodd, J. L. (2001). Operating income, residual income and EVA: which metric is more value relevant?Journal of Managerial Issues, 13(1), 65-86.
Chung, C. H. (2012). Analysis and comparison to other industries of financial performance and performance factors of property traded firms in Taiwan. Master Thesis, National Sun Yat-sen University, Taiwan.
Damodaran, A. (2002). Investment Valuation (2nd ed.). New York: John Wiley & Sons.
Darabi, R. & Bani, M. (2009). Evaluating the correlation of economic value added, net income and operating profit with market capitalization of firms listed on Tehran stock exchange.Quarterly Financial Accounting, 1(1), 119-136. (in Persian) De Wet, J. & Du Toit, E. (2007). Return on equity: a popular, but flawed measure of corporate financial performance. South African Journal of Business Management, 38(1): 59-69.
Dodd, J. L. & Chen, S. (1996). EVA: a new panacea?Business & Economic Review, 42(4), 26-28.
Fayed, A. M. & Dubey, S. (2016). An empirical study of impact of EVA momentum on the shareholders value creation as compared to traditional financial performance measures- with special reference to the UAE. International Journal of Economics and Finance, 8(5), 23-38.
Grant, J. L. (2003). Foundations of Economic Value Added (2nd ed.). Hoboken, New Jersey, USA: John Wiley and Sons.
Haddad, F. S. (2012). The relationship between economic value added and stock returns: evidence from Jordanian banks.International Research Journal of Finance & Economics, (89), 6-14.
Haghiri, A. & Haghiri, S. (2012). The investigation of effective factors on stock return with emphasis on ROA and ROE ratios in Tehran stock exchange (TSE). Journal of Basic and Applied Scientific Research, 2(9), 9097-9103.
Hartono, J. D. C. (1999). ROA and EVA: a comparative empirical study. Gadjah Mada International Journal of Business, 1(1), 45-54.
Jones, C. P. (2010). Investments (11th ed.). Hoboken, New Jersey, USA: John Wiley & Sons.
Kamrani Mosavai, S. M. (2015). Application of economic value added (EVA) in stock return evaluation of accepted oil productions companies in Tehran stock exchange (TSE). The Caspian Sea Journal, 9(1), 74-80.
Karami, G. Nazari, M. & Shafipoor, S. M. (2011). Economic value added and stock market liquidity. Journal of Financial Research, 12(30), 117-132. (in Persian) Kaur, M. & Narang, S. (2008). Economic value added reporting and corporate performance: a study of satyam computer services Ltd. The Icfai Journal of Accounting Research, 7(2), 40-52.
Khan, M, A. Hussain Shah, N. & Rehman, A. U. (2012). The relationship between stock return and economic value added (EVA): a review of KSE-100 index. Retrieved from: https://www.researchgate.net/publication/225283820.
Khodaparast, A. (2010). Examining the relationship between economic value added and return on investment. Monthly Quarterly Journal of Economic Research and Policies, (11 & 12), 113-128. (in Persian)
Kohansal, M. R. Dadras Moghaddam, A. Mahjori, K. & Mohseni, A. (2013). Relationship between financial ratios and stock prices for the food industry firms in stock exchange of Iran. World Applied Programming, 3(10), 512-521.
Laksmiwati, M. & Priyanto, S. (2016). Effect of return on total assets (ROA), Tobin’s Q and economic value added (EVA) on trading volume activity (TVA) of 45-index stocks listed in Indonesia stock exchange (IDX) 2009-2013. International Journal of Business Quantitative Economics and Applied Management Research, 2(9), 1-15.
Lehn, K. & Makhija, A. K. (1996). EVA and MVA: as performance measures and signals for strategic change. Strategy and Leadership, 24(3), 34-38.
Mahdavi, G. & Goyandeh, K. (2009). The relationship between economic value added and refined economic value added with stock return.Quarterly Journal of Financial Accounting and Auditing Researches, 1(2), 61-86. (in Persian) Mahoney, R. L. (2011). EVA momentum as a performance measure in the United States lodging industry. Ph.D. Thesis, Iowa State University, USA.
McConville, D. J. (1994). All about EVA. Industry Week, 243, 55-58.
Nakhaei, H. & Hamid, N. I. N. B. (2013). Analyzing the relationship between economic value added (EVA) and accounting variables with share market value in Tehran stock exchange (TSE). Middle-East Journal of Scientific Research, 16(11), 1589-1598.
Nikbakht, M. R. & Eskandari, G. (2016). The relationship between intellectual capital, adjusted economic value added and stock liquidity. The Iranian Accounting and Auditing Review, 22(4), 541-560. (in Persian)
Ola, M. R., Ghaemi Asl, M., Aminzadegan, S. & Azimi, E. (2014). Analysis of the relationship between corporate governance and economic value added (EVA) in Tehran stock exchange. Management Accounting, 7(21), 59-70. (in Persian) Ooi, J. T. L. & Liow, K. H. (2002). Real estate corporations: the quest of value. Journal of Property Investment and Finance, 20, 23-35.
Rahnamay Roodposhti, F. & Soroushyar, A. (2013). Comparative assessment of economic and accounting performance measures ability in explaining value of companies listed on Tehran stock exchange. Journal of Financial Research, 15(1), 29-50. (in Persian)
Rahnamay Roodposhti, F. (2007). Studying the ability of economic value added and market value added in evaluating company economic performance. Journal of Economic Research, 7(2): 157-175. (in Persian)
Ramezani, C. A. Soenen, L. & Jung, A. (2002). Growth, corporate profitability, and value creation.Financial Analysts Journal, 58(6), 56-66.
Rezanezhad, F. Azad, R. & Emamgholipour, M. (2013). The relationship between economic value added and refined economic value added with stock returns in the companies listed in Tehran stock exchange (to the breakdown of industries). World of Sciences Journal, 1(9), 74-82.
Rothschild, M. (2006). Shareholders pay for ROA. Strategic Finance, 88(5), 27-31.
Saeidi, P. & Okhli, A. (2012). Studying the effect of assets return rate on stock price of the companies accepted in Tehran stock exchange. Business and Economic Horizons, 8(2), 12-22.
Saji, T. G. (2014). EVA and stock returns in emerging markets: the Indian evidence. IUP Journal of Accounting Research & Audit Practices, 13(4), 25-35.
Sparling, D. &Turvey, C. G. (2003). Further thoughts on the relationship between economic value added and stock market performance. Agribusiness, 19(2), 255–267.
Stewart, G. B. (1991). The Quest for Value: a Guide for Senior Managers. New York: Harper Business.
Stewart, G. B. (2009). EVA momentum: the one ratio that tells the whole story. Journal of Applied Corporate Finance, 21(2), 74-86.
Tandelilin, E. (2001). Investment Analysis and Portfolio Management (1st ed.). Yogyakarta, Indonesia: BPFE.
Tully, S. (1993). The real key to creating wealth.Fortune, 128(6), 38-52.
Vakilian Agohei, M. Vadiei, M. H. & Hoseini Maasoom, M. R. (2010). The relationship between economic value added (EVA) and residual income (RI) in predicting future earnings per share (EPS). Journal of Financial Research, 11(27), 111-122. (in Persian)
Visaltanachoti, N. Luo, R. & Yi, Y. (2008). Economic value added and sector returns. Asian Academy of Management Journal of Accounting and Finance, 4(2), 21-41.
Wirawan, D. I. (2011). Effects of EVA (economic value added), EVA spread, EVA momentum and return on assets on stock return: empirical study in Indonesian stock market. Master Thesis, Gadjah Mada University, Indonesia.
Yaghoobi, A. & khansalar, E. (2016). A review of the relationship between ownership structure and economic performance criteria in companies listed on Tehran stock exchange. International Journal of Economics and Finance, 8(6), 89-99. Zahiri, M. (2007). Examining the effect of economic value added and earnings per share on market capitalization of firms listed on Tehran stock exchange. Master Thesis, University of Mazandaran, Mazandaran. (in Persian) | ||
آمار تعداد مشاهده مقاله: 3,061 تعداد دریافت فایل اصل مقاله: 1,031 |