شناسایی فرایندهای معکوس‌شونده و تجدیدشونده در ساختار سری زمانی اقلام تعهدی

در پژوهش حاضر، ساختار سری زمانی اقلام تعهدی بررسی شده است. فرض اصلی پژوهش این است که شوک‌های اقلام تعهدی سرمایۀ در گردش، صرف نظر از منبع، در طول زمان معکوس می‌شوند، با این حال، برخی شوک‌ها با شوک‌های جدیدی جایگزین می‌شوند. بنابراین، این پژوهش یک فرایند میانگین متحرک مرتبۀ اول را برای تبیین و مدل‌سازی شوک‌های معکوس‌شوندۀ اقلام تعهدی پیشنهاد می‌کند. به منظور آزمون فرضیه‌های پژوهش، داده‌های سالانۀ 200 شرکت غیرمالی پذیرفته‌شده در بورس اوراق بهادار تهران طی دورۀ زمانی از سال 1386 تا سال 1402 استفاده شده است. نتایج نشان می‌دهد به طور میانگین، شوک‌های اقلام تعهدی سرمایۀ در گردش تمایل به معکوس‌شدن در دورۀ بعد دارند، اما سرعت این معکوس‌شدن یکسان نیست؛ شوک‌های مرتبط با رشد فروش گرچه معکوس می‌شوند، همواره با شوک‌های جدید جایگزین می‌شوند، در حالی که معکوس‌شدن شوک‌های مرتبط با نوسان‌های سرمایۀ در گردش بیشتر به طول می‌انجامند. همچنین، در بیشتر شرکت‌ها، خطای برآورد اقلام تعهدی بلافاصله در دورۀ بعد معکوس می‌شود و این خطا منبع اطلاعاتی جدیدی برای اقلام تعهدی مورد انتظار فراهم می‌آورد.

exploring reversible and renewable dynamics in the time series structure of accruals

this paper examines the time series characteristics of accruals, focusing on their creation processes and the speed of their reversal. the main hypothesis suggests that shocks to working capital accruals, regardless of their origin, tend to reverse over time, though new shocks follow some. a first-order moving average model is employed to predict short-term accrual behavior and capture the reversible nature of these shocks. to test hypotheses, annual data from 200 non-financial companies listed on the tehran stock exchange from 2007 to 2023 were used. the findings indicate that shocks to working capital accruals generally reverse in the next period, although the reversal speed varies. sales growth shocks tend to reverse quickly and are replaced by new shocks, while working capital fluctuations stabilize more slowly, often taking longer than one period for complete reversal. notably, in most sampled companies, accrual estimation errors are fully and immediately reversed in the following period. this research underscores the importance of prior estimation errors as a valuable source of information for improving accrual forecasting accuracy.introductionaccruals are crucial components in accounting that have garnered significant attention due to their impact on financial reporting. one of their primary functions is to mitigate noises associated with the timing of cash flows, thereby allowing accounting profit to serve as a measure that reflects a more stable economic reality. consequently, a deeper examination of the characteristics and functions of accruals can enhance our understanding of how they are generated and their interplay with cash flows. this article focuses on the time series characteristics of accruals, aiming to explore the processes involved in their creation and the speed at which these accruals tend to reverse. the core hypothesis of this research posits that all shocks to working capital accruals—irrespective of their source—tend to reverse over time. nonetheless, certain accrual shocks are supplanted by new shocks. the study identifies several sources of accrual shocks, including fluctuations in sales, variations in working capital management policies, and errors in accrual estimation. methods & materialto analyze these phenomena, the research proposes a first-order moving average model to predict the behavior of short-term accruals, capturing the reversible nature of accrual shocks. the analysis utilizes annual data from non-financial companies listed on the tehran stock exchange over 17 years, spanning from 2007 to 2023. utilizing the balance sheet method, short-term accruals linked to working capital are calculated, and the moving average model is applied to time series data for each company in a final sample containing at least ten consecutive observations. findingthe study reveals that, on average, shocks to working capital accruals exhibit a tendency to reverse in the subsequent period. however, the speed of this reversal varies. while sales growth shocks tend to reverse and are continuously replaced by new shocks, fluctuations in working capital take longer to stabilize, often exceeding one period for complete reversal. interestingly, in the majority of the sampled companies, the accrual estimation errors from one period are fully and immediately reversed in the following period. conclusionthe findings indicate that current-period accruals are influenced by the reversal of prior-period accrual estimation errors. this highlights a critical insight: neglecting this random reversing component can lead to inaccuracies in predicting expected accruals for the current period. thus, the previous period's accrual estimation error emerges as valuable supplemental information regarding the anticipated accruals for the current period, complementing data related to sales shocks and working capital fluctuations. in summary, this research deepens our understanding of accrual behavior, emphasizing the significance of prior estimation errors as an independent source of information that can enhance the accuracy of accrual forecasting. this finding aligns with the results reported by bloomfield et al. (2017). furthermore, the empirical evidence from the study supports the theoretical prediction posited by dechow et al. (1998), which asserts that working capital accruals approximate white noise. the findings confirm the coexistence of a sustainable process—characterized by a positive serial correlation linked to sales growth—and a reversing process—marked by a negative serial correlation associated with temporary working capital fluctuations. these processes largely offset each other on average. in this regard, the results are consistent with the conclusions of allen et al. (2013). however, unlike the aforementioned study, the current findings provide stronger empirical evidence for the negative serial correlation of accruals attributable to estimation errors in accrual measurements.