مدل سازی پویایی خطی سودهای باقیمانده حسابداری

مفهوم مازاد خالص و مازاد ناخالص سودهای حسابداری، پایه‌های مدل حسابداری حقوق صاحبان سهام را تشکیل میدهد، این مفاهیم و پویایی خطی اطلاعات سودهای حسابداری براساس فرایند وینر با استفاده از مبانی مکتب نئوکلاسیک اقتصادی بررسی می‌شود. قیمت سهام را می‌توان به متغیر‌های ارزش دفتری سهام، سودهای حسابداری و سودهای نقدی پیوند داد، 160 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی سال‌های 1389 تا 1397بعنوان نمونه انتخاب شده است. نتایج نشان می‌دهد در مدل اطلاعات سودها، برای ارزش دفتری سهام یک دوره قبل، ضریب مثبت و برای ارزش دفتری سهام جاری، ضریب منفی و بطورکل برای تغییر در ارزش دفتری سهام، ضریب مثبت ایجاد شده است، که نشان‌دهنده پویایی اطلاعات سودها است. سودهای غیرعادی با سود دوره قبل و ارزش دفتری سهام دوره قبل و همچنین با ارزش دفتری سهام دوسال قبل همبستگی دارد. بنابراین علامت ضرایب در مدل پویایی اطلاعات سودها مستقل از عامل حذف اثر تورم اقتصادی خواهد بود. محافظه‌کاری مستتر در پویایی اطلاعات بر علامت ضرایب مدل پویایی تاثیر ندارد اما وزن‌های ارزش دفتری سهام و سودهای غیرعادی به تعدیلات ناشی از سیاست‌های محافظه‌کاری حسابداری مربوط است. هرچه پویایی خطی اطلاعات بیشتر باشد، فرصت‌های آربیتراژ در بازارهای سرمایه کاهش می‌یابد، لذا، سبب افزایش رقابت در بازار و کاهش رانت‌های اقتصادی می‌شود.

Modeling the linear dynamics of accounting residual income

Journal of Accounting Advances, (2020) 12(1): 6394 DOI: 10.22099/JAA.2020.36382.1992 Journal of Accounting Advances (JAA) Journal homepage: www.jaa.shirazu.ac.ir/?lang=en Modeling the Linear Dynamics of Accounting Residual Income ARTICLE INF ABSTRACT Received: 2020226 Accepted: 20201011 The concepts of net surplus and the dirty surplus of accounting earnings form the bases of the equity accounting model. These concepts and linear dynamics of accounting earnings are examined based on the Wiener Process using the economic fundamentals of the Neoclassical School. Stock prices are linked to the variables of stock book value, accounting earnings, and cash dividends, a total of 160 companies listed in Tehran Stock Exchange during 20102018 were selected as samples. The results show that in the earnings information model, a positive coefficient for a lagged book value and a negative coefficient for the current book value and, in general, a positive coefficient for the change in the book value are created, which indicate the dynamics of earnings information. The current abnormal earnings are correlated with last year’s earnings and a lag book value, and also two lag book values. Therefore, choosing the factor that eliminates the effect of economic inflation is independent of the sign of the coefficients in the information dynamics. The conservatism in the dynamics of information does not affect the sign of these parameters, but the weights of book value and abnormal earnings are related to conservative adjustments. The greater the linear dynamics of information, the fewer arbitrage opportunities there are in capital markets, which increases competition in the market and reduces economic rents.  1 Introduction        The dynamics of accounting earnings information varies with accounting policies, cash dividend distribution policies, and environmental factors. The present study investigated the concept of clean surplus earnings, dirty surplus earnings, and linear information dynamics of accounting earnings based on the Wiener Process using the economic fundamentals of the Neoclassical School.        According to Pope and Wong (2005), Klub (2012), Ashton and Wong (2013), the linear dynamics structure used in the residual income valuation model requires two lags related to book value. Therefore, the prerequisite for introducing accounting earningsbased valuation models is to prove the linear dynamics of accounting information and the linear dynamics of accounting earnings information. Various environmental factors affect the dynamics of earnings information; in modeling information dynamics, past research has often yielded contradictory results. According to Ashton and Wong (2013, 2015), the main reasons for achieving inconsistent results in previous studies are misdiagnosis and inappropriate econometric models. Prior period accounting information affects the dynamics of current period accounting information but is often overlooked in modeling.   2 Hypotheses Accounting policies cause shocks to accounting income, and this leads to (permanent and temporary) shocks to accounting information and thus has a significant effect on the dynamics of earnings, accounting information, and valuation. So, current accounting information and a lag of accounting information are a function of accounting policies. Therefore, accounting policy changes the accounting earnings, and then it changes the coefficients, that is, the dynamics of the earnings information changes. According to the above argument, the dynamics of accounting earnings information indicates that current accounting earnings are a function of last year’s accounting information. So, the following hypotheses can be stated: The central hypothesis: Accounting policies moderate the linear dynamics of accounting information and abnormal earnings. H1: Conservative accounting policies moderate the relation between current book value and abnormal earnings. H2: Conservative accounting policies moderate the relation between book value for the last period and abnormal earnings.   3 Methods To examine the linear dynamics of accounting earnings information, a panel database of 160 companies over the period 20102018, with a total of 1440 firmyear observations for sample firms, was compiled. Research variables were calculated using Excel software, and the results were used as inputs of Eviews10 software. Three factors of book value per share, price per share, and book value per share of the last year were used to standardize model variables, eliminate the inflation effect and control the internal contradiction of accounting variables. Before running the analysis, the classic assumptions of regression, the stationary assumption of variables, the collinearity of variables were examined, and all of them were at an acceptable level. After the implementation of the Chow and the Hausman test, panel data regression models with fixed effects were chosen.   4 Results Abnormal earnings dynamics and the changes of book value per share were reported separately by a lag book value and current book values per share and a nonstandard combination. Based on the theoretical predictions, and the first and second hypotheses, when the deflator in equation (17) is π = p < sub>t, then, , and . And when the deflator in equation (15) is π = bt, then, , These statements test the hypothesis I and II simultaneously. The results show a positive and significant coefficient for  related to lagged book value, and a negative and significant coefficient for  related to current book value, and the  appears on the positive domain. Therefore, the first and second hypotheses of the study are confirmed. Thus, according to the new modeling proposed in this study, conservatism in accounting policies modifies the linear dynamics of accounting earnings information and equity book values over the period studied.   5 Conclusion        In this study, to standardize the model’s variables and control inherent heteroskedasticity in the accounting variables, three factors were used to deflate the variables, including equity book value per share, price per share, and lagged equity book value per share. In so doing, the dynamics of information will reflect the conservative nature of accounting. The results show that for the lagged book value, the positive coefficient and for the current book values, the negative coefficient and, in general, for the change in the book value, the positive coefficient appeared. This issue refers to the independence of the deflator on the sign of coefficients. So then, it does not matter which deflator is used; however, the conservatism in the dynamics of information does not affect the sign of these parameters. Therefore, the weights of book value and residual income are related to conservatism adjustments; weights indicate the degree of dynamics. Hence, the dynamics of earnings information, i.e., the forward residual income is not only associated with a lagged earnings and a lagged book value but also to two lags of book value.        In the linear modeling of the information dynamics, some significant relations in the models appeared for the abnormal earnings with book value changes, and strange earnings information with current book value. Hence, the formulation introduced in the linear information dynamics based on the residual income model is consistent with the basics of accounting conservatism effects on linear dynamics of accounting earnings information.   Keywords: Earnings Information Dynamics, Accounting Earnings, Accounting Conservatism, Residual Income.