تاثیر هم حرکتی سود بر ضریب واکنش اعلام سودهای فصلی

ادبیات پیشین نشان می‌دهد سود یک شرکت همراه با سود سایر شرکت‌ها در همان صنعت حرکت می‌کند. این مفهوم، اصطلاحا هم حرکتی سود نامیده می‌شود که سرمایه‌گذاران می‌توانند بر اساس آن انتظارات خود از سود شرکت را با استفاده از اطلاعات صنعت شکل دهند. از آنجایی‌که سودهای فصلی منعکس کننده جریان اطلاعات به بازار هستند هدف پژوهش حاضر بررسی تاثیر هم حرکتی سود بر واکنش سرمایه‌گذاران نسبت به اعلام سودهای فصلی شرکت‌ها است. نمونه‌ پژوهش شامل داده های فصلی 134 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران در دوره زمانی 1387 تا 1398 است. نتایج حاصل از آزمون فرضیه اول نشان داد ضریب واکنش سودهای فصلی با بازده خرید و نگهداری در پنجره سه روزه اعلام سود رابطه مثبت و معنادار دارد و هم حرکتی سود این رابطه را تضعیف می‌‌کند. این بدین مفهوم است که میزان بالاتر هم حرکتی سود شرکت منجر به کاهش ضریب واکنش سود می‌شود. همچنین نتایج آزمون فرضیه دوم و سوم نشان داد زمانی که اخبار خوب سود وجود دارد هم حرکتی سود، ضریب واکنش سود را تضعیف می‌کند ولی در شرایط وجود اخبار بد، هم حرکتی تاثیری بر ضریب واکنش سود ندارد.

The effect of Earnings Comovement on Quarterly Earnings Response Coefficient

Journal of Accounting Advances, (2020) 12(1): 127DOI: 10.22099/JAA.2021.40327.2124     Journal of Accounting Advances (JAA)Journal homepage: www.jaa.shirazu.ac.ir/?lang=en       The effect of Earnings Comovement on Quarterly Earnings Response CoefficientNarges Hamidian1 1. Assistant Professor, Department of Accounting, Faculty of Administrative Sciences and Economics, University of Isfahan     ARTICLE INF  ABSTRACT     Received: 20210412Accepted: 20210622   Prior literature shows that a firm’s earnings tend to move with other firms in the same industry. This concept is called comovement. So investors will be able to form an expectation of a firm’s earnings from the industry. Given that the reported earnings do reflect the flow of information to the market, the purpose of this study is investigating the effect of earnings comovement on quarterly earnings response coefficient. The sample of this study consists of 134 listed companies in Tehran Stock Exchange during the period 2008 to 2019. The results of the first hypothesis showed that the response coefficients to quarterly earnings announcement have a positive and significant relationship with the buy and hold returns in the threeday earnings announcement window, and earnings comovement weakens this relationship. Also, the results of testing the second and third hypotheses showed that when there is good news, earnings comovement weakens earnings response coefficient, but under bad news, earnings comovement has no effect on earnings response coefficient.     * Corresponding author:Narges HamidianAssistant Professor, Department of Accounting, Faculty of Administrative Sciences and Economics, University of Isfahan Email: n.hamidian@ase.ui.ac.ir     1 IntroductionPrior literature shows that firms’ earnings tend to comove together, so investors will be able to form an expectation of a firm’s earnings from the market (Brown and Ball, 1967). This concept is called comovement. Given that there is a significant relationship between a firm’s earnings and the earnings of other firms in the market, and the reported earnings do reflect the flow of information to the market, the question is whether this relationship has an effect on earnings informativeness?There are two different views about how earnings comovement impacts earnings response coefficient (earnings informativeness). First, some studies imply the higher the degree of earnings comovement of a firm with other firms in same industry, the less informative that firm’s earnings release will be. In other words, investors will be able to predict a firm’s earnings by using similar firms in the same industry and so there will be less uncertainty about that firm’s earnings (see, e.g. Fischer and Verrecchia, 2000; Jackson et al, 2020). Second, some other papers (such as Heinle and Verrecchia, 2016 and Jackson et al., 2017) show that the more the earnings of a firm comove with the industry and market, the less likely it is that the firm will issue a biased earnings report. So, the earnings will be more informative to investors.Therefore, this study attempts to investigate the effect of earnings comovement on quarterly earnings response coefficient. Also, because of the behavioral biases of investors in reaction to good and bad news, the effect of earnings comovement on quarterly earnings response coefficient with considering good and bad news has also been investigated. 2 HypothesisAccording to the literature, the research hypotheses include: Earnings comovement weakens response coefficient to quarterly earnings announcement.Under good news, earnings comovement weakens response coefficient to quarterly earnings announcement.Under bad news, earnings comovement strengthens the response coefficient to quarterly earnings announcement.  3 MethodsIn this study, in order to calculate the variables and test the hypotheses, required data has been collected from the annual and quarterly financial statements and its footnotes of listed companies in the Tehran Stock Exchange and the existing databases including “Rahavard Novin” and “Codal”. The sample of this study consists of 134 listed companies in Tehran Stock Exchange during 2008 to 2019. To test this hypotheses, the period of 8 years (2012 to 2019) and panel data methods have been used.  4 ResultsThe results of investigating the first hypothesis showed that the response coefficients to quarterly earnings announcement have a positive and significant relationship with the buy and hold returns in the threeday earnings announcement window, and earnings comovement weakens this relationship. Also, the results of testing the second and third hypotheses showed that when there is good news, earnings comovement weakens earnings response coefficient, but under bad news, earnings comovement has no effect on earnings response coefficient. 5 Discussion and ConclusionIn this paper we investigated the informativeness of a firm’s earnings in the presence of information about other firms’ earnings (i.e., earnings comovement). Some literatures show the greater the degree of comovement, the less relevant earnings become as investors do not need to rely on the information signal from the firm because they can predict earnings from alternative sources in the same industry. On the other hand, some studies imply the greater the degree of comovements, the less opportunity managers have to bias the earnings signal which will lead to the earnings becoming more reliable and more informative.The results of investigating the first hypothesis showed that the response coefficients to quarterly earnings announcement have a positive and significant relationship with the buy and hold returns and when earnings comovement is considered, the quarterly earnings response coefficient decreases. This means that when earnings’ firms move with other firms in the same industry, investors can get information from other firms in the industry and better predict the earnings’ firm. So, earnings announcement will contain less unexpected information. As a result, earnings response coefficient decreases. This result is consistent with Jackson et al., (2020).The results of testing the second hypothesis indicates that when there is good news, earnings comovement weakens earnings response coefficient. This implies that investors pay more attention to the good news of the industry and react less to the earnings when good news is published by the firm. But the results of testing the third hypothesis showed under bad news, earnings comovement has no effect on earnings response coefficient. This lack of relationship may be due to the fact that investors do not pay much attention to the bad news of the industry.For future studies, we suggest to analyze the relationship between comovement and other variables such as comparability of financial statements, earnings quality, earnings management, fraud, etc. The results of this research can also be done separately by industry to determine in which industries there is more comovement.