An Investigation of the Relationship between Changes of Balance Sheet Items and Stock Future Output: Iranian View
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1 An Invesigaion of he Relaionship beween Changes of Balance Shee Iems and Sock Fuure Oupu: Iranian View Mahdi Salehi Assisan Professor of Accouning, Ferdowsi Universiy of Mashhad, Iran Maryam Seifzadeh Deparmen of Managemen, Economics and Accouning, Payame Noor Universiy, Iran [Absrac] The presen sudy invesigaes analyically he relaion beween changes of balance shee iems and sock fuure oupu of lised companies in he Tehran Sock Exchange. Since hese informaive sources, which are available for invesors and crediors and financial analyss, are fiscal liss of companies and, in principle, one of he main insrumens as a final oupu of he accouning process and financial reporing, so he research aims o predic he sock oupu changes by invesigaing he balance shee iems. Along wih he subjec, six hypoheses are posulaed, and he kind of research mehod is correlaed during The resuls show ha changes of fixed asses and also shareholders emolumen have influence on he fuure exchange oupu. Neverheless, he deerminaion coefficiens in he following model were low. This reveals ha independen coefficiens in he model have a weak relaion wih he fuure exchange oupu. Consequenly, here is a meaningful relaionship beween balance shees and lised companies in Tehran Sock Exchange. [Keywords] Exchange oupu, ne operaional asses, debs, Tehran Sock Exchange Inroducion Nowadays, invesmen includes an imporan par of economical aciviies, and invesmen is one of he necessiies of developmen in any sociey. We can claim ha no sociey can progress wihou invesmen. We need some informaion for invesing in a sociey. So, informaion is used for explaining he saus of economical unis. Mos of invesors are faced wih he quesion abou which of he above informaion can lead hem oward opimized decision-making, a decision which leads o maximize invesors wealh and propery. The accouning process provides he aciviy of undersanding operaion resuls and, also, reveals he cash flow companies cash in an annual financial period. Invesors and financial analyss can find uni's economical saus by using his informaion. In recen years, reporing mehods and accouning informaion reveled have affeced he inraorganizaional and exra-organizaional users and have been considered in accouning research. Mos of he recen research has, also, invesigaed he abiliy of predicing accouning iems. Users of financial shees have more and profound consideraions of he abiliy of forecasing he menioned iems in he liss. Various sudies invesigae he changes financial liss and heir relaion wih exchange of oupu. In recen years, he informaion of balance shees has enjoyed a special place in evaluaing and forecasing sock efficiency. Invesors, in fac, are a group of users who are ineresed in some informaion abou subsanial risk and heir own invesmen's oupu, and, as providers of capial for commercial uni risk. In his respec, invesors mus perform some wide and profound invesigaions while invesing in ypical exchange. This subjec is discussed in counries where heir exchange marke does no have he necessary efficiency. One of hese insrumens is menioned in he financial lis, so invesors can inves in he exchange marke of he acceped companies by using his informaion. The purpose of he sudy is o invesigae he informaive conen of balance shees hrough analyzing real informaion o help invesors in making heir decisions so ha hey can gain more reurn from heir own invesmens. In his paper, he relaionship beween balance shees and exchange fuure oupu has been invesigaed. 54
2 Lieraure review Rayburn (1986) sudied he cash resuling from operaion iems wih exchange oupu. His focus was mainly on operaional cash progress insead of cash progress. The resuls of Rayburn's research show ha here is coordinaion beween operaional cash progress and exchange oupu. Ohlso and Penmen (1992) performed a sudy on a case of lised companies on New York Sock Exchange. They invesigaed he relaionship beween accouning informaion and exchange oupu, and hey applied linear regression model wih wo or more variables. They invesigaed he relaionship beween exchange official value and exchange oupu, which surveyed he relaionship beween single balance shee iems and exchange oupu, such as curren capial, sockpiled depreciaion, properies, machines, and equipmens raher asses, long-erm debs and premier (superior) sock. They performed wo series of regressions for he above insances. Following are he resuls of Ohlson and Penmen research. 1) The relaionship beween official value and exchange oupu in comparison wih beween income of every share and is oupu is very rivial. 2) The level of inroducing he exchange oupu by single balance shee iems is less han inroducing he exchange oupu by official value. 3) By increasing ime periods, he level of inroducing he exchange oupu hrough he balance shee iems is increased. Sloan (1996) invesigaed his subjec where he informaive share price concerning mandaory iems and pecuniary currens would show us he fuure profis. In his research, he concluded ha here is a negaive relaionship beween curren capial and exchange fuure oupu. Chen e al. (2002) invesigaed he relaionship beween 9 companies, performing crieria sock price and exchange oupu by surveying 325 companies during They compared 3 hree new performance crieria: economical value added, cash curren of invesmen oupu, and remaining cash flow wih 6 radiional crieria of accouning. Resuls show ha he performance crieria of economical asse values and invesmen oupu cash have a weak correlaion wih price and share oupu. Haw e al. (2004) invesigaed rae of using financial informaion in analys's decision making. Regarding ha he informaion was primarily under consideraion of he company informaion break down ino 3 pars and hen inroduced he quesion: A) Company annual financial repor includes a managemen aciviy repor, an accouning repor, a managemen leer, a balance shee asses (fund), a balance shee of debs, profi and loss invoices, a cash-flow saemen, 3 monhs of repors, and sockholders' salaries ha have been invesigaed. B) Informaion relaed o economy and indusry, which included indusrial and economical informaion, has been invesigaed. C) A company's oher informaion, which was he company's hisory and specificaions, sock price informaion, managemen and specificaions, sock price informaion, managemen and saff, pas profi summary, and key proporions have been invesigaed. The analyss were quesioned abou which ses of informaion o analyze he company's saus. The previous fiscal year informaion had been presen o analyss, and hey were asked o predic he company's nex year saus. Predicion accuracy levels show he relevan iems in he predicion and deviaion from he real oupu, which represens misake in he predicion. Afer analyzing received responses, hey found ha he shareholders' salary saemen, balance shee, deb balance shee funds, probable debs, axes, long-erm debs, and invenory have a lower predicion accuracy level, and analyss do no make use of hem for predicaing very ofen. Fairfield, Whishenan, and Lambardy (2003) invesigaed he connoaive conceps for fuure profiabiliy and marke inappropriae pricing. I is saed in his research ha obligaions are a progressive (growh) elemen in operaional ne asses (funds) and also are a par of fuure profiabiliy. They separaed profiabiliy inside obligaion, cash flow from operaion, and growh in obligaory operaional ne asses (fund) from growh in long-erm operaional ne asses. They concluded ha ne growh of operaional asses has a negaive relaion wih exchange oupu. Hirshlefir e al. (2004) invesigaed ha if invesors limi heir consideraion, hey use he resuls of accouning in which by a sof mehod and posiive aspecs of a company s performance will be confirmed. They sae ha when balance shee is assessed, invesors give a high value (posiion) o he company by 55
3 heir limied consideraion hey suggesed in heir conclusion ha operaional ne asses (sock) oupu. Richardson e al. (2010) invesigaed he effecs of operaional ne funds and heir influence on fuure exchange oupu. Objecive of he Sudy Sock oupu as one he imporan facors in making he bes choice for invesors are he basic financial liss of companies and generally are one of he main insrumens for ransmiing he informaion o he relaed persons and are final produc of he accouning process and financial reporing. So, his paper aims o help invesors and analyss make correc decisions by calculaing he sock fuure oupu and invesigaing is relaionship wih balance shee iems. Balance shee iems consis of various elemens, and his paper invesigaes curren asses, fixed asses (funds), curren debs, long-erm debs, shareholder's salaries, and, also, operaional ne asses, which are gained from balance shee iems. The following are he conceps used in his sudy. Curren Asses concep. The Curren Asses concep embodies hose asses which change ino cash by normal operaion and hose asses which he company speculaes as cash available in he fuure Fixed asses concep. Mos of he commercial unis have considerable invesmens in physical properies and use hem in operaions o make heir invesmen profiable in many periods. Imporan asses in his class consis of land, buildings, machines, equipmen, insallmens, and opimizing renal properies. There is a need for an asse included in his class, and i is ha he company makes use of perinen asse o have income hrough operaion. Curren Deb concep. A ime deb should be classified as curren deb when i is anicipaed o be seled during an operaional circle of he commercial uni or during one year afer he balance shee dae. Long-erm deb concep. Non-curren debs are obligaions which will be seled afer a one-year operaional circle. The mos common long-erm debs are bonds, movable axes, obligaions of reiremen and oher advanages afer reiremen, and renal obligaions. The effecs of above obligaions are on company s fuure operaion; condiions of heir reimbursemen include original deb and profi paymens. Shareholders equiy concep. By replacemen in accouning equaion we have ownership equiy= debs- asses (funds). Ownership s equiy in single owner unis is merely an accouns name. Reporing of ownership s equiy of a join sock company is, somehow, more complicaed. Legal limiaions, accouning guidelines, and, also, separaion of ownership and managemen provide a need for gahering more informaion abou owners profis in he join sock company. Shareholder's equiy ypically consiss of hree classes: (1) paid asses, (2) sock-piled profi, and (3) oher iems sock piled for comprehensive profi. Operaional ne asses concep. To define he operaional ne asse, firs we mus deermine is wo main pars, which are operaional debs and operaional asses. Operaional debs, in fac, are equal o a figure which is calculaed afer subracing long-erm debs, shor-erm debs, and shareholders' salary from debs. Operaional asse is calculaed by subracing cash and shor-erm invesmen from asses; finally, operaional ne asses are calculaed by subracing operaional debs from operaional asses. Operaional ne asses are used as a measure for evaluaing and predicing sock oupu. Research Quesion and Research Hypoheses Based on he research objecives, we invesigae wheher here is a meaningful relaionship beween changes of balance shee iems and changes of sock fuure oupu. According o his quesion, we have posulaed he following six hypoheses: 1) There is a meaningful relaionship beween changes of curren asses and changes of sock fuure oupu. 2) There is a meaningful relaionship beween changes of fixed asses and changes of sock fuure oupu. 3) There is a meaningful relaionship beween curren debs and changes of sock fuure oupu. 4) There is a meaningful relaionship beween changes of curren longerm debs and changes of sock fuure oupu. 5) There is a meaningful relaionship beween changes of curren operaional ne asses and changes of sock fuure oupu. 6) There is a meaningful relaionship beween changes of curren shareholders' salary and changes of sock fuure oupu. 56
4 Research Variables and Their Measuremen s Mehod In his paper, we invesigae he relaionship beween dependen variable (sock fuure oupu changes) and independen variables (curren asses, fixed asses, shor-erm debs, long-erm debs, operaional ne asses, and minoriy shareholders' salary). In his research, sock fuure oupu is calculaed as sock oupu: share prioriy value + share value + cash profi + increasing share price a he beginning of year. Curren Asses are regarded as an independen variable, and o calculae i we derac he amoun of curren assers in he pas year from he amoun of curren asse in a year and hen divide i o he absolue value of curren asse amoun in he pas year. CA ACT Curren asse changes= CA The fixed asses are regarded as an independen variable, and o calculaion i we subrac he amoun of a fixed asse in he pas year from he amoun of a fixed asse in a year and hen divide i ino he absolue value of he fixed asse in he pas year. FA FAT Fixed asses changes= FA The shor-erm debs are regarded as an independen variable, and o calculae i we subrac he amoun of shor-erm deb in he pas year from he amoun of he shor-erm deb in a year, and hen we divide i ino he absolue value of shor-erm debs in he pas year. CL CLT Shor erm liabiliy changes = CL Long-erm liabiliies are regarded as an independen variable, and o calculae i, we subrac long-erm liabiliy in pasy year from long-erm liabiliy in a year, hen divide i ino he absolue value of he amoun of long-erm liabiliy amoun in he pas year. Ncl NclT Long erm liabiliy changes = Ncl Ne operaional asses are regarded as independen variables, and o calculae hem, we subrac he amoun of ne operaional asses in he pas year from ne operaional asses in year and hen divide hem ino he absolue value amoun of ne operaional asse in he pas year. NoA NoAT Ne operaional asses changes (variaion) = NoA Shareholders equiy is regarded as an independen variable, and o calculae i, we subrac he amoun of shareholders' emolumen in he pas year from he amoun of shareholders equiy in a year and hen divide i ino he amoun of he absolue value of he shareholders equiy in he pas year. SE SET Shareholders' equiy changes= SE Saisical sociey. In his paper, lised companies on he Tehran Sock Exchange are seleced as a saisical sociey. The reason for his selecion is more consideraion of invesors and availabiliy of informaion and, also, he ransparency of hose companies accouning informaion daa. On he oher hand, he join sock naure of lised companies on he Tehran Sock Exchange and making he financial liss available for vas variey of users was he reason for selecing hese companies. Saisical Sample and Sampling Mehod Sampling is compleely sysemaic. So, we seleced qualified companies among he lised companies on he Tehran Sock Exchange according o he following: 1) The regarded company mus be lised before 57
5 he year of ) The end of he regarded company's fiscal year mus be 29 March of each year. 3) The regarded company should no have any ransacion sop a he sudied period. 4) The regarded company should no have any change in fiscal years during he sudied period. 5) The regarded company mus be among acive members in he marke. Since we have calculaed sock fuure oupu in his paper, i is required ha he exising company in he sample be an acive one; hus, he number of he company s ransacions on he sock exchange mus be so ha we can say share price reflecs sock facs. Consequenly, he regarded company's ransacions should no be below 40 imes in a year. 6) The daa of he regarded company mus be available (in access). Because he goal of his research is o invesigae he relaionship beween variables, we use he correlaion mehod. In order o es he hypoheses saisically, we use he muli-variable regression and F, T, and, also, SPSS sofware o esimae coefficiens and calculae needed figures for explanaion and analyical saisics. The required daa, colleced hrough observaion, includes company's financial lis informaion and also he informaion relaed o company sock on he Tehran Sock Exchange. According o his process, all of he applied informaion are colleced by Tadbirpardaz and Sahra sofware, and, also, from he Tehran Sock Exchange archives. Hypoheses Tes Resuls Taking ino consideraion of he daa able of he firs hypohesis, we found here is no relaionship beween changes of curren asses and changes of sock fuure oupu. Since, he T is greaer han 5%, here is no meaningful relaionship beween changes of curren asses and changes of sock fuure oupu a he confidence level of 95%. For he second hypohesis, by considering he daa able, i can be seen ha here is a relaionship beween changes of fixed asses and changes of sock fuure oupu, since i is posiive and direc. Because mean level T is less han 5%, here is a meaningful relaionship beween changes of fixed asses and changes of sock fuure oupu a a confidence level of 95%. For he hird hypohesis, by considering he daa able, i is clear ha here is no relaionship beween changes of curren liabiliies and changes of sock fuure oupu. Because mean level T is greaer han 5%, here is no meaningful relaionship beween changes of curren liabiliies and changes of sock fuure oupu a he confidence level of 95%. For he fourh hypohesis, by considering he daa able, i is clear ha here is no relaionship beween changes of long-erm liabiliy and changes of sock fuure oupu. Since he mean level T is greaer han 5%, here is no meaningful relaionship beween changes of long-erm liabiliies and changes of sock fuure oupu a he confidence level of 95%. For he fifh hypohesis, according o he daa able, here is no relaionship beween changes of operaional asses and changes of sock fuure oupu. Since he mean level T is greaer han 5%, so here is no meaningful relaionship beween changes of ne operaional asse and changes of sock fuure oupu a he confidence level of 95% For he sixh hypohesis, according o he daa able, here is a relaionship beween changes of shareholders salary and sock fuure oupu. Since i is negaive, i is a reverse. Since he mean level T is lesser han 5%, here is a meaningful relaionship beween changes of shareholder s salary and sock fuure oupu a he confidence level of 95%. So, he main hypohesis, ha here is a relaionship beween changes of balance shee iems changes and changes of sock fuure oupu, has been esed. In order o es he hypohesis, we used a mulivariable regression and he following equaion: y=b0+bn1x1+ b2x2+b3*3+b4*4+b5*5+b6*6. The resuls, according o regression model (muliple) sepwise, are presened in Table 1. 58
6 Table 1. The Regression Model (Muliple) Sepwise Of Tesing Of Hypoheses Sock Curren Shor erm Long-erm Ne operaional fuure ou Variable asses liabiliy liabiliy asses pu Shareholder equiy Fixed asse Sock fuure oupu by meaningful Level Curren asse by Curren liabiliies by Long erm liabiliies by meaning full level Ne operaional asses by Share holders salary by Fixed asses by In he firs model, fixed asses changes are regarded as independen variables, while in he second model, we use changes of shareholders salary and, also, changes of fixed asses changes. So, hese wo models, as shown in he able, are invesigaed o show how much he dependan variable saes he independen variable. In he firs model, R- square= 63%, and in he second model, R-square=-75%. As a resul, regarding he increase a he second model, i is clear ha his model is beer able o sae he relaionship beween changes of balance shee iems and changes of sock fuure oupu (resuls shown in Table 2). 59
7 Table 2.The Resuls According o Regression Model Model R R square Adjused R square S.D Durbin- Wason A he ANOVA able, models are esed from he view of mean level F. Since he mean level F is less han 5%, here is a linear relaionship beween changes of sock fuure oupu and he independen variable. The resuls are presened in Table 3. Table 3. Variance Analysis Table (ANOVA) Second Model square Regression 3.95 D.F 1 Second square average F es Sig. 1 residual Regression residual In he coefficien Table B, models are esed for he B amoun. Since he second model is regarded in his research, he coefficiens B0 are invesigaed in he invesigaion; regarding he mean level T concerning B0, since is level is 5%, he amoun of B in he model is no regarded as cross coefficien from offse. The resuls are shown in Table 4. Table 4. Coefficiens Table model None-sandardized Recessional coefficiens Sandardized Recessional coefficiens B S.D bea T Sig. 1 fixed value Fixed asses 2 fixed value Fixed asses Shareholders equiy Finally, he following model is concluded as case model. Y=0.005 x1= x 2 60
8 Conclusion and Remarks The research resuls show ha here is no meaningful relaionship beween changes of curren asses and changes of sock fuure oupu. Perhaps one of he reasons is ha invesors have less consideraion in his iem o inves in he fiscal lis. Also, hey have much focus on profi and is conen pars. So, i has no effec on sock oupu. In his paper, i is deermined ha here is a meaningful relaionship beween fixed asses and sock fuure oupu. One also shows ha his relaionship is direc. I means ha by increasing he fixed asses changes, sock fuure oupu increases. One reason can be he fac ha changes of fixed asses and increasing amoun of i means ha he company aims o increase is aciviy and producion by applying hese asses. Anoher resul of his paper is ha here is no meaningful relaionship beween curren liabiliies and sock fuure oupu. I suggess ha financial analyss have no regarded his indicaor o evaluae he sock. In his paper, he relaionship beween long-erm liabiliies changes and sock fuure oupu is invesigaed. Finally i is deermines ha here is no meaningful relaionship beween long-erm liabiliies and sock fuure oupu. The resuls of his paper show ha here is no meaningful relaionship beween changes of shareholders' equiy and fuure sock oupu. This relaionship is reversed. Wha is deermined is ha company financial asses can be provided hrough aking loans, issuing sock, and curren operaions. There is a relaionship beween changes of fixed asses and shareholders' equiy as balance shee iems and sock fuure oupu; however, as deermined by above model, his relaionship is weak and suggess ha balance shee iems change because one of he financial liss has a lile informaion conen and canno be applied o predic sock oupu of he lised companies on he Tehran Sock Exchange. References Chen, S., DeFond, M., Park, C. (2002). Volunary disclosure of balance shee informaion in quarerly earnings announcemens. Journal of Accouning and Economics 33, Fairfield, P., Whisenan, S., Yohn, T. (2003). Accrued earnings and growh: Implicaions for fuure profiabiliy and marke mispricing. The Accouning Review, 78, Haw, I., Hu, B., Hwang, L., Wu, W. (2004). Ulimae ownership, income managemen and legal and exra-legal insiuions. Journal of Accouning Research, 42, Hirshleifer, D., Hou K., Teoh S., & Zhang Y. (2004). Do invesors overvalue firms wih bloaed balance shees? Journal of Accouning and Economics, December, Ohlson, J. A., & Penman, S. H. (1992). Disaggregaed accouning daa as explanaory variables for reurns. Journal of Accouning, Audiing & Finance, 7(4), Rayburn, J. (1986). The associaion of operaing cash flow and accruals wih securiy reurns. Journal of Accouning Research, 24(3), Richardson, M., Tuna, I., & Wysocki, P. (2010). Accouning anomalies and fundamenal analysis: A review of recen research advance. Journal of Accouning and Economics, 50, Sloan, R., (1996). Do sock prices fully reflec informaion in accruals and cash flows abou fuure earnings? The Accouning Review, 71,
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