Assessment of The relation between systematic risk and debt to cash flow ratio

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1 Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : , Volume-0, Issue-04, Aprl 015 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao Moaba Mosaeran Guran, Akbar Amn Mehr Absrac The purpose of fnancal accounng daa and nsgh o asss decson-makng by her own organzaonal performance. Whle he am of he research s o evaluae he usefulness of accounng nformaon o nvesors and oher users of fnancal reporng accounng, whch s a grea source for nformaon abou he nvesmen ha s requred for any nvesmen decson. Cash flow nformaon o users of fnancal saemens o oban nformaon abou he use of fnancal resources durng a me perod. In parcular, f cash flow s he knd of nformaon ha ncludes deals of he operaons, nvesng, and fnancng acves gves. Fnancal saemens do no reflec accrual and cash flows of nformaon abou one of he maor weaknesses of he fnancal saemens of commmen. In such crcumsances, s assumed ha he lack of nformaon abou cash flows can be boh nernal and exernal decson-makers asray. Invesmen s essenal n he process of economc developmen of he counry. Facors nfluencng he choce of nvesmen, nvesmen rsk and reurn on nvesmen. Invesors are ryng o ensure he hghes reurn on nvesmen funds somewhere and have he lowes rsk. Therefore, companes should focus on prof besdes, he maxmum effcency and manage rsk as a lmng facor. Unlke reurn, rsk and non-quanave concep n mnd, herefore, more effors on economc and fnancal expers o denfy and measure rsk s concenraed. Index Terms Sysemc rsk, curren and non-curren lables, operang cash flow I. INTRODUCTION The mos mporan facor n he decson o purchase he shares s effecve and rsk-reurn performance compared wh oher nvesmen opporunes. Thus, nvesmens, rsk and reurn are key. The purpose of measurng rsk, enhance he ably o make beer decsons. I may be argued ha he dfference beween a company's sysemac rsks s due o dfferences n fnancal decson makng. So he queson s wheher here s a relaonshp beween sysemac rsk of equy and fnancal raos? In oher words, f he fnancal raos such as deb o cash flow rao, are able o explan he sysemac rsk? For managers, cash flows for each busness un s an mporan par of hs responsbly, accounably Manuscrp receved Aprl 17, 015 Moaba Mosaeran Guran, Deparmen of Accounng, Faculy of Humanes, Naafabad Branch, Islamc Azad Unversy, Naafabad, Isfahan, Iran Akbar Amn Mehr, Accounng deparmen, Tehran payam e noor unversy, Tehran, Iran / Accounng deparmen, Naafabad Azad Unversy, Naafabad, Iran and responsveness of he owners of capal accouns. So many managemen decsons, he consequences assocaed wh cash. On he oher hand, nvesors, credors, employees, cusomers and he ably of he eny o generae cash flows s becomng ncreasngly desrable o provde he resources ha are avalable o he eny, are concerned. Ceran fnancal raos and leverage raos of deb o help he sakeholders o evaluae he eny's fnancal srucure s. I s mporan o esablsh wheher he deb has no effec on cash flows of he busness and wll have hs respec do wh sysemc rsk. Relaon deb o cash flow rao s ofen used n fnancng large corporaons. Ths sudy examnes he relaonshp beween vehcle and pars manufacurng ndusry's focus from basc meals. The purpose of Jahankhan porfolo heory and asse prcng model sudy of nvesmen (CAPM) Appled research amed o examne he assocaon beween sysemc rsk n he fnancal raos o asss nvesors n corporae shares are prced correcly. [13] The research quesons o be answered are as follows: The relaonshp beween he rao of deb o cash flow and f here are hghly correlaed wh sysemac rsk, how much s?when wo peces of basc meals n he auomove and non-curren lables Curren and compare he behavor of he varables, how? Assumpons: 1. The rao of oal deb o cash flow s a sgnfcan correlaon wh sysemc rsk. 1.1 The rao of oal deb o cash flow o sysemc rsk auo pars ndusry, here s a sgnfcan relaonshp. 1. The rao of oal deb o cash flow o sysemc rsk n he basc meals ndusry, here s a sgnfcan relaonshp.. The rao of curren lables o cash flow s a sgnfcan correlaon wh sysemc rsk. The curren rao of deb o cash flow o sysemc rsk auo pars ndusry, here s a sgnfcan relaonshp.. The curren deb o cash flow rao of basc meals ndusry wh sysemc rsk, here s a sgnfcan relaonshp. 3. Non-Curren rao of deb o cash flow, here s a sgnfcan assocaon wh sysemc rsk. 3.1 Non-Curren deb o cash flow rao of sysemc rsk auo pars ndusry, here s a sgnfcan relaonshp. 3. Non-Curren deb o cash flow rao of basc meals ndusry wh sysemc rsk, here s a sgnfcan relaonshp. Place he desgn and physcal plannng The curren research n he feld of publc company lsed secures Fscher of Tehran. [8] And s daa usng Belkaou, he offcal webse of he Tehran Sock Exchange and CDs conanng fnancal nformaon lsed companes n Tehran Sock Exchange, has been gahered. [3] The subec 57

2 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao Ths paper examnes and ess he relaonshp beween he rao of deb o cash flow o sysemc rsk n frms lsed n Tehran sock exchange deals. Perod Research The research was 6 years snce 1386 o he year 1391 on frms lsed n Tehran Sock Exchange was. Rsk measuremen procedures One of he bes known mehods for measurng rsk, he varance or sandard devaon of he reurns-s expeced. The dsperson of reurns around he expeced value, as measured by he varance or sandard devaon hgher (wh all oher facors beng equal) dsrbuon represens more. Anoher way o measure rsk olerance s. In conras o mehods of measurng all he devaons from forecass are analyzed. Expeced raes of reurn If each possble oucome mulpled by he probably ha we have acheved ogeher and hen answer, hen we ge a weghed average of possble oucomes. Wegh, he mean probably weghed expeced reurn rae s he same. R P1 R1 P R... Pn R n n 1 P R Downsde Expeced rae of reurn for a porfolo s he weghed average of expeced raes of each nvesmen n he porfolo, Each wegh s: Each value n he value of nvesmens and he formula for calculang he expeced reurn for each porfolo are: E n por W ER 1 Varance (SD) performance of an nvesmen A sandard measure of he rae of reurn may be (R) he expeced raes of reurn (E (R)) and s calculaed as follows. Var SD n R ER 1 N R ER I 1 P. P Where: P s he probably of raes of reurn may. Varance (sandard devaon) of porfolo reurns Before sang he porfolo varance formula s he concep of covarance, and correlaon explaned. Covarance reurns A sandard measure of he varably of he varable used o calculae he average for each of hem over me. Porfolo analyss, usually due o covarance raes of reurn. No prce or oher varable. Posve covarance means ha he rae of reurn on nvesmen o move n one drecon han he average of each of hem durng a specfed perod, end. Negave covarance ndcaes ha he rae of reurn on her nvesmens end o average over a specfed nerval of me o change drecon. Covarance value, he varance of reurns for each seres of Secures and depends on he relaonshp beween he seres converges. Covarance raes of reurn of asse, s defned as follows. Cov, E R E R R E R If he rae of reurn on a share of he average rae of reurn on he share over a gven perod s hgher (lower) rae of reurn and oher share n he same perod, he hgher (lower) han he average rae of reurn s he resul of he devaon of he mean, s he posve, f hs happens repeaedly, he covarance of reurn of he shares allocaed o he large posve value. However, f he rae of reurn hgher han he average rae of reurn of he shares a he same me hs oher conrbuon rae of reurn s lower han he average rae of reurn wll be negave consequences. If you are consanly movng n he oppose drecon occurs, he covarance beween he raes of reurn on he share allocaed o he large negave value. Covarance and correlaon of sock reurns affec he varably of each of he wo seres agree. Covarance beween asse reurns may ndcae a posve correlaon (negave) s weak. If each of he wo seres s unsable and has hgh varably, or may represen a posve correlaon (negave) s srong, f he wo seres are sable reurns. If we change he erms of he covarance of he reurn seres, he sandard we have come n hs way. r, Cov, = Sandard In whch: R,= A correlaon of reurns, devaon R, = Sandard devaon R. Covarance of reurns by he sandard devaon, correlaon coeffcen (3) whch can only be obaned n he range of (1 + and 1 -) o change. Value of +1 ndcaes a perfec posve lnear relaonshp wll. Ths means ha he movemen of he sock reurns wll be compleely lnear. The value -1 ndcaes a perfec negave lnear correlaon beween he wo seres s effcency. So ha f he rae of reurn on a sock's rae of reurn s hgher han average. Oher sock reurns as s value wll be less han he average rae of reurn. Formula for he sandard devaon of he porfolo Sandard devaon of he reurn on a porfolo of asses can be calculaed as a measure of porfolo rsk. The general formula for calculang he sandard devaon of Markowz porfolo por por n n n W W W Cov, In whch: = Sandard devaon of he porfolo, W = Sandard devaon of he porfolo, = The varance of he rae of reurn on asse, = The varance of he rae of Cov reurn on asse,, = Covarance beween he raes of reurn of asse and : Cov, r, Ths formula shows ha he sandard devaon of a porfolo of asses and funcon of he weghed average of her varances (whose wegh s a power of ), plus he covarance beween all asses n he porfolo s weghed. The sandard devaon of a porfolo of asses ncludes no only he varance of reurns of each asse s he covarance beween he wo asses are o be ncluded. Effcen Froner 58

3 Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : , Volume-0, Issue-04, Aprl 015 Porfolos ha maxmze reurn on a gven level of rsk or he rsk ha a gven level of performance s caused. Fgure 1 shows ha he porfolo s he mos effcen border reurns wh mnmal rsk wh a rae of reurn equal o or lower han oher porfolos ha are effcen border s he. Fgure 1: Effcen froner for dfferen porfolo Invesors on he bass of her uly funcon and he rsk of reachng a pon on he effcen froner. Any porfolo on he effcen froner han oher porfolos on he border, s superor. All hese porfolos have dfferen reurn and rsk, knowng he rsk, he expeced reurn rae also ncreases. Capal Marke Theory To esablsh a scenfc heory, s necessary o adop a se of assumpons hs work heorss o develop a heory ha explans wheher on how some of he world's surface wll respond o changes n he envronmen, focus. Frs, should he assumpons underlyng he heory of capal markes, and hen observes he fundamenal assumpons of who hey are, echnques for combnng he nvesmen porfolo n order o acheve he opmal porfolo wll be creaed o examne he. Assumpons of Capal Marke Theory Snce he heory of Karunarahne porfolo model based on he assumpons of he model porfolos n addon o he assumpons descrbed below are esablshed. [37] 1. All nvesors, nvesors Karunarahne model s defned as work ha wans o acheve he opmal pon on he effcen froner. Locaed on he pon of he effcen froner curve o selec a specfc porfolo rsk and reurn of he nvesor's uly depends.. Invesors can any amoun of money you wan o borrow or lend a he rsk-free rae of reurn. 3. All nvesors have he same expecaons. In oher words, hey have he same probably dsrbuon o esmae fuure raes of reurn. 4. all nvesors, nvesmen horzon s dencal (eg, 1 monh, 6 years, 1 year,...) Are. Ths wll requre a dfferen me horzon nvesors are rsk measures and rsk-free asses n accordance wh her nvesmen horzons of her choce. 5. all nvesmens, here are nfnely dvsble. Buy and sell curves ha are par of he asses or porfolos. 6. any ax and ransfer fee on sales of asses here. In oher words, he ransacon coss are ofen fnancal nsrumens s very small, less han 1%. 7. There s no nflaon or changes n neres raes or ha are que predcable. 8. The capal markes are n equlbrum. Ths means ha all nvesmens srcly accordng o her rsk level, prced. Developng Capal Marke Theory The maor facor ha makes up he porfolo heory, capal marke heory, he concep s he rsk-free asse. Marke porfolo Because he angen pon of he curve s he porfolo M, So he bes possble on-lne porfolo and locaed ha 's gong o be a person wans o borrow or lend a hand on he spo. Thus, he porfolo mus nclude all rsky asses f here s a rsk of an asse whn he porfolo s no, and does no have he funds o nves n, here s a demand for and herefore worhless asses. Because he marke s n equlbrum wh respec o all asses o marke value of he porfolo shares. Measure dversfcaon Prevously menoned all he CML porfolos ha are perfec posve correlaon, whch means ha he porfolo of CML wh he marke porfolo M (whch s full of varey) are a perfec correlaon. Ths mplcly suggess a measure of dversfcaon s perfec. To pu more clearly, whch s que dverse porfolo of asse correlaon coeffcen s +1, he marke porfolo s que logcal. For he full dversy of he sysemac elmnaon of all non-unque, one of he asses o be removed when all he non-sysemac rsk, sysemc rsk wll reman us say. Whch can no be elmnaed by dversfcaon. So a porfolo ha has a correlaon wh he marke porfolo s very dverse because ncludes sysemc rsk. Dversfcaon and elmnae unsysemac rsk. The purpose of dversfcaon, reducng he sandard devaon of he porfolo. Wh regard o he assumpon ha he correlaon beween secures s ncomplee, so addng new secures n he porfolo, he porfolo reduces he average covarance. The mporan queson, wheher he number of secures o be ncluded n he porfolo has a dverse porfolo reached? To answer hese quesons, we mus ncrease he sze of he porfolo by addng he number of secures ha have a posve correlaon beween wha happens. Generally beween 5.0 and 6.0 s he correlaon beween secures Amerca (Rley 01). [4] A seres of sudes, he mean and sandard devaon of he porfolo ha s randomly seleced, dfferen szes o be examned and esed. For example, Evans and Archer, he sandard devaon of a porfolo of more han 0 conrbuon has been calculaed, he resuls showed ha he maxmum benef of dversfcaon s acheved, a he begnnng of dversfcaon s hen gradually reduced and rend fnds. To pu more clearly, 90% of he benefs of dversfcaon n a porfolo conssng of 1 o 18 shares acqured. [7] Mer Saman has he advanage of dversfyng he ransfer coss resulng from he addon of new shares under he conrac. The resuls showed ha he porfolo s well dversfed nvesor for a borrower mus be a leas 30 shares and 40 shares o an nvesor s he lender. [35] If he correlaon beween he number of new shares of sock n a porfolo, ncomplee, you can add new shares n he porfolo reduces he sandard devaon of he porfolo. The varably can no be elmnaed. The sandard devaon of a porfolo when he marke reaches he level of porfolo dversfcaon s complee and all he unsysemac rsk s elmnaed. Wh all of hese problems sll exs and can no marke rsk or sysemc rsk due o varably and lack of confdence n macroeconomc facors ha affec elmnae he all powerful asses. Sll, can be reduced. The dversy of he world, have lower levels of sysemc rsk. Because some of he sysemc rsk n a counry wh sysemc rsk n oher counres are uncorrelaed varables. As a resul, f he world 59

4 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao s dversfyng o reach he global sysemc rsk (Relly 014). [5] Leraure Research n hs feld can be dvded no caegores: The frs group of sudes on he relaonshp beween he ndependen varables were evaluaed wh he opc. Lke hese references [5], [10], [14], [1], [9], [30], [34]. Second caegory: sudes have nvesgaed several varables, such as he sudy of hese references [], [4], [9], [15], [17], [], [3], [5], [3], [33], [36]. Ball sudy he effec of capal srucure on he sysemac rsk of common sock enled o lnk he seres of fnancal problems (MM Capal Srucure Theory and Capal Asse Prcng Model) dd. The Capal Asse Prcng Model and he Theory of Capal Srucure MM loan of any amoun, assumng a fxed number of shares ncreases he nvesmen rsk or n oher words, he deb rao s hgher han he reurn on asses of s covarance wh he marke porfolo reurn s greaer Hamada her sudy, he purpose of several. [1] The frs one was an aemp by he mpac of fnancal leverage on sysemac rsk analyss of he lnkages beween fnance corporaons and esablsh a porfolo of secures. The second obecve MM red o es ha heory. The hrd obecve f he MM heory s vald for esmang he cos of capal a frm offer. Ball n he frs sudy o llusrae he heorecal relaonshp beween he heory of capal srucure MM n CAPM model used by he followng equaon and hen exrac he sysemac rsk of generalzed CAPM model. ( X I )(1 ) P G D C X earnngs before neres and axes, I neres and oher fxed coss over a perod of, ax rae, g P preferred sock dvdends, G changes n he company's growh rae, D ordnary Dvdends, C changes n he marke prce of g ordnary shares. Afer a heorecal sudy, Hamada o he concluson ha he sysemac rsk of he company ha s deb free deb s hgher han he average company. To prove hs heorem, 3004 praccal par of he New York Sock Exchange and wh he assumpon of he valdy of he heory of Modglan and Mlo adusmen and effcency of paymen. Thus, he rae of deb and preferred sock f he company does no have n s capal srucure wll be. [0] The dfferences observed beween sysemac rsk, 1 B and sysemac rsk-adused rae of reurn on he fnancal leverage rao s A. Hamada resul of praccal sudy companes were seleced by Modglan and Mller heorem s vald assumpon was ha beween 1 and 4% A and B s he resul of fnancal leverage. [11] If he covarance rae of reurn on asses, he varance s consan over me, he sysemac rsk of he marke hrough effcen capal asse prcng model s he expeced rae of reurn. Modglan and Mller's heory predcs ha he expeced reurn on shareholders of he company whou deb s a deb o. In oher words, E R B ) ( R ) o he above Sysemc rsk f he company s deb 1 B A ( A Sysemc rsk f he company has no deb nequaly s rue s ha Hamada A B sudes revealed self. [1] Ths means ha he samples used for he companes Modglan and Mller's predcons have been confrmed. Effecve conrbuon o he sudy of he relaonshp beween heory and porfolo heory makes fnancng corporaons. Breen sudy he relaonshp beween leverage and operaonal rsk was enled. A he begnnng of he heorecal rsk (general and sysemac) and a posve correlaon wh he varable coss of operang leverage s negave. To prove he hypohess ha operaonal rsk s drecly relaed o he operang lever, 3 ndusry homogeney of he produc (elecrcal, seel and ol) wll be seleced. [6] In he frs sage, varable coss and fxed he followng me-seres regresson obaned from each parcpan. TC a v Q u TC Toal operang expenses durng he h frm, Q Physcal produc -h frm n perod In he second sage, afer he company's esmae of he coeffcen of V usng he general marke rsk, (r) sandard devaon of monhly sock reurns of he Company for a perod of en years (1958 o 1968) and he sysemac rsk as calculaed ( ). The second sage of he ypes of rsk as dependen varables and varable coss n relaon o he followng cross-seconal regresson esmaed for each ndusry. ( r) 1 b1v 1 b v The resuls were all conssen wh he hypohess. The dependen varables nclude: he rae of reurn, sysemc rsk and he rsk of common sock. The perod of nvesgaon from 1176 o 1993 was a perod of 3 o 5 years (1981 o 1976) and (1987, 198) and (1993 o 1988) was dvded. Salm, Lnner, Markoqz and Macve usng mulple correlaon, he correlaon beween a se of fnancal and marke varables (rae of reurn - oal rsk and sysemac rsk) for each perod, were esed. [31], [16], [18], [19] The resuls showed ha he raos of fnancal marke varables here unsable relaonshp. In oher words, he relaonshp beween fnancal raos and marke varables ha change over me. Anoher par of he sudy, he fnancal raos of he weny-sx key rao decreased. 1. quck. The range of defensve measures 3. Deb o Capal 4. The reurn on equy (ROE) 5. The oal asse urnover 6. Cash Flow for Sale The resuls showed ha 3 of he 5 years beween 1976 and 1993, he fnancal raos and marke varables are sascally sgnfcan. Inernal nvesgaon Roll he effec of capal srucure (leverage) on a regular sysemac rsk acceped n he Tehran Sock Exchange. [6] 60

5 Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : , Volume-0, Issue-04, Aprl 015 In hs sudy, 6 companes lsed n Tehran Sock Exchange n 1368, and has enabled he exchange of neres paymens receved loans were seleced durng he perod (1368 o 137) were examned. The research hypoheses are: 1. The relaonshp beween capal srucure (fnancal leverage), he Company and he Company's common sock sysemac rsk n he Tehran Sock Exchange, here.. The observed dsrbuon of shares n companes leverage sysemac rsk, leverage s greaer han he non-sysemac rsk. The resuls show ha he average non-leveraged s smaller han he mean leverage. The use of leverage (deb) sysemac rsk n he sock marke goes up. The non-leveraged bea dsrbuon, he dsrbuon of Leverage he wo communes were compared usng analyss of varance. Accordng o fgures obaned from he sudy of non-leveraged socks are smaller han he sandard devaon (SD) sock lever n any ndusry. Roll n hs docoral dsseraon explores he "levers of operaonal, fnancal and sysemac rsk as he company's common sock lsed companes n Tehran Sock Exchange" paymen. The resuls show ha fnancal leverage effec on he level of sysemac rsk,.e. wh he ncrease n corporae deb, sysemac rsk s ncreased. If he operang lever on he rsk of sysemc effec. Company sze (he asse) has a sgnfcan effec on he amoun of rsk. In oher words, he sze of he company's asses ncreases, decreases sysemac rsk. Gven he above, he survey mehod s a correlaon. [7] The research ams o nvesgae he correlaon beween varables based on he analyss. Correlaon sudes can be dvded no hree caegores accordng o he purpose: 1. Correlaon beween varables: he correlaon of wo varables, he paper s o nvesgae he relaonshp beween he wo varables.. Regresson analyss: Ths analyss ams o predc changes n he dependen varable due o changes n one or more ndependen varables. 3. analyss of marx or covarance : In some sudes, he correlaon beween he wo ses of varables, correlaon or covarance marx able name s used. Correlaon or covarance marx n whch he research wll be he facor analyss and srucural equaon modelng. Ths analyss ams o oulne a se of daa or laen varables (consrucs) and he srucural equaon model, examne relaonshps, based on heores and research fndngs are avalable. Due o hs s possble beween he ndependen varables used n hs sudy (fnancal raos) are boh lnear. The followng mehodology was used: Companes n Tehran Sock Exchange wll be calculaed Cov( R, R m ) from. m Usng facor analyss, fnancal raos requred hey wll be chosen for use n regresson. Usng mulple regresson, correlaon beween and fnancal raos of companes n Tehran Sock Exchange (whch are denfed n sep ) wll be esed. The populaon, sample and samplng: The populaon of he desred number of elemens of whch have a leas one characersc. Characersc Tra ha s shared beween all elemens of he arge populaon and he arge populaon dsnc from oher communes. Secon of he communy sample sascs say. The oher example s he lmed number of sascs ha represen he people of he man feaures of he communy. In hs sudy, he populaon of frms n he auomove ndusry and componens of basc meals lsed n Tehran Sock Exchange wll be pared wh hese feaures: Up o he end of 86 years n Tehran Sock Exchange acceped. 87 o 91 years of s shares are connuously raded on he Tehran Sock Exchange. Ther fscal year end of March, he company s no nvesng. In respec of he above lmaons, 90 parcpaed n he sudy populaon, all of whch were seleced. Daa collecon Informaon requremens of he basc fnancal saemens, monhly and annual repors, announcemens of companes and organzaons have aken he Tehran Sock Exchange. Afer daa collecon mehod, he varables were calculaed usng Excel spreadshee sofware. In order o collec nformaon from secondary sources,.e. organzaonal documens publshed on CD company sock nformaon s exraced. Hypohess esng Some research ssues, especally hose ha arge predcons are combned o deermne he correlaon beween he creron and predcor varables, each of hese varables are correlaed o some exen, s of grea mporance. The mehod by whch he predcor varables are combned s called regresson. In hs mehod, a mulvarae regresson equaon o calculae he values measured by a formula summarzes he forecas. Coeffcens for each varable accordng o s mporance n predcng he creron varable was calculaed and deermned. The degree of correlaon beween he predcor varables and he creron varable n he regresson equaon, s gven by he coeffcen. Daa analyss To analyze he daa from he presen sudy we used confrmaory facor analyss o denfy general facors, usng mulple regresson analyzng he mpac of he denfed facors on he dependen varable sysemc rsk of common sock wll be revewed. The populaon conssed of wo ndusral companes lsed n Tehran Sock Exchange s referred o he fnancal saemens o dae s he end of March. The research for he fnancal year s beween 1387 o Varables Reurns: he rae of change wh respec o dvdends and sock prces rse and he effecs of share capal and earnngs are compued. Sysemac rsk ( ): Par of he rsk can be reduced by dversfyng s shares. Sandard measure of sysemac rsk, s close o he rae of reurn on a secures radng n all secures on he marke compared o he raes of reurn measured, calculaed by he followng equaon: accounng: he regresson coeffcen accounng profs of a company wh profs of sock marke prce ndex (marke rae). 61

6 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao Sock Prce Index Sock Tehran. Due o he volaly of marke reurns and cash reurns are compued. The general model for he sudy are: β = Deb/CF*α+x0 Sysemac Rsk, Deb/CFThe rao of deb o cash flow, x0 s he nercep. Measured varables Dependen varable: Varable ha descrbes he purpose of research or predc varably n. In oher words, he dependen varable, whch s a key varable n erms of he problem o be nvesgaed. The dependen varable n hs research s he sysemac rsk of common sock. sysemc rsk o he sock reurn and porfolo reurn rae depends. Reurn on equy: Facors nfluencng he rae of reurn on he sock are: 1) The prce of he sock a he begnnng of he perod, ) he sock prce a he end of he perod, 3) Cash dvdends per share, 4) Number of shares a he begnnng of he perod 5) Number of shares a end of perod 6) ncreased he number of shares, ncludng shares of sock and cash aken from he reserves or reaned earnngs. Thus he overall formula o calculae he rae of reurn on equy frms wll be examned: ( P Pn ) NC Ne P ( P P 1) ( D ) N N R P 1 In whch: R he prce of monhly sock reurns over he frs perod, P 1 he sock prce a he begnnng of each monh, P he sock prce a he end of each monh, Pn he nomnal value per share, D dvdends per share, NC an ncrease of he number of shares earned cash, N shares have rsen from he reserves or reaned earnngs, before he capal ncrease e N he number of shares I I R 1 m I1 R m Monhly rae of reurn on he marke porfolo, I 1 Tehran Sock Exchange sock prce ndex a he begnnng of each monh, I Tehran Sock Exchange sock prce ndex a he end of each monh Sysemac rsk eques : he followng formula s used o calculae he sysemc rsk. Cov( R, Rm ) ( Rm ) Sysemac rsk of common sock, R common sock reurns of companes, R he sysemac rsk of he marke m porfolo reurn rae companes surveyed n hs sudy s based on 5-year raes of reurn of (of 60 monhly) wll be calculaed. Independen varable: once you have seleced a propery ha nerfere or manpulaed by he researcher and he effec on he dependen varable values can be observed. The ndependen varable s he rao of deb o cash flow. Analyss of fndngs Descrpve sascs: basc meals and vehcle pars ndusry varables n Table (1) s provded. As seen n he basc meals ndusry average rao of oal deb o cash flow 3/880797, he curren deb o cash flow rao 3/706679, Non-Curren deb o cash flow rao 0/50506, he mean value of he auomoble ndusry and respecvely equal pars: 9/3468 and 8/ and 0/ ses. The basc meals ndusry as well as he maxmum and mnmum 3/ and 1/480,000 and he maxmum and mnmum varable ( ) auomove ndusry and he pars / and -1/480,000 Porfolo reurn rae: use he followng formula o calculae he rae of reurn on he marke porfolo wll be used. Sandard devaon The leas Table 1: descrpve sascs research The maxmum Mddle The mean Varable sascal quany 0 / / / / / /137 3 / / / / / / / / / BETA TDCF Basc meals ndusry 0 /5155-0/ / / /50506 LTCF 0 / / /90977 / / /463 - / / / / / / / / / / / / / / BETA TDCF LTCF Auomove and Pars The frs man hypohess esng and analyss The frs basc assumpon rgh now The rao of oal deb o cash flow s a sgnfcan correlaon wh sysemc rsk.the followng Expresson and sub-hypoheses and es resuls are assessed on he regresson model. 6

7 Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : , Volume-0, Issue-04, Aprl 015 The frs sub-hypohess es Accordng o he hypohess presened Sascal hypohess auomove ndusry and pars of speech are as follows. H0: Sysemac rsk s he rao of oal deb o cash flow wh vehcle and pars ndusry, here s no sgnfcan relaonshp. H1: The rao of oal deb o cash flow o sysemc rsk n he auomove pars There s a sgnfcan relaonshp. The frs sub-model regresson hypohess es resuls n Table () s provded. For a good revew of he Usually he crera deermnng facor (R ) Adused coeffcen of deermnaon (Ad. R ) And Wason camera (D-W) and The model was also used o sudy he F sascs. As Table (4-3) are observed The coeffcen of deermnaon (R = 0/7511)and Adused deermnaon coeffcen(ad. R =0/65161) s. Ths means ha he explanaory power of he model s desrable. Wason sasc camera s (146375/ = D-W) Ths means ha he frs-order auocorrelaon n he error componen model, does no exs. Fnally, he f( F=10/7031)sasc and s probably s equal o 0000/0. Snce he amoun s lkely o be less han sgnfcan level. The model was confrmed. Also, he coeffcen, suden es () and he sgnfcance level for he frs sub-hypohess, respecvely 00,4 / 0- and 559,891 / 1 and 116/0 are. Snce a sgnfcan amoun, more han 5%, hus: To reec a null hypohess ha here s no sgnfcan correlaon beween he rao of oal deb o cash flow and sysemc rsk s acceped. Table : The frs sub-hypohess es resuls of regresson models (Auomove and Pars) Sysemc rsk ( BETA) The resul Reecon / / ) 0/000001( Prob. 0 /116 T-sascs - 1/ Cameras Wason (D-W) F Sascs (Prob. F) Coeffcens - 0/004 0 / / Varable symbol TDCF Varable The rao of oal deb o cash flow The coeffcen of deermnaon (R ) Adused coeffcen of deermnaon (Ad. R ) The second sub-hypohess es H0 : The rao of oal deb o cash flow o sysemc rsk, here s no sgnfcan relaonshp beween he basc meals ndusry. H1 : The rao of oal deb o cash flow s a sgnfcan correlaon wh sysemc rsk basc meals ndusry. The resuls of he frs sub-hypohess esng regresson model Table (3) s provded. As you can see: The coeffcen of deermnaon s ( /0 = R ) Coeffcen of deermnaon adused s ( 33785/0 = Ad. R )s. Means ha he explanaory power of he model s a good level. Camera-Wason sasc s (143818/ = DW). Ths means ha he frs-order auocorrelaon n he error componen model does no exs. The F sascs s( 47601/3 = F ) I s also equal probably 0 / Snce he amoun s lkely o be less han sgnfcan level, hus confrmng he model s sgnfcan.accordng o he resuls of he ndex, sascs T suden() and he second sub-hypohess, respecvely are -0/001370and - 0/ and 0 / 098. Snce a sgnfcan amoun s, more han 5%.Thus, assumng a reecon of he null hypohess s ha here s no meanngful relaonshp. Table 3: The second sub-hypohess es resuls of regresson. Sysemc rsk (BETA) resul Reecon / /47601 ) 0/00000( Sascs Prob. 0 /098-0/61476 Wason camera (D-W) F Sascs (Prob. F) Coeffcens - 0/ / /33785 Varable symbol Varable Curren deb o cash flow rao The coeffcen of deermnaon (R ) Adused coeffcen of deermnaon (Ad. R ) The second sub-hypohess es H0 : The curren deb o cash flow rao of sysemc rsk n he basc meals ndusry, here s no sgnfcan relaonshp. H1 : The curren deb o cash flow rao of sysemc rsk n he basc meals ndusry, here s a sgnfcan relaonshp. The second sub-hypohess es resuls of a regresson model n Table (4) s provded. As you can see: The coeffcen of deermnaon s ( 0/73108 = R ) and Coeffcen of deermnaon adused s ( 0/66419=Ad. R ). Means ha he explanaory power of he model s desrable. 63

8 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao Camera-Wason sasc s (34579/=D-W). Ths means ha here s no auocorrelaon of he frs order error componen model. Fnally, he sasc F s (F=10/77956) And he probably s ha he 0000/0. Snce he amoun s lkely o be less han sgnfcan level, hus confrmng he model s sgnfcan. Accordng o resuls he coeffcen and Suden es () and The sgnfcance level for he second sub-hypohess Respecvely are - 0/ and - 4/ and 0 / Snce a sgnfcan amoun of surface area, less han 5%, so: To reec he null hypohess ha here s a negave relaonshp beween he meanng of he curren deb rao of cash flow o sysemc rsk s acceped. Table 4: The second sub-hypohess es resuls regresson model (basc meals ndusry) Sysemc rsk (BETA) resul Confrmaon / /77956 ) 0/0000( Prob. Sascs 0 /0000-4/ Cameras - Wason (D-W) F Sascs (Prob. F) Coeffcens - 0/ / /66419 Varable symbol Varable Curren deb o cash flow rao The coeffcen of deermnaon (R ) Adused coeffcen of deermnaon (Ad. R ) The hrd man hypohess esng and analyss Three man hypoheses: Non-Curren deb o cash flow rao here s sgnfcan correlaon wh sysemc rsk. The followng Regresson model and es her hypoheses and sub-expresson s evaluaed. The frs sub-hypohess es H 0 : The curren deb o cash flow rao of sysemc rsk n he basc meals ndusry, here s no sgnfcan relaonshp. H 1 : Beween he curren deb o cash flow rao of sysemc rsk n he basc meals ndusry, here s a sgnfcan relaonshp. The resuls of he second sub-hypohess esng regresson model (Table 5) are presened. As you can see: The coeffcen of deermnaon s( /0=R ) and Adused deermnaon coeffcen s (33500/0= Ad. R ). Means ha he explanaory power of he model s desrable. Camera-Wason sasc s (163186/=D-W).Ths means ha he frs-order auocorrelaon n he model error s. Value and F ( 50106/3 = F ) and s probably s equal o 0000/0. Snce he amoun s lkely o be less sgnfcan level, The verfcaon model s sgnfcan. Table (4-7) observed: Coeffcen and Suden es () A sgnfcan amoun for he frs sub-hypohess Respecvely equal o 00673/0- and /0- and 340/0. Snce a sgnfcan amoun, more han 5% Thus, assumng a reecon of he null hypohess ha here s no sgnfcan relaonshp beween he proporon of Non-Curren deb o cash flow o sysemc rsk n he auomove and pars wll be acceped. Table 5: The frs sub-hypohess es resuls of regresson models (Auomove and Pars) Sysemc rsk (BETA) resul Reecon / /50106 ) 0/0000( Prob. 0 /340 Sascs - 0/ Wason camera (D-W) F (Prob. F) Sascs Coeffcens - 0/ / /33500 Varable symbol Varable Non-curren deb o cash flow rao The coeffcen of deermnaon (R ) Adused coeffcen of deermnaon (Ad. R ) The second sub-hypohess es H 0: Beween Non-Curren debs o cash flow rao of sysemc rsk n he basc meals ndusry, here s no sgnfcan relaonshp. H 1: Non-Curren deb o cash flow rao of sysemc rsk n he basc meals ndusry, here s a sgnfcan relaonshp. The resuls of he second sub-hypohess esng regresson model n Table (6) s provded. As you can see: The coeffcen of deermnaon s ( 73108/0= R )and Adused coeffcen of deermnaon s (66419/0 = Ad. R ) Means The explanaory power of he model s desrable. Camera-Wason sasc s (34579/=D-W) and hs means ha here s no auocorrelaon of he frs order error componen model. Value and F ( 77956/10 = F ) And s probably s equal o 0000/0., Snce he amoun s lkely o be less han sgnfcan level, hus confrmng he model s sgnfcan. Table (6) s observed: 64

9 Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : , Volume-0, Issue-04, Aprl 015 Coeffcen, suden es () and he sgnfcance level for he frs sub-hypohess, respecvely /0- and /0- and 0000/0. Snce a sgnfcan amoun of surface area ha s less han 5% Therefore, he null hypohess s reeced based on he assumpon ha here s a sgnfcan negave correlaon beween he raos of deb o cash flow wh Non-Curren sysemc rsk n he basc meals ndusry acceped. Table 6: The second sub-hypohess es resuls regresson model (basc meals ndusry) Sysemc rsk (BETA) resul Confrmaon / /77956 ) 0/0000( Prob. Sascs 0 /0000-4/ Cameras Wason (D-W) F Sascs (Prob. F) Coeffcens - 0/ / /66419 Varable symbol Varable Non-curren deb o cash flow rao The coeffcen of deermnaon (R ) Adused coeffcen of deermnaon (Ad. R ) Concluson and summary of research: Gven he mporance of sysemc rsk and ha our counry has been pad o hs opc. Therefore, n he presen sudy was U The relaonshp beween sysemc rsk raos of deb o cash flow sng he conceps and heores of fnancal managemen and lbrary sudes Basc meals and auo pars ndusry n he Tehran Sock Exchange examned and aken accoun of. The sudy, enled "The relaonshp beween sysemc rsk raos of deb o cash flow" s se n fve seasons. The frs chaper, afer sang he mporance and urgency of he problem, here are hree man hypoheses and sx secondary hypohess was nroduced as follows: The frs man hypohess The rao of oal deb o cash flow, here was a sgnfcan correlaon wh sysemc rsk. The frs sub-hypohess: The rao of oal deb o cash flow o sysemc rsk n he auomove ndusry and here s a sgnfcan relaonshp beween he pars. The second sub-hypohess Sysemac rsk s he rao of oal deb o cash flow wh he basc meals ndusry, here s a sgnfcan relaonshp. Two man hypoheses: The curren rao of deb o cash flow s a sgnfcan correlaon wh sysemc rsk. The frs sub-hypohess The curren deb o cash flow rao of sysemc rsk n he auomove and pars, here s a sgnfcan relaonshp. The second sub-hypohess: The curren rao of deb o cash flow s a sgnfcan correlaon wh sysemc rsk basc meals ndusry. Three man hypoheses: The rao of non-curren deb o cash flow s a sgnfcan correlaon wh sysemc rsk. The frs sub-hypohess: Non-Curren deb o cash flow rao of sysemc rsk n he auomove ndusry and here s a sgnfcan relaonshp beween he pars. The second sub-hypohess Non-Curren deb o cash flow rao of sysemc rsk n he basc meals ndusry, here s a sgnfcan relaonshp. An overvew of he man fndngs of he second hypohess The resuls of he frs sub-hypohess: In he second par, he second man research hypoheses were esed.. For hs reason, he frs model was he frs sub-sudy amed o es he hypohess. The frs sub-hypohess saes he curren deb o cash flow rao of sysemc rsk n he auomove and componens, here s a sgnfcan relaonshp, he resul gves he oppose resul (no sub-prme hypohess). The resuls of he second sub-hypohess: The second model, he second sub-hypohess es. Sub-second research hypohess saes ha, he curren deb o cash flow rao mes he sysemc rsks of basc meals ndusry, here s a sgnfcan relaonshp, (Second sub-hypohess). Gven he negave coeffcen obaned )-0/006863(. We can say negave relaon (nverse) beween he wo varables, here s, namely he ncrease (decrease) n curren lables o cash flow, Decrease (ncrease) he basc meals ndusry sysemc rsk. An overvew of he man fndngs of he hrd hypohess The resuls of he frs sub-hypohess The hrd secon, he hrd research hypohess was esed for hs reason, he frs model was he frs sub-sudy amed o es he hypohess. Non-Curren deb o cash flow rao of sysemc rsk n he auomove ndusry and here s a sgnfcan relaonshp beween he pars. The resuls wll yeld he oppose concluson (no verfed frs sub-hypohess). 65

10 Assessmen of The relaon beween sysemac rsk and deb o cash flow rao The resuls of he second sub-hypohess The second model, he second sub-hypohess esng.. Sub-second research hypohess saes ha, Non-Curren deb o cash flow rao of basc meals ndusry here s a sysemc rsk (Second sub-hypohess). Gven he negave coeffcen obaned )-0/006863( We can say ha he relaonshp s negave (nverse) s esablshed beween he Pearson, Namely he ncrease (decrease) Non-Curren deb o cash flow rao, a decrease (ncrease) resul n sysemc rsk n he basc meals ndusry. The summary of he resuls s gven n able 7. Table 7: summary of he resuls Table (5-1). Summary of resuls Basc meals ndusry Auomove and Pars Dependen varable Rsk Sysemac Symbol Independen varable Confrma on Confrma on Confrma on Reecon Reecon Reecon CONCLUSION BETA The mos mporan facors ha nfluence decson makng for he purchase of shares Reurn and rsk n comparson wh oher nvesmen opporunes he rsk and reurn on nvesmen are key. The measuremen of rsk, ncreased ably o consder a beer decson. D nvesmen on he one hand leads o neffcen nvesmen and lead hose o producve secors of he economy On he oher hand, Due o he orenaon of nvesors (based on rsk and reurn) nvesmens wll be dreced owards ndusres who benef from a more or less rsk. Ths evenually led o he effcen allocaon of resources.. In hs sudy, he relaonshp beween he rao of deb o cash flow o sysemc rsk n he sock company of basc meals ndusry and car pars were nvesgaed. The resuls show ha he rao of deb o cash flow and sysemc rsk n he basc meals ndusry, here s a sgnfcan relaonshp. Bu n he auomove and componens resuls showed he oppose resul was obaned. In oher words, he rao of deb o cash flow and sysemc rsk n he ndusry, here s no sgnfcan relaonshp. REFERENCES [1] [1] Ball, R. & Brown, P An Empercal Evaluaon of Accounng Numbers. Journal of Accounng Reasearch, PP: [] [] Beaver, W., Keller P. & Scholes, M The Accounng Revew, PP: [3] [3] Belkaou, A Accounng Deermnans of Sysemac Rsk n Canadan Common Sock: A Mulvarae Approach. Accounng & Busness Research, PP: [4] [4] Benzon, U. & Shal, S. 00. Sze Leverage and Dvdend Record as Deermnans of Equy Rsk. The Journal of Fnance, PP: (TDCF) () (LTCF) The rao of oal deb o cash flow Curren deb o cash flow rao Non-curren deb o cash flow rao [5] [5] Bowman, G.R The Theorecal Relaonshp beween Sysemac Rsk and Fnancal (Accounng) Varables. The Journal of Fnance, PP: [6] [6] Breen, W.J & Lerner, E.M Corporae Fnancal Sraeges and Marke Measures of Rsk and Reurn. Journal of Fnance, PP: [7] [7] Evans, J. L. & Archer, S. H Dversfcaon and he Reducon of Dsperson: An Emprcal Analyss. Journal of Fnance, PP: [8] [8] Fscher, D.E. & Jordan, R.J Secury Analyss and Porfolo Managemen, 4 Edon. [9] [9] Frelman, M. & Savage, L. J The Uly Analyss of Choce Involvng Rsk. Journal of Polcal Economy, PP: [10] [10] Gonedes, N.J Evdence of Informaon Conen of Accounng Numbers: Accounng-Based and Marke Based Esmaed of Sysemac Rsk. Journal of Fnancal and Quanave Analyss, PP: [11] [11] Hamada, R., March 001. Porfolo Analyss, Marke Equlbrum and Corporaon Fnance. Journal of Fnance. [1] [1] Hamada, R. May The Effec of Frms Capal Srucure on he Sysemac Rsk of Common Socks. Journal of Fnance, PP: [13] [13] Jahankhan, A. & Morgan, L. Auuman 011. Commercal Bank Fnancal Polces and Ther Impac on Marke Deermned Measures of Rsk. Journal of Research, PP: [14] [14] Lev, B The Assocaon beween Operaonal Leverage and Rsk. Journal of Fnancal and Quanave Analyss, PP: [15] [15] Levy, H. & Sarna, S Porfolo and Invesmen Selecon. Hall, PP: 36. [16] [16] Lnner, J. December 000. Secury Prces, Rsk and Maxmal Gans from Dversfcaon. Journal of Fnance, PP: [17] [17] Markowz, H.,March 1985," Porfolo Selecon ", Journal Of Fnance, PP: [18] [18] Markoqz, H Porfolo Selecon-Effcen Dversfcaon of Invesmens. New Yourk: Wley & Sonns. [19] [19] Macve, R. 01. A concepual framework for fnancal accounng and reporng. New managemen. New York: Wley. 66

11 Inernaonal Journal of Engneerng Research And Managemen (IJERM) ISSN : , Volume-0, Issue-04, Aprl 015 [0] [0] Modglan, F. & Mller, M. June The Cos of Capal, Corporaon Fnance and he Theory of Invesmen. Amercan Economc Revew. [1] [1] Mosson, J Equlbrum n a Capal, Asse Marke. Economerca, PP: [] [] Penman, S.H Fnancal Saemen Analyss and Secury Valuaon, 1h Edon, Mc GrowHll. [3] [3] Relly, F.K. & Wrgh, D.J. Sprng 001. Comparson of Publshed Beas. Journal of Porfolo Managemen, PP: [4] [4] Relly, F.K. & Akhar, R.A. 01. The Benchmark Error Problem wh Global Capal Markes. Journal of Porfolo Managemen, PP: [5] [5] Relly, F.K. & Brown, K.C Invesmen Analyss and Porfolo Managemen, 6h Edon, Harcour Collage Publsher. [6] [6] Roll, R. March 003. A Crque of Asse Prcng Theores Tess. Journal of Fnancal Economcs, PP: [7] [7] Roll, R Ambguy When Performance Is Measured By he Secures Marke Lne. Jornal of Fnance, PP: [8] [8] Roll, R Performance Evaluaon and Benchmark Error II. Journal of Porfolo Managemen, PP: 17-. [9] [9] Ross, S The Arbrage Theory of Capal Asse Prcng. Journal of Economc Theory, PP: [30] [30] Ross, S Reurn and Arbrage n Rsk and Reurn n Fnance. Frend and Bcksler, PP: [31] [31] Salm, T., Vranen, I. Yl-oll, P. & Kallunk, J.P Assocaon beween Accounng and Marke-Based Varables. Paper Presened n Workshop Fnancal Saemen Analyss, Unversy Of Vaasa. [3] [3] Sharp, W.F Capal Asse Prces: A Theory of Marke Equlbrum under Condons of Rsk. Journal of Fnance, PP: [33] [33] Spro, P.S The Impac of Ineres Rae Changes on Sock Prce Volaly. Journal of Porfolo Managemen, PP: [34] [34] Saman, M. Wner 004," Beas Compared: Merrll Lynch vs. Value Lne. Journal of Porfolo Managemen, PP: [35] [35] Saman, M How Many Socks Make a Dversfed Porfolo?. Journal of Fnancal and Quanave Analyss, PP: [36] [36] Tobn, J Lqudy Performance as Behavor owards Rsk. Revew of Economc Sudes, PP: [37] [37] Karunarahne, W. V. & Raapakse, R. M The Value Relevance of Fnancal Saemens Informaon: wh Specal Reference o he Lsed Companes n Colombo Sock Exchange. ICBI Unversy of Kelanya, Sr Lanka. 67