آزمون توانایی نیروی حرکت و شکاف ارزش افزودۀ اقتصادی و معیارهای سنتی ارزیابی عملکرد در پیش‏بینی بازده سهام

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 استاد مدیریت بازرگانی‌ـ مالی و حسابداری، دانشگاه آزاد اسلامی، واحد علوم و تحقیقات، تهران، ایران

2 دانشجوی دکتری مدیریت مالی، دانشکدۀ مدیریت و حسابداری، دانشگاه علامه طباطبائی (ره)، تهران، ایران

3 دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی، واحد علوم و تحقیقات، تهران، ایران

چکیده

این مقاله قصد دارد آثار بازده دارایی‏ها، ارزش افزودۀ اقتصادی، شکاف و نیروی حرکت آن ‏را بر بازده سهام شرکت‏های پذیرفته‏شده در بورس اوراق بهادار تهران طی سال‏های 1388 تا 1392 بررسی کند. شکاف و نیروی حرکت ارزش افزودۀ اقتصادی، معیارهای نسبتاً جدید ارزیابی عملکرد شرکت هستند که هر دو بر پایۀ مفهوم ارزش افزودۀ اقتصادی تدوین و معرفی شده‏اند. در مقابل، ارزش افزودۀ اقتصادی و بازده دارایی‏ها به‏عنوان روش‏های سنتی و متداول ارزیابی عملکرد شرکت تلقی می‌شوند. یافته‏های پژوهش‏های پیشین نشان‌دهندۀ برتری دو معیار شکاف و نیروی حرکت ارزش افزودۀ اقتصادی بر روش‏های سنتی ارزیابی عملکرد شرکت است. در این پژوهش، برای آزمون فرضیه‏ها از مدل رگرسیون خطی چندگانه استفاده شده است. نتایج پژوهش حاضر نشان می‏دهد تأثیر سه متغیر بازده دارایی‏ها، شکاف و نیروی حرکت ارزش افزودۀ اقتصادی بر بازده سهام شایان توجه و از نظر آماری معنا‏دار است. متغیرهای بازده دارایی‏ها و شکاف ارزش افزودۀ اقتصادی رابطۀ مثبت و معنا‏داری با بازده سهام دارند، اما مشاهده می‏شود که رابطۀ نیروی حرکت ارزش افزودۀ اقتصادی و بازده سهام، منفی و معنا‏دار است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Examining the Ability of EVA Momentum, EVA Spread and Conventional Performance Measures to Predict Stock Return

نویسندگان [English]

  • Fraydoon Rahnamay Roodposhti 1
  • Maysam Ahmadvand 2
  • Mohammad Javad Sadehvand 3
1 Prof., Faculty of Management and Economics, Islamic Azad University, Tehran, Iran
2 Ph.D. Candidate in Finance, Allameh Tabatabaei University, Tehran, Iran
3 Ph.D. Candidate in Finance, Islamic Azad University, Science and Research Branch, Tehran, Iran
چکیده [English]

Using data acquired from companies listed on Tehran stock exchange, during a five-year time period from 1388 to 1392, this study documents the impacts of economic value added (EVA), EVA spread, EVA momentum, and return on assets (ROA) on stock return as a measure of investors’ wealth creation. EVA spread and EVA momentum are new methods of firms’ performance measurement constructed on the basis of EVA. EVA and ROA are the traditional methods of performance measurement widely used currently. EVA spread and EVA momentum are argued to have better ability in explaining the variance of stock return compared to the two traditional methods. To test hypotheses, this study applies Multiple Linear Regression Model. The results indicate that EVA spread, EVA momentum, and ROA have significant effects on stock return, while the relationship between EVA and stock return is not significant. The regression coefficients of EVA spread and ROA are positive, but, it is found that the relationship between EVA momentum and stock return is negative.

کلیدواژه‌ها [English]

  • Economic Value Added (EVA)
  • EVA Momentum
  • Performance Evaluation
  • Stock Return
  • Tehran Stock Exchange
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