دور ٤ ر ٥ ن ٦! %$ #ت '-٤٤ ر ر!"# $%&% '(") " 3* 2 1!"#!*+!867 * -. /" 0 12 *!.3( -45 +,"* &'( ) * *","* ) " 867 >? @ 7 <=(.( *." ;* *" * /7 9: /" *.( *." ;* *" * /7 9: 67 156 B7 &'( +. /7! 8J # 8/ B( HI(!".7" 1394 ( 1388 -. /" 0 8 O /# " P. /7 /K /LMN 2* )" +,"* " " )MQ8.* 12 *!.3( -45 "!*M3 <( (R?N.*!*M3 <=( 12 *!.3( -45 -. /" 0.*!*M3 <=( 12 *!.3( -45 -. /" 0 +,"* " 67 *!88" " ' * 12 *!.3(!8 * )MQ8. 0K " -. /" 0 " S 12.(R +?N " 12 *!.3( -45 -. /" 0 :.!,' 96/3/27 : ' * V *( 96/4/28 : ' 1 9: V *(!"# :YZ [M ffattahi2017@yahoo.com *.( STST 4R /O!*".1.( STST 4R /O!*" *.2.( STST 4R /O!*" 7*M7*6.3
1396 "( 15 /*7 4 /*!*"!8*" 24 /!" ]5 * _ ^'!]5!8 + 3( 3( Y * \ *!]5 /* ^ H \ +3( 7* " IM 8 # +3( 7* 6 (*_ " MM6 6 *!]5!8 *!*92 " H )!**?"!".7.7 -I *." ;* *"!8*" & T ( `. )!*" `R *!*# a M8!7*H2!"!.3( -45 Y "!.3( -45 8 O! 0''( 6 *.M # b " * *!c "I( *T " `6? M8!]5 ) M"!8!6*6 MR "). /7 /*7 67 a!.3( -45 d, *!]5 BR <=( N! 87 S5!8 ^8l: ) "M".(2013 *j8 H i2012 g62 Yf. /6 `8 67 )O:!82l "!.3( -45 0*c BjO(!" * 67 jr /."!" (!.3( -45 " YM6 +, "!.3( -45 " ".M6 * m4,_ " /"!.3( -45! " *!*" I!81* bn " 6 MM6 `8 * j )!81*! 9:o,3 M6 S!]5 35 1* O 6.M6 /K (R4T! 6 1n!" * 6 7 b (R4T # " p"!h!*" T &'( 0*_ *!.3( j * ".7 2 c * @(!2`]( -M8 8#* M7 rh!.3(!ms *.6 1*H2 * ( 8M H8 q5 8#*.(1384 s!?) 7" '?: * " /8 8M H8 * 6 H"t" 0RJ j -. /"! 9: ot!m.(2008 uv) 2 *5!8*" )'' ( *?!8Y /"! 9: 6 R ) " *92 ot -. /"! 9: 3, /"! 9: M( H *" *92 a *!*3 * -..*# *7 " -. *"! 9:w# H!2/!"!*H" * -.?:!* " ' *?Mj 6 '3 *92 rv_ 6 a * `. *3 MR "!8 )MQ8.M6 )x( *!(v" '( ) "M".M8!(`6 a *!* (*8 "!*I(!8 2 5 67 M8 *92 54R * (^" M8!(*8!* 6!*I(!8!81* "?" 7 tr" qj ).7 b!(wm!*92
25 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" *! ^86 ^ H b(*_ *_ v6 Y* *?=( \ ( M Kn MN) M!*8 " -5 81* y4. S 1* L( /* : (2009 *j8 0!R z!.3( -45 0L( )" 6 /* I ) " *j8 R*!.3( -45 6 0*SR ".* ' +,"* 67 8 -. /" ) 7 *N H 67 8 -. /" 7 L( *N!Rz.(1392 *j8 *!*92 a * ^ H tr" -. /"! 9: ^ H 6 ) " ( " 3, ) *.6 M7 * 7 ^ H ) tr" 6 R " 2 -. /"! 9: 12 *!.3( -45 )"!*M3 +,"* -R 0R +?N YT )MQ8 " <=( Z ) YS " /7 *" -. -45!88" 8 * )" 0K( g{. /7 *","* ) " 67. 2 *5 3, * -. /"! 9: " S 12 *!.3( 0% %1!MS /K Y3*T ".7 M7!.3(!MS "!*" B_!'!8? " /7 1*H2 (R H 7 0K w!.3( 5.7!80*_ *!.3( -45! a 1*H2 0R * *5 ) B? * 67 0R B_ ' M3.!'!*" ^n".m8 BjO( (!'!8 )" 0K()!.3( -45 * # 5 67 jr " * *!( ^" 8!* #!' ^n" w( "!.3(.(1387 /K,]) M H8 6 " 12 * * L( MR " *!.3( -45 (1996) )MQ8 MR " * -. (# /" "!.3( -45 *M3 KM +,"* 6 } 3( y4.. m,!*" 0" *!.3( -45!*IM." 8 `. 8.7" /" a *!*92!2`]( * `8K ) (`. * _? /" 7?!*.!*? _? +_ * 2 -.!K(: j B_ \M 5 L( B7 8" ) 6 # [* w] "< * L 0K!8/* * -. /" T.(1383!3 R*) T * -. 8" akm v H! 9:L( ) "M".* /8 " *?Mj
1396 "( 15 /*7 4 /*!*"!8*" 26 /8 a * " *!*92 -. (#!8/* /"! 9:L(. 8" MT ^ H a * ^86 YS " O8 *92 ) "M"..(1377 R*)!8c YR v" d, [M8 O (!.3( -45!v" " )j 6 7" 35!'!8Ĥ )"!8 I" v" d,.(1392 *j8 "5) 7 IM!(^"!*#"!8,? B_ /" " 8# MM6!2`](!*92!" 867 6 M8 6 M3 /M # "!*92 )??=( " 7 \M " *!*92 c * ".M ' 7." )j *6 w6 @ 7 * 0R4T " M8 d( 867 o3 "6 S_" " 6 )? & 3( " \M )2 (v" 0 6 M3 "!l( )."MMS" MM6 S_"!*!*92! " (( ) : ) (v" 0 H ) "M".7 S_!l( 1* ^ H " IM.(2016 *j8 o*r) *,"* ((^") (`6!*92 * 67 (^" (S_ M H2) *c Y rv3 0 6 M8 /M # * MMS" M6 S_ M8 d( 8# 6 N.7 (p!*92 *!*92 )" KM +,"*!c 0" bn*n ) " ( ". (5K( N ( H(*7 i1994 a M: j Yf MR ") /6 M"^: * 0 " Yf MR ") /6 =( * M"^: ) 6 *T " H "I( 87 (2004.(2013 *j8 Q*" i2008 *H i2004 HM6 ".7 *" * 0!.3( -45 +,"* " Bj7 * " ^' " 0 KM < " 6 ) " MS (2008) *H!8 " ( }3x( 0 0*_ *!*92 " (^" B ( R " *!*92!.3( -45 12 * d,!(`6 KM ps(* 6 7 M"^: M6.7" 7 / "!867 * 0 0!.3( -45 KM ps(* jm R!" ',M Yv )MQ8 u.* 7" (}3J (vt 0R?N a " 867!" )j MS * #* ^ H " IM (^"! 9:o,3 6 8 O (2012) )" Sf +,"* a /MM6 =( 87 -.K ) " &", 7 8?!.3( -45 " 0 jm " ( ".7" 67 0R +?N YT!.3( -45 3ST z H!8_ (^"! 9:o,3 " IM )j (vt ( +?N a (^"
27 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" KM ps(* 6 8 O 8 2 " MS #* ^ H!" (^" (vt 0R +?N a " 867!" )j 0!.3( -45 )".(2016 *j8 o*r) 2 }3x( 7" (1* " vt 0R?N " 867!" 6 S_ 6 ) " ( "!" 0 " S!.3( -45 12 * 6 7 M"^:. (!5 (vt 0R?N a " 867-45? 12 *!H 8" 8 * # 6 7 *". *.M( 0 6 7 M"^:.? * (K 0 " S!.3( " ( "!.3( -45!* 8" j" *!.3( -45!*!8 * " KM <=( 3ST *," M( 8 O * )=(!*92 On" ( 88" jm!88" " ' *!.3( -45!8 * * *c Y ) ".7 / ^7: 0]( " p"!8: 6 M7" ( 0 " S!.3( -45!*! (.M( 88" " # <=( *92 <=(!.3( -45!8 * " "!*92!" -. *_?!'!8! " 88" 6 * # / *5 MS * *H Y +,"* ) *"!". /K!*92.`8 L( (2016) *j8 o*r &'( P " ( " 5'64234 bn b("! (!.3( -45 6 8 O!*" `R * S5 0''( i2010 *j8 i2003 *j8 ) M8 67!*?!*92 ) " /4R.(2013 *j8 M i2013 *j8 ) # i2011 *j8 )7" 0]( *cm " 35!8M H2 j * " * ]5 [ * &'( 0" ") M8 0!*92 KM +,"* [M8 O 7 &",(!*92.(2004 g2* ( H(*7 i1994 a M: j Yf MR 87 :*92 04 ( 0 /"" MR " ''( * (2016) 2 " 6 K(: + ' 0*_ " -. 0 /" *" " ":* -.!8*" 7 Y3z 0*_ " 6 K(: " /7 BjO( *92 04 ( *92 04 ( " 6 K(: 6 8 O ^8l: P.?:.7" >? @ 7 * (`6 a *." /"!* 7
1396 "( 15 /*7 4 /*!*"!8*" 28 /" jr!.3( -45" MR " ''( * (2011) *j8 :::!8 3!.3( -45 )" ps(* *" " "*? )=(!8 3 ( -. " 8K(: 6 8 O ^8l: P.M?: -. (# /" " *? )=( w6!() :!8/" *? )=(!8 3 v" `I v"!.3( -45 0*_ * 6 # 6 867 d, * 3,' 2* P )MQ8.MM6 8" M"^: ( *? )=(!8 3 12 *!.3( -45 *x.m6 : * (#!8,? ^' :!.3( -45 K6" MR " ''( * (2002) Q N a * 867 jr."!2/. * *!.3( -45 ^' "!.3( -45 *#" M"^: 0JK M!.3( -45 6 # B ".6 *" 7* M"^:!,? * ^ H "!.3( -45 K6 ) "M" (#!'!8 rv 6 MM6!2I )MN. * 8#." ^86!.3( -45 *' "!.3( -45 K6!"!*H" Bj7 " ( * 67 9:/8O!82l!" SM!8/M!.3( -45! 9:L( 6 7 no /l "."*6!.3( -45 K6 )" Sf +,"* r< M8!.3( -45 K6!8*3.*!* :!.3( -45 0R4T B6 *T " -. 5 #" MR " ''( * (1996) # 6?: qj ) *" " "M6 gj3m * (# * *!'!8 (# " ps(* *!'!8!.3( -45 0R4T B6 *T " -.!8 5 " (# *!* ** * 6 8 O ^8l: ) P 8 O * -.!85 Y8 ".* "!*!.3(!'!H 8 " S *T 0S<? ) /7 Sf( `5*!* " *92 2 6 M6 **!2 "!.3(!H * /7 /IM2 0R4T B6 j3 " *5 (M8 "!**.M *92 < (# " 6!*!'!.3( -45 <! ' B( " MR " ''( * (1394) *j8 ]"R 67 7* <=( *" " "867 v" 7* "!867 * -. /" "!*? " 67 90 BjO! *cm ) ". -. /"!*?!.3( -45 +,"* "!8Y T.( *." ;* *" * /7 9:!867 )" M o9 1* +,"* " 67 7* 6 *T " 6 8 O ^8l: P. 2 bn 1391-1384!*?!.3( -45 +,"* " <=( ) i*!<=( -. /"!*?!.3( -45
29 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *"!*?!.3( -45 (R4T! @' ) "M" i7 /8O -. /" Sf." ^ H 67 7* " Sf "!. * -. j <=(" MR " ''( * (1392) *j8 8 O ^8l: P. *5 *" * * "867!.3( -45!*921* 7!*921* * " *92! 867!*?!R!.3( -45 * -. 8 O P )MQ8. ( -45 )!* : * y* * *" "!*M3 <=( 7!*?!.3( -45 *!*921* "!*M3 <=(!..*!R!.3( -45 *!*921* z /"!7*H2 K6" MR " ''( * (1392) *j8 "5!7*H2 K6 6 8 O ^8l: P. *5 *" * * "-. o*3 " v ^8l: P )MQ8.* j3!<=( -. o*3 z /" " " /M # Y (R!' -8 -. v /"!8L `' <=( o*3 z /" " 67 [ j3 <=( H -. o*3 z /" ' "!*?!.3( -45 +,"*" MR " ''( * (1388) 5_.* -. 78 /7 9:!867 *!!8 *!*92 *6 -. /" (R 6 8 O ^8l: ) P. / *5 *" * * ".( *." ;* *" *!867 *!!8 *!*92!'!8 )"!*M3 +,"*!*!867 *? )=( )" )MQ8 * *H" Sf!.3( -45!*!8 * /" ) " /4R.* # -. /" " *H" Sf!.3( -45 (`6 867 " S MM6 1*H2!(^"!*?!.3( -45 6 867. *!*?!.3( -45 ^'" MR " ''( * (1384) *j8 n O ) P./6 *" * ".( *." ;* *" * /7 9:!867 * ". /7 YR 3, *!867 * 6 8 O ^8l: & T ^ H " -5 0R B_ ' / ^86 -M8 (*SR «. /6!*?!.3( -45 ^ H 5'64 (' 1*.7" S8 q 8!MS "!"*6 q o8!ms " &'( ) ' -5 &'( ) Yv q.7" 2MN 2* q &'( )
1396 "( 15 /*7 4 /*!*"!8*" 30!81* S6( 1* 0 YT " ( ". 792 ''( 3". /7 /K 8/ B(!"!*# 5'64 78 :.*!*M3 +,"* 12 *!.3( -45 " -. /" 0 )" :!*M3 <=( 12 *!.3( -45 -. /" 0 )" +,"* " ".* : 12 *!.3( -45 -. /" 0 )" +,"* " 67 0R?N YT.*!*M3 <=( : 0 " 12 *!.3(!88" " S 12 *!.3(!8 *.( -. /" ;%&9% ' : )MQ8.7" 1394 1388!8Y )" +_ &'( )!5 # c *!*# +3 7".( *." ;* *" &'( ) j!5.7".( *." ;* *" * /7 9:!867 +6 [*"* +6 )" 8 * 7" M8! 0*_ " &'( ) *!2 +6. * /6 o9 M7 * @ 7 a 8 6 867!867..7 bn # -I *cm " /5"!867./7 *" * &'( 5 T * 6 867 (1.7" 12/29 ".M 8# Y 6 867 (2 * /" 5 8#!80*_ * &'(!8L " p" 0R4T 6 67 (3.M7". 3 " YLO 8a"!2,!*92 ^n" * 6 867 (4
31 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" 5'64 => ' < *cm " (2008) *H Y *j( " &'( ) -I!" c *!8B( HI( * -. /" 0 * ^: Y 12 *!.3( -45 +,"* *" :7 *" 2* Y /l *T " /7 z# *c Capital Expenditures i,t+1 = α+β 1 Expected Industry Volatility i,t +β 2 Log (MV Assets) i,t +β 3 Market-to-Book Equity i,t +β 4 Leverage i,t +β 5 Cash Flow from Operations i,t +β 6 Recession Indicator i,t +1 +β 7 Interest Rate i,t+1 +ε i,t+1 ( 1) +,"* " 3M_ * *c * 0 (2008 *H Yf MR ") S5 0''( " &", 1!8L " ( " H 2* Y ).7 *#" t Y * *2 Y " 6 *T S 67 [ M YM6!8L S.M6!: (2008) *H Y M6 3J <=( t Y : *!'!8!8-8! 1* " *" 1*!2/ t+1 Y * 6!]5 46 L /K "!*92 Y *!]5 )" +,"*!" # ) MR "./." 6* [*?7 M(*SR 7 ^: Y * 12 *!.3( -45 * ^: Y!.3( -45 *c * 0 *j8 o*r) 7 " L MR "!8M H8 ) H (1) +,"* * * :(2016 Working Capital Accruals i;t+1 = α+β 1 Expected Industry Volatility i,t + β 2 Log(MV Assets) i,t + β 3 Market-to-Book Equity i,t + β 4 Leverage i,t + β 5 Cash Flow from Operations i,t + β 6 Recession Indicator i,t +1 +β 7 Interest Rate i,t+1 +ε i,t+1 ( 2) +,"* (R 12 * * 7* MR "!.3( -45 12 * >? *T " (1996) ^8l: " &", /*!" B6!8 * " `'( * ^: Y.7!2/ (2003) *j8 Y 67 -. /" *c * 0!.3( -45 +,"* *"!" :7 /K (2) (1) 0v3 "O 2* Working Capital Accruals i;t+1 = α+β 1 Expected Volatility i,t +β 2 Log(MV Assets) i,t +β 3 Market-to-Book Equity i,t +β 4 Leverage i,t +β 5 Cash Flow from Operations i,t +β 6 Recession Indicator i,t +1 + β 7 Interest Rate i,t+1 +ε i,t+1 ( 3) +,"* 1. GARCH
1396 "( 15 /*7 4 /*!*"!8*" 32 ^n" a *c * ^n" a B7 c * "!8L 6 7 ( " *cm )8 "." M8? /8 /cm z!j'( " Y " 6 M8 /cm z *.`M6 J /cm z!j'( [M MR " * -. /" (3) (2) 0v3 " :7" m7 ","* I Working Capital Accruals i;t+1 = α+β 1 Expected Volatility i,t + β 2 Log(MV Assets) i,t + β 3 Market-to-Book Equity i,t + β 4 Leverage i,t +β 5 Cash Flow from Operations i,t + β 6 Returne i,t+1 + β 7 Recession Indicator i,t +1 +β 8 Interest Rate i,t+1 + ε i,t+1 ( 4) +,"* " ps(* "?7 L 6 J " (4) +,"* - +J *"!" (4) +,"* - +J # * * )MQ8." S." *c * -. /" 0 1.7 '( 0R +?N *c * -. /" )" ps(* 0R +?N L " * MR " (1994) N &'( * # } 3( M &'( ) * 67 0R?N YT. /7 2 c * 67 0R?N YT 2PM:!M"S(*?7 * 6 867 M7!"!*92 " MS bn*n ( " ( " /7 m4_ Y ( "!.3( -45 "!*92 Y ( MM6 * M* 2B( M"^: " 6 867 M7!" /2 jr M3 H * + HI( + " /cm z *c *!.3( -45.7 ' MM6!.3( Y w(( " /5" 1* S 1* " * ^: Y!.3( -45 12 " 0?N ^' " (4) +,"* >? *T ".7 S!*92 " MS?7 /" M(*SR YM6!8L.7 *#" *c * 0 " 8# B3( 2* +,"* B_ I. "< Y * 8# 0< 6 /."!]5 6* : Working Capital Accruals i;t+1 = α+β 1 Expected Volatility i;t +β 2 Expected Volatility i;t x Distress i;t +β 3 Expected Volatility i;t x OpCycle i;t +β 4 Distress i;t +β 5 OpCycle i;t +β 6 Log (MV Assets) i;t +β 7 Market-to-Book Equity i;t +β 8 Leverage i;t +β 9 Cash Flow from Operations i;t +ε i;t+1 ( 5) +,"* *? L( 6!.3( -45 12 * Working Capital Accruals!* * +!!.3( -45 +!.3( M *!8b)) (R 12 * B6!8 * " `'( ((!.3(!* 8" +!.3( M?:!8b) - (!.3( 1. OpCycle
33 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" Y : * -. *c * 0 Expected Volatility.7 /* Y.7" Y : * 3M_ -. *c * 0 Expected Industry Volatility -R /7 B 3( ) # " ( "!I L a 6 " Distress ) " (( 6 &'( " ( " /7 B 3(*j.7 *" " B6 / 7S ) 0/94 + (8 * B6 / 12 * ) 0/159 :7 S Y / -. *" 1*) 0/04 + (8 * B6 / 0 /." BS5 ) 0/804 + (8 * +?N Operating Cycle.(8 * B6 / 1) 0/016 + (88" B6! 1* + ((360/ 1) / M *!8b )) :7 S Y ) " 6 (R ' OpCycle ((360/ *1!v6 [7-(!.")) / 8! )) 1* + -. * 1* ` * Log(MV Assets).7" (R +?N!M"S(*! 1* :7 S Y ) " 6-8 Leverage 7" 88"! Cash Flow from.8 * B6! 1* On" MR " 88" B6 g: (R ) :7 S Y ) " 6 (R ' / Operations -. v /" Returns./*!"!8 * B6 / (!.3( -45 - y4. 6 L Recession Indicator 7 S 8!8/" w6( " 867 ") K_ 0*_ ) z * a 7!]5 6* 6 8Y * 6!I.(2016 *j8 o*r) 7" /." Interest Rate. (!H6 a" *# 5'64 >8 &K( ".7 *" 1394-1388 [* T 67 156 " p"!8/ 5 ) *!8L K_(!8/*# 1 Y. /" /8O 1092 08O 3( B6 8/.8 O * 'K( Y * /K +?N + ) 6 8 O &'(!8SL K_( *# 6 P *" " 6 /" ) 6 qj ) 6 7" * 282 354 w(( " 67 (R )MQ8. rs "n *"!867 (R +?N ) 0*_ 6 6 /" * 256 298 w(( " M *!8b! 12 [* ) _* 59 "" 6-8 ).7" 0S, 0 vt Y_ [* *#. *" *!867 + *? * 8" (^" `. [M8O /"
1396 "( 15 /*7 4 /*!*"!8*" 34 /7 w6 /" " ) : 6 H 67!8 * /" v /" K_(.7" *" * /* * *92 2 0 " *" [* T 6 /" 8 L a H!]5 7* 6 6 B"5 /" Sf!H6 a" @( 4R 7* H Y 5 /" KM 7* ) Y *" * [* T!]5 3J " wm 6 v 7* ) M * [* T /." ) 0*_ " 6 8 O H /." K_( *#.* * Y * " (R' Y ) *. /" _* 17 rs '( *". /7 +, -$ 20133/11 58102 245/99 0/178 0/140 4/77 0/232 0/695 1/139 58/38 50/48 0/146 1/087 0/065 0/451 %&)* -22717/65-248939/80 31-0/398 1-2/019 0/07 4/36 12/50 11/000 13/00-0/126-1/883-0/093 0!" :1 %&'( 260924/26 247657/35 756/57 1/109 3/011 22/92 0/950 8/300 22/00 457/11 852/131 1/11 7/105 0/967 1/0000 %$ 7529/95 77730/5 282/00 0/119 0/133 2/305 0/610 5/94 17/00 221/00 120/00 0/10 1/421 0/039 1/0000 #$ 29818/09 61350/80 354/533 0/156 0/162 2/908 0/592 6/048 16/714 298/425 256/90 0/126 1/611 0/057 0/714 12 *!.3( -45 (R ' 67 (R +?N 3M_ /" 0 67 /" 0! 1* " *" 1* S -. S_ ;' -8 67 [ /."! 12 [* M *!8b 12 [* 8 * /" /7B 3( ) # Z v /"!]5 7* &'( P :9? *?/@ => 4 *5 # * ^8l:!8L : N ) ) # /K " &'( ) * * N!!8/ * * N im7s : &'(!8L 6 (*_ *.2
35 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" 6 8 O # P.7 8? b 6 2* BjO " tr" S6(!8/ : /7 * 2 Y * # ) P.M8 : 8L ( &+ 67 //0 12 3/$ :2 # 5#/ 12 4-9/424-33/142-13/889-29/995-6/386 14/153-39/031-36/845-15/598-2136/16-19/152-57/612 11/251 12 *!.3( -45 (R ' 67 (R +?N 3M_ /" 0 67 /" 0! 1* " *" 1* S -. S_ ;' -8 67 [! 12 [* M *!8b 12 [* 8 * /" v /" /7 B 3( ) # Z &'( P :9? *.M8 : _* 95 MT d, * &'(!8L 7 c4 6 *,8.6 *#" 8# " b 6 " * 8*: ( ) "M"?/@ 78 A&#; <'78 A&#;. /7 /K (4) +,"* Y +J *"!" # ) "M". /S *M3 _* 5!,? d, * 0/834 " "" f [*# ) * *). /j *!5 *T " * 8/* -( * S ˆR " "O N. /7 * 3 Y * # P 6 /7 /K S6(!8/! # d, (8/597) /# " F [*# ( " 3 Y * /8O B"5 P " ( " &'(! qi * _* 95 MT d, * 6 6 R ( () #!,?
1396 "( 15 /*7 4 /*!*"!8*" 36 /# " /7B 3( )3( w J " ( " )MQ8. **?" v"!*m3 YM6 B'!8L qi * 6 6 " ( _* 7 "" 6!" [*# *' " ( " )MQ8.M8 dj( * " L 0L( _* 7 &'( Y +S( S8? 6 6 R ( 1/62 "" 6 ( )"*.*!8/5" 7> 67 0/314 0/792 0/951 0/422 0/675 0/277 * (4) 7( #)9" 3/$ :3 " 4 8/315-1/006-6/155-0/263 0/061 0/802-4/611 0/419-1/086 () 0/078 0/069 1/62 8/597 =/ 1/492-0/139-0/161-2 0/004 3-0/023 0/097-0/031 S ˆR `. /" 0 67 [! " *" 1* -8 (R ' /." v /"!]5 6* F-statistic (P-Value) R- Squared Adjusted R- Squared Durbin Watson Stat. &'( P :9? * /" 0 L w J (4) +,"* )n( 3 Y * /# " d " ( " 1 9: B"5!,? d, * 6 6 R ( (0/314) #!,? d, (-0/139) -.!.3( -45 "!*M3 z KM <( -. /" 0 L _* 5.2 *5 =( * &'( Y +J M.* 12 * & ' '"78 A&#;. /7 /K (5) +,"* &'( - - +J #!" Y
37 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" # ) "M". /O *M3 _* 5!,? d, * 0/892 " "" o [*# ) * *). /j *!5 *T " * 8/* -( * S ˆR " "O N. /7 * 4 Y * # P 6 /7 /K S6(!8/! 1* # 7> 67 0/109 0/325 0/859 0/004 0/003 0/954 0/653 0/141 0/334 * (5) 7( #)9" 3/$ :4 " 9/476-1/604-0/223-0/151-2/855 2/965-5/848 0/057-0/448 1/470-0/965-7/288 () 9/794 0/122 0/110 1/668 =/ 1/709-0/551-0/056-0/312-2 0/001-0/152 4-0/041 7-0/240-0/035 S ˆR `. /" 0 " " *`. /" 0 (R?N +?N *`. /" 0 67 [! " *" 1* -8 (R ' v /" /." F-statistic (P-Value) R- Squared Adjusted R- Squared Durbin Watson Stat. &'( P :9? * d, (9/794) /# " F [*# ( " 4 Y * /8O B"5 P " ( " &'(! qi * _* 95 MT d, * 6 6 R ( () #!,? /# " /7 B 3( )3( w J " ( " )MQ8. **?" v"!*m3 YM6 B'!8L qi * 6 6 " ( _* 11 "" 6!" [*# *' " ( " )MQ8.M8 dj( * " L 0L( _* 11 rs '( &'( Y +S( S8? 6 6 R ( 1/668 "" 6 ( )"* /" 0 )" ps(* " " <=(. `6 *"!8/5" L w J 7 /8O 6 *,8 _* 5!,? d, * /" (-0/312) 12 *!.3( -45 " -..2 *5 =( * &'( - J M /S *M3
1396 "( 15 /*7 4 /*!*"!8*" 38 0 )" ps(* " (R +?N <=( w J 8 O 4 Y P )MQ8 *M3 _* 5!,? d, * /" (0/001) 12 *!.3( -45 " -. /".2 *5 =( * &'( - +J M /" + 78 A&#;!.3(!8 *!" *Sj * (4) +,"* -v &'( -*.N J *"!" =( *cm " g{.7 /K 12 *!.3(!88"!" *Sj 12 * # + " *69 Y 8 * -. /" 0 w J -v -*.N +J * * j L w J '!" 6 " -v.7 ' `8 " : *j8 :) 7 /K : # * (K " L 6 Y :(1998!" 0/821 " "" 12 *!.3(!8 * +,"*!" f /*# _* 5!,? d, * 6 0/808 " "" 12 *!.3(!88" +,"* *T " * 8/* -( * S ˆR " "O N # ) "M". /S *M3 # P 6 /7 /K S6(!8/! # 8 * *). /j *!5. /7 * 6 5!8Y * 7> 67 0/003 0/211 0/793 0/002 0/315 * (4) 7( #)9" 3/$ :5 " 10/563-2/964-6/938 1/250-0/262 3/008-1/003-4/846-5/213 () 11/298 0/087 0/079 1/62 =/ 0/943-0/232-0/090 5-0/009 7-0/131-0/079-0/012 S ˆR `. /" 0 67 [! " *" 1* -8 (R ' v /"!]5 6* /." F-statistic (P-Value) R- Squared Adjusted R- Squared Durbin Watson Stat. &'( P :9? *
39 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" 7> 67 0/038 0/006 0/588 0/001 0/913 0/034 0/164 * (4) 7( #)9" 3/$ :6 " 4 6/975-2/362-6/312 2/735 0/540 3/206-0/108-2/120-1/390 () 5/409 0/043 0/035 1/845 =/ 0/288-0/028-0/036 9-0/007 4-0/005-0/014-0/001 S ˆR `. /" 0 67 [! " *" 1* -8 (R ' v /"!]5 6* /." F-statistic (P-Value) R- Squared Adjusted R- Squared Durbin Watson Stat. &'( P :9? * *!.3(!8 * " -. /" 0 7 /8O 6 *,8 )3( *cm " M. 0K 12 *!.3(!88" " S 12 /*# 6 " -v.7 /K : # " 0K( ) " *M3 # " 8,? * - ( qi *9 " w J 0K( `'( : * (K " L 6 Y * j L w J '!" # ).7 /K 0*_ ) z * =( J 7" _* 5 (`6 : [*#!*M3 d, 2. /7 * 7 Y * : # P.7 * J *$0 12 3/$ :7 7> 67 0/0181-2/403 &'( P :9? * MS -*.N J ) "M" /" _* 5 (`6 6 # [*#!,? d, " ( " " S 12 *!.3(!8 * " -. /" 0 0K( ".2 *5 =( * 12 *!88"
1396 "( 15 /*7 4 /*!*"!8*" 40 "234' ) B>% 22`]( \ }T "!*" 0R4T!*92< [ +M * &'( 28 (^"!O 0*J 0R4T ) ^' N." y* " 867 * \K! " M 0R4T + *!7*H2 o8 j.m6 a6 8#.".7" 8*SR!*92 " p" 0]( * 2M8*SR *92 2MM6M"^: 1* +, " 6!80*_ `. -45 j!*".7 b M 0R4T 2MM6 =( 1*!MS /K Y3 *T ".7 M7!.3(!MS "!*" B_!'!8Ĥ? " /7 1*H2 (R H 7 0K w!.3( 5.7!80*_ *!.3( -45! a 1*H2 0R * *5 ) B? * 67 0R B_ ' M3.!'!*" ^n".m8 BjO( (!'!8Ĥ )" 0K()!.3( -45 * # 5 67 jr " * *!(^" 8!* #!' ^n" w( "!.3(.(1387 /K,]) 1*H2 * /* 8 )3(!" *! *? "!.3(!*" 8 q5!m" "!c4 B"5 YM6 6 *T ".8!.3( -45 + " *?=( M8 L( * 8#* M7 M( H! ( * M H8-45.(1390 *j8.) MM6 YS * /? I & T M7.6 *" * -. /" 0 12 *!.3( -45 +,"* J &'( -45 "!*M3 z KM <( -. /" 0 L /# " P " *!.3( -45 )" +,"* " ".* 12 *!.3( 0R +?N "!867 *,"* ) *!<=( -. /" 0 12 " -. /" 0 )MQ8. **?"!(^"!*M3 (vt 0K 12 *!.3(!88" " S 12 *!.3(!8 * 12 *!.3(!88" " S 12 *!.3(!8 *.( -. /" 0 " S * M( 12 *!.3( -45 -. /" 0 Y ) " " P " \5 *.M # *6 "!80*_ 2MM6/K!8!2`]( # <=( 67 (R?N "!2`]( -M8 * M( *92 /#.M7" 7 ( -. /" 0 12 *!.3( -45 +,"* "
41 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" )" +,"* &'( ) *.7" (2016) *j8 o*r &'( "O &'( ) P!.3( -45 )" KM ps(*. *M3 KM -. /" 0!.3( -45 " 867!" (`6 " " 867!" *c * 0 12 * " ' *!.3(!*!8 * )MQ8 (" (vt 0R +?N.( 0 " S!.3(!*!88" ".O /" <=(!.3( -45!*IM." *" " 6 ''( * (2010) a( * +,"* -. /"!.3( -45 )" 6 * I ) " "?:!*IM." ) 2* Y " BS5!8/*.O /" L 6 * " )MQ8 * j3 ".O /" 0*SR ".* )" -. /"!.3( -45 )" KM +,"*. *92<=(!.3( -45!*IM." / ^86 -M8 6 * I ) "? &'( * (1384) *j8 n O!*?!.3( -45 ^ H & T ^ H " -5 0R B_ '. /6!* : *" "!Rz!.3( -45!* : MR " O8l: * (2004) ` ' ˆ " -. (# /"!.3( -45 KM +,"* 6 O!.3( -45!8_ /K " -5 @"* ) ) " 6 7 ) " IM *" * *6.M" 3KM " /6 Š"*# -45 [M8 BjO(!H w" 867 /" (2006) N 0''( P &", )" 2 *5 c4 B"5 <=( (!Rz!R!.3( -45 M3!.3( -. /"!R!.3( -45 )" `'!,"* -. /"!Rz!.3( -45. /7 * H!Rz /" " # +,"* * j3!,"* * M8 *5 <=( ( * &'( P 6 * 3 R &'( 8 * ) " &'( P K( `3(!" I *.M6!2!R @ 7 * 3!8M" (M 04 3( R "" H &'( ) *.2 c * * * 2 0*_ (4 3( 867 )" * 0K!*"!8 * " 1*H2 p7 ) *! 7 0 /" v" -*( *O6 * jm " ( " )MQ8..7" *92< J &'( P " (!]5 46 L a MR " BR *!8`]( 9?. 7 _( 2M8*SR *92 ". *!867 -. 1. )MQ8 *." ;* *" *!*92!* * M." 0R +?N <=( -. /" 0 12 *!.3( -45 )" +,"* " *"
1396 "( 15 /*7 4 /*!*"!8*" 42 )" KM +,"* vt (R +?N " 867 * 6 N M ( # " 867 " 6 M3 " ) 7 g B"5 /" 0 12 *!.3( -45 -. /" 0 12 *!.3( -45 KM +,"* ) " ( " * 67 0R 8 3 *!*92 a * ^ H (v"! 9: " 867 (vt O2" [* 7" (vt 67 0R +?N 6 * /8." ^ H 12 *!.3( -45 *!*92 a * I* 7" K6 Q8! BR <=( *" " 7 _( (# 0''(!" *!.3( -45 )" +,"* " )!*!.3( -45 [ j *?.7?: -. /" 0 12 C2!8Y + ') j7*!8y M"^: ( " *.(1393). 6.* ((.70-51 :(55)14 " ^. (/7B 3( -45!*921* " *. j <=(.(1392). /.Œ.!.63-44 :(1)1!*"!8 *". 867!.3( -5* ^' " 6=( " -. /" K6 )" ps(* *".(1384 ). s.1!?.60-37 :(40)12 "!*"!8*" +M]..( *." ;* *" *!.3(!8-jS7) RM] 18 /K " -. S *!*92 Y T.(1377).* R*. /jo.( /O :.(!6 :. (S]R /jo 0*O. a * M. S.( 1383 ).q!3.* R*. 0*O.( /O!*?!.3( -45 <! ' B(.(1394). n*:. N22.- ]"R 7!*" O8l: R M]. 867 v" 7* "!867 * -. /" ".78-56 :(28) /"!7*H2 K6.(1392).q. 78./!. z.b "5.60-45 :(17) 6 *." ;* B( ^ O8l: R M]. -. o*3 z * *!*? -45 ^'.(1384). 6.y....b n O.74-61 :42 "!*"!8*"..( *." ;* *" * /7 9:!867
43 12 * +!.3( -45 )" +,"* " 867 >? @ 7 <=( *" 1* )3( *! 1*!8*3 " p" " <.(1387).- /K,]? 7*M7*6 :..( *." ;* *" * /7 9:!867 * 67.*"O 4 # /O :!J* /cm z!.3( -45 )" +,"* *".(1390).- Œ4.q 68".y. 18 "!*"!8*"..( *." ;* *" *!*" *!*6c.133-128 :(62) -. /" (R ' "!*?!.3( -45 +,"*.(1388).- 5_ q 78..( *." ;* *" /7 9:!867 *!!8 *!*92 *6.17-1 :(2) 1!*" M] Arif, S., Marshal, N. and Lombardi Yohn, T. (2016). Understanding The Relation Between Accruals and Volatility: A Real Optins-basd Investment Apptoach. Journal of Accounting and Economics, 62 (1): 65-86. Allen, E., Larson, C. and Sloan, R. (2013). Accrual Reversals, Earnings and Stock Returns. Journal of Accounting and Ecconomics, 56 (1): 113-129. Badertscher, B., Shroff, N. and White, H. (2013). Externalities of Public Firm Presence: Evidence from Private Firms Investment Decisions. Journal of Accounting and Ecconomics, 109 (3): 682-706. Bond, S.R. and Cummins, J.G. (2004). Uncertainty and Investment: An Empirical Investigation Using Data on Analysts' Profits Forecasts. Working paper, Oxford University and Federal Reserve Board. Bushman, R., Smith, A. and Zhang, F. (2011). Investment Cash Flow Sensitivities Really Reflect Related Investment Decisions.Unpublished paper. Chan, K., Chan, L., Jegadeesh, N. and Lakonishok, J. (2006). Earnings Quality and Stock Returns. Journal of Business, 79 (3): 1041-1082. Cheni, M., Win, J., Suini, H. and Adabsh, S. (2009). Ownership Differences and Firm Income Smoothing Behavior. Journal of Business Finance and Accounting, 36 (1): 21-39. Dechow, P. (1994). Accounting Earnings and Cash Flows as Measures of Firm Performance: The Role of Accounting Accruals. Journal of Accounting and Ecconomics, 18(1): 3-42. Dechow, P.M. and Dichev, I. (2002). The Quality of Accruals & Earnings: the Role of Accrual Estimation Errors. The Accounting Review, 77 (1): 35-59. Eisdorfer, A. (2008). Empirical Evidence of Risk Shifting in Financially Distressed Firms. The Journal of Finance, 63 (2): 609-637.
1396 "( 15 /*7 4 /*!*"!8*" 44 Fairfield, P., Whisenant, S. and Yohn, T. (2003). Accrued Earnings and Growth: Implications for Future Earnings Performance and Market Mispricing. The Accounting Review, 78 (1): 353-371. Frugier, A. (2016). Returns, Volatility and Investor Sentiment: Evidence from European Stock Markets. Research in International Business and Finance, 38 (C): 45-55. Gerakos, J. (2012). Discussion of Detecting Earnings Management: A New Approach. Journal of Accounting Research, 50 (2): 335-347. Jones, J.J. (1991). Earnings Management during Import Relief Investigations. Journal of Accounting Research, 29 (2): 193-228. Lev, B. and Nissim, D. (2004). The Persistence of the Accruals Anomaly. Working Paper, ssrn.com. Long, V.T. (2008). Emperical Analysis of Stock Returns Volatility with Regime Change: The Case of Vietnam Stock Market. Working paper. Medeiros, Otavio R., de and Quinteiro, Luis Gustavo do Lago. (2007). Financial Disclosure and International Apital Mobility in Latin America. BAR-Brazilian Administration Review, 5 (2): 160-176. Momente, F., Reggiani, F. and Richardson, S. (2013). Inventory Growth and Future Performance: Can It Be Attributed to Risk? Working Paper. Owens, E., Wu, J. and Zimmerman, J. (2013). Business Model Shocks and Abnormal Accrual Models. Working paper. Papanastasopoulos, G., Thomakos, D. and Wang, T. (2011). Accruals and the Performance of Stock Returnes Following External Financing Activities. British Accounting Review, 43 (3): 214-229. Resutek, R.J. (2010). Intangible Returnes, Accruals and Returne Reversal: A Multiperiod Examination of the Accrual Anomaly. The Accounting Review, 85 (4): 1347-1374. Schwartz, E. and Trigeorgis, L. (2004). Real Options and Investment Uncertainty: Classical Readings and Recent Contributions. MIT Press, Cambridge, MA. Sloan, R.G. (1996). Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? The Accounting Review, 71 (3): 289-315. Wu, J., Zhang, L. and Zhang, X. (2010). The Q-theory Approach to Understanding the Accrual Anomaly. Journal of Accounting Research, 48 (1): 177-224.