قدرت پیش‌‌بینی‌‌کنندگی جریان نقد آتی توسط سود و جریان‌‌های نقدی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه حسابداری، دانشکدۀ علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران

2 استادیار، گروه حسابداری، دانشکدۀ علوم انسانی، دانشگاه زنجان، زنجان، ایران

3 کارشناس ارشد، گروه مدیریت مالی، موسسه آموزش عالی راغب اصفهانی، اصفهان، ایران

چکیده

هدف: هدف این پژوهش بررسی توان پیش‌‌بینی جریان‌‌های نقدی آتی توسط سودهای گذشته در مقایسه با جریان‌‌های نقدی گذشته است.
روش: نمونه‌ای متشکل از 69 شرکت طی سال‌های 1383 تا 1396 انتخاب و برای تجزیه ‌و تحلیل داده‌‌ها از مدل‌های رگرسیونی با استفاده از داده‌‌های مقطعی، تحلیل سری زمانی و روش مارکوف استفاده شد؛ همچنین در این پژوهش، از روش فرآیندهای تصادفی مارکوف برای پیش‌بینی جریان‌‌های نقدی آتی استفاده شد؛ به همین منظور ماتریس‌‌های احتمال انتقال تشکیل و پس از بررسی برقراری فروض پایۀ الگو، فرآیند انتقال تخمین و یافته‌‌ها استخراج شد.
نتایج: نتایج حاصل از پژوهش نشان می‌دهد در پیش‌‌بینی جریان‌‌های نقدی عملیاتی آتی، توان تبیین جریان‌‌های نقدی عملیاتی گذشته بیشتر از سودهای عملیاتی گذشته است. یافته‌‌ها در این روش نیز حاکی از برتری توان پیش‌‌بینی جریان‌‌های نقدی نسبت به سود و زیان عملیاتی است. سایر نتایج نشان داد اقلام تعهدی و نیز تفکیک آن با اجزای کوچک‌‌تر، هرچند به‌‌تنهایی توان پیش‌‌بینی‌‌کنندگی جریان نقد آتی را ندارد، با اضافه‌‌شدن به مدل‌هایی که از جریان‌‌های نقدی گذشته برای پیش‌‌بینی جریان نقد آتی استفاده می‌‌کنند، توان آنها را افزایش می‌‌دهد. در یک جمله، یافته‌ها حاکی از نقش برجسته‌تر صورت جریان‌‌های نقدی نسبت به صورت سود و زیان در پیش‌‌بینی‌‌کنندگی جریان‌های نقدی آتی است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The Predictive Power of Future Cash Flow by Earning and Cash Flow

نویسندگان [English]

  • Amin Hajiannejad 1
  • Seyed Rasoul Hosayni 2
  • Seyed Rasoul Danesh 3
1 Assistant Professor, Department of Accounting, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran
2 Assistant Professor, Department of Accounting, Faculty of Humanities, University of Zanjan, Zanjan, Iran
3 M. A. Department of Financial Management, Faculty of Management and Accounting Ragheb Isfahani Higher Education Institute, Isfahan, Iran
چکیده [English]

The purpose of this study is to investigate the ability of past earnings, compared to past cash flows, to predict future cash flows. A sample of 69 companies was selected, during the years 2004 to 2017, and regression models were applied to analyze the data, using cross-sectional data and time series analysis. Also, in this study, Markov random methods are used to predict future cash flows. For this purpose, transfer probability matrices were formed and after examining the basic assumptions of the model, the transfer process was estimated and the findings were extracted. The results of the study show that in predicting future operating cash flows, the ability to explain past operating cash flows has been greater than past operating profits. Findings in this method also indicate the superiority of the cash flow forecasting power over operating profit and loss. Other results show that although accruals, as well as their breakdown into smaller components, lack the predictive power of future cash flows, by adding models from past cash flows, they acquire the power of prediction. In short, the findings indicate the prominent role of cash flow, compared to profit and loss, in predicting future cash flows.

کلیدواژه‌ها [English]

  • Operating cash flow
  • Operating profit
  • Trend
  • Markov transfer matrix
References
Agana, J. A., Mireku, K. & Appiah, K. O. (2015). Comparative predictive abilities of earnings and operating cash flows on future cash flows: Mpirical evidence from Ghana. Accounting and Finance Research, 4(3), 40-45. http://dx.doi.org/10.5430/afr.v4n3p40.
Aghaei, M. A., Ahmadian, V. & Daviran, F. (2014a). Investigating the characteristics and ability to predict the time series of medium-term operational cash flows and its alternatives. Journal of Advanced Accounting, Shiraz University, 5(1), 1-32. http://dx.doi.org/102299/JAA.2013.1651. (in persian)
Aghaei, M. A., Sepasi, S. & Kazempour, M. (2014b). Analytical study of the effect of separation of operating cash flows and accruals on the ability to predict cash flows and future earnings. Financial Management Strategy, 2(4), 75-89. http://dx.doi.org/ 10.22051/JFM.2014.1809. (in persian)
Brandak, S., Pakmaram, A. & Alipour, S. (2019). Investigating the effect of operating cash flow on abnormal accruals of companies listed on the Tehran Stock Exchange with emphasis on the type of industry. Asset Management and Financing, 7(3), 12-99. http://dx.doi.org/ 10.22108/amf.2019.113447.1322. (in persian)
Barth, M. E., Clinch, G. & Israeli, D. (2016). What do accruals tell us about future cash flows? Review of Accounting Studies, 21(3), 768-807. 10.2139/ssrn.2572118.
Barth, M. E., Cram, D. P. & Nelson, K. K. (2001). Accruals and the prediction of future cash flows. The Accounting Review, 76(1), 27-58. http://dx.doi.org/ 10.2139/ssrn.194931.
Bowen, R. M., Burgstahler, D. & Daley, L. A. (1986). Evidence in relationship between earnings and various measures of cash flow. The Accounting Review, 61, 713-726.
Burgstahler, D., Jiambalvo, J. & Pyo, Y. (1998). The informativeness of cash flows for future cash flows. Working paper, University of Washington.
Bushman, R. M., Lerman, A. & Zhang, X. F. (2016). The changing landscape of accrual accounting. Journal of Accounting Research, 54(1), 41-78. http://dx.doi.org/ 10.1111/1475-679X.12100.
Chan, K., Louis, K., Chan, C., Jegadeesh, N. & Lakonishok, J. (2006). Earnings quality and stock return. Journal of Business, 79(3), 145-174. http://dx.doi.org/ 10.3386/w8308.
Charitou, A. & Clubb, C. (2000). The value relevance of earnings and cash flows: Empirical evidence for Japan. Journal of International Financial Management & Accounting, 11(1), 1-22. http://dx.doi.org/10.1111/1467-646X.00053.
Cheng, C. S. A., Liu, C. S. & Schaffer, T. F. (1996). Earnings permanence and the incremental information content of cash flows from operations. Journal of Accounting Research, 34(1), 173-181. https://doi.org/10.2307/2491338.
Dastgir, M. & Yousefi Gorti, V. (2014). Investigating the relationship between unrecognized profit or loss due to inflation, future cash flows and abnormal returns of companies listed on the Tehran Stock Exchange. Asset Management and Financing, 2(1), 75-100. (in persian)
Dawar, V. (2015). The relative predictive ability of earnings and cash flows. Management Research Review, 38(4), 367-380. https://doi.org/10.1108/MRR-06-2013-0156.
Dichev, I. D. & Tang, V. W. (2008). Matching and the changing properties of accounting earnings over the Last 40 years. The Accounting Review, 83(6), https://doi.org/10.2308/accr.2008.83.6.1425.
Du, K., Huddart, S., Xue, L. & Zhang, Y. (2020). Using a hidden Markov model to measure earnings quality. Journal of Accounting and Economics, 69(2-3), https://doi.org/101281. j.jacceco.2019.101281.
Efayena, O. (2015). The role of accrual accounting basis in the prediction of future cash flows: The Nigerian evidence. Research Journal of Finance and Accounting, 6(4), 248-252.
Finger, C. A. (1994). The ability of earnings to predict future earnings and cash flow. Journal of Accounting Research, 32(2), 210-223. https://doi.org/10.2307/2491282.
Gar K, M., Ghorbani, A. A. & Rezaei, P. Y. (2016). The relationship between net profit and cash metrics in predicting future cash flows. Journal of Experimental Cccounting Research, 4(4), 161-176. https://doi.org/10.22051/JERA.2015.627. (in persian)
Greenberg, R. R., Johnson, G. L. & Ramesh, K. (1986). Earnings versus cash flow as predictor of future cash flow measures. Journal of Accounting, Auditing and Finance, 1, 266-277. https://doi.org/10.1177/0148558X8600100402.
Hribar, P. & Collins, D. W. (2002). Errors in estimating accruals: Implications for empirical research. Journal of Accounting Research, 40(1), 105-134. https://doi.org/10.1111/1475-679X.00041.
Heydarpoor, F., Arabi, M. & Ghanad, M. (2017). Time effects of short, medium and long term in predicting future cash flows; The comparative study of profitability and operational cash flow. Journal of Financial Management Strategy, 4(4), 107-127. https://doi.org/10.22051/JFM.2017.9337.1077. (in persian)
Kim, M. & Kross, W. (2005). The ability of earnings to predict future operating cash flows has been increasing – not decreasing. Journal of Accounting Research, 43(5), 753-780. https://doi.org/10.1111/j.1475-679X.2005.00189.x.
Kwok, H. (2002). The effect of cash flow statement format on lenders’ decisions. The International Journal of Accounting, 37, 347-362. https://doi.org/10.1016/S0020-7063(02)00171-1.
Lee, T. A. (1985). Cash flow accounting, profit and performance measurement, response to challenge. Accounting and Business Research, (Spring). https://doi.org/10.1080/00014788.1985.9729252.
Lev, B., Li, S. & Sougiannis, T. (2010). The usefulness of accounting estimates for predicting cash flows and earnings. Review of Accounting Study, 15(4), 779-807. https://doi.org/10.1007/s11142-009-9107-6.
Lorek, K. S. & Willinger, G. L. (2009). New evidence pertaining of operating cash flows. Review of Quantitiative Finance and Accounting, 32, 10-15. https://doi.org/10.1007/s11156-007-0076-1.
McDonald, I. L. & Zucchini, W. (1997). Hidden markov and other models for discrete-valued time series. (Vol. 110). Washington, DC: CRC Press.
Mulford, C. W. & Comiskey, E. E. (2005). The financial mumbers game: Detecting creative accounting practices. Published simultaneously in Canada: John Wiley & Sons.
Nallareddy, S., Sethuraman, M. & Venkatachalam, M. (2018). Earnings or cash flows: Which is a better predictor of future cash flows? Available at SSRN 3054644. https://ssrn.com/abstract=3054644.
Poorfakhrian, P., Googerdchian, A. & Kakaei-Dehkordi, M. (2019). Ability to predict operational cash, net profit and profit components. Journal of Accounting Research, 28, 87-109. https://doi.org/ 10.22051/IJAR.2017.11074.1172. (in Persian)