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این مقاله انگلیسی ISI در نشریه امرالد در 16 صفحه در سال 2022 منتشر شده و ترجمه آن 28 صفحه میباشد. کیفیت ترجمه این مقاله ویژه – طلایی ⭐️⭐️⭐️ بوده و به صورت کامل ترجمه شده است.

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فهرست مطالب:

چکیده
۱ مقدمه
۲ ساختار بازار و قیمت گذاری دارایی
۱ ۲ فرضیات و ایده ها
۲ ۲ یکپارچگی کامل
۳ ۲ یکپارچگی جزیی
۳ هزینه اختلاف سرمایه
۴ نتیجه گیری

بخشی از ترجمه:

ما به دو شیوه اصلی به بررسی منابع علمی مالی می پردازیم. نخست مدل تئوریکی قیمت گذاری دارایی و سرمایه (CAPM) برای ارزش گذاری دارایی ها در ساختار های بازاری مختلف را ارائه می دهیم.سپس این مدل را برای تجزیه تحلیل این که آیا بازارهای تقسیم شده با استفاده از CAPM محلی یا جهانی دارای خطای معناداری در براورد ارزش سرمایه برای یک نمونه شرکت از کشورهای توسعه یافته و در حال توسعه می باشند یا نه استفاده می کنیم.

۱ مقدمه

در سال های اخیر،هم بازارهای توسعه یافته و هم نوظهورتغییرات قابل ملاحظه ای را از جمله رفع موانه سرمایه گذاری،اصلاحات اقتصادی،وارد کردن سرمایه و اعتبار علاوه بر دیگر ابتکارات مالی را تجربه کرده اند. یکی از اهداف مهم این تغییرات توسعه بازارهای بورس یکپارچه است که می تواند هزینه های سرمایه گذاری را پایین آورده، باعث افزایش پس انداز رشد با تقسیم ریسک بین الملل خواهد شد(کاریری و همکاران ۲۰۰۷،استالز۱۹۹۹).همین دوره موسوم به توالی بحران های شدید با منشاء ها و اثرات مختلف بوده است: بحران اسیایی ۱۹۹۷-۱۹۹۸،رکود اقتصادی ایالات متحده در سال ۲۰۰۱،و بحران جهانی ۲۰۰۷-۲۰۰۹. این تغییرات بازارهای ملی را دستخوش عوامل ریسک جهانی و نیز درجه تلفیق آن ها به بازار جهانی قرار داد. با این حال ، از آن جا که بازارهای ملی امروزه نه به طور کامل یکپارچه و نه کاملا جز به جز محسوب می شوند(آروری و همکاران۲۰۱۲،بکارت و هاروزی۱۹۹۵،کاریری و همکاران ۲۰۰۷).بررسی اثرات این تغییرات یکپارچه سازی بر روی اثرات متقابل ریسک-سرمایه و ارزش سرمایه گذاری شرکت های مالی به منظور اتخاد تصمیمات منطقی و بودجه بندی بسیار حیاتی است.در این مقاله، مدل قیمت گذاری دارایی سرمایه بین المللی را برای بازارهای بورس غیر یکپارچه ارائه داده و از ان برای ارزیابی خطاهای قیمت گذاری ناشی از سرمایه گذرانی که از از مدل های قیمت گذاری جهانی و یا ملی برای ارزش گذاری ی محاسبه هزینه های سرمایه گذاری شرکت های مالی تحت فرضیه تفکیک جزیی استفاده می کنند بهره خواهیم برد.

بخشی از مقاله انگلیسی:

1. Introduction In recent years, both developed and emerging capital markets have experienced numerous changes including removal of investment barriers, economic reforms, introduction of country funds and depository receipts (DRs) as well as other financial innovations. One of the aims of these changes is to develop financially integrated stock markets which should lead to a lower cost of capital, greater investment opportunities, and higher savings and growth made possible by international risk sharing (Carrieri et al., 2007; Stulz, 1999). The same period has known a succession of severe crises of different origins and effects: the 1997–1998 Asian crisis, the 2001 US recession, the 2007–2009 global crisis. These changes have increased the exposure of national markets to global risk factors as well as their degree of integration into the world market. However, since today’s national markets are neither perfectly integrated nor strictly segmented markets (Arouri et al., 2012; Bekaert and Harvey, 1995; Carrieri et al., 2007). Investigating the effects of these integrating changes on the international risk-return trade-off and cost of capital of firms is crucial for rational decision-making and capital budgeting. In this paper, we present an international capital asset pricing model (CAPM) for partially segmented stock markets and use it to assess, under the hypothesis of partial segmentation, the pricing errors made by investors who use domestic or global asset pricing models to price assets and compute the cost of capital of firms. Our model permits to investigate the consequences of changes in the degree of stock market integration on the cost of capital of firms and the prices of assets under different market structures. If capital markets are fully integrated, investors face common and country-specific risks, but price only common risk factors because country-specific risk is fully diversified internationally. In this case, the same asset pricing relationship (the global model) applies in all countries and expected returns should be determined solely by global risk factors. In contrast, when capital markets are strictly segmented the asset pricing relationship (the domestic model) varies from one country to another and domestic risk factors determine expected returns. In other words, given their exposure to systematic global risk, assets traded in different locations will yield different expected returns (Karolyi and Stulz, 2002). When capital markets are partially segmented, investors face both common and country-specific risks and price them both. In this case, expected returns should be determined by a combination of local and global risk sources. Thus, the degree of integration determines the value of the risk premium expected on different assets and thus the prices of asset as well as the cost of capital of firms. Stock market integration dynamic is affected by both institutional and behavioral factors. First, financial integration is a result of economic, institutional, legal and political factors. In particular, integration depends on Economic Modelling 31 (2013) 664–671 ⁎ Corresponding author. E-mail addresses: Mohamed.Arouri@udamail.fr (M. El Hedi Arouri), chrault@hotmail.com (C. Rault), anamariasova@yahoo.fr (A. Sova), robertsova@yahoo.com (R. Sova), f.teulon@ipag.fr (F. Teulon). 0264-9993/$ – see front matter © 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.econmod.2013.01.004 Contents lists available at SciVerse ScienceDirect Economic Modelling journal homepage: www.elsevier.com/locate/ecmod the harmonization of stock exchange rules and the ability of foreign investors to access domestic assets as well as the ability of domestic investors to access foreign investment opportunities. In fact, access to worldwide investment opportunities, through direct means and homemade diversification, increases the exposure of domestic assets to global factor and therefore improves the national stock market integration level. However, we should mention that although regional and international harmonization of exchange trading rules encourages greater investor activity, it often allows flexibility in the implementation of clauses and therefore this partially harmonization could create partially integrated markets (Cumming et al., 2011). Second, behavioral factors such as risk aversion, relative optimism, and information perception may also affect the desire to invest abroad and thus market integration. Therefore, even in the absence of institutional barriers to international investments, indirect barriers can still discourage foreign investors and prevent world stock market integration. Thus, the process of stock market integration is complex, gradual and takes years, with occasional reversals and most domestic stock markets should be between the two theoretical extremes of strict segmentation (integration zero) and perfect integration (Bekaert and Harvey, 1995; Carrieri et al., 2007). Therefore, assessing the degree of market integration can appropriately be addressed only within the context of an international capital asset pricing model. In the recent decades, the finance literature has introduced new theoretical works in the field of risk-return trade-off and asset pricing in different market structures (Bell, 1995). Overall, one can classify the available models in two categories: theoretical domestic asset pricing models in which it is assumed that markets are strictly segmented (Ross, 1976; Sharpe, 1964 among others) and theoretical international asset pricing models in which it is assumed that markets are perfectly integrated (Adler and Dumas, 1983; Grauer et al., 1976; Solnik, 1974 among others). However, there are only few theoretical asset pricing models for partially segmented markets, the most known are those developed in the vein of Black (1974) and Errunza and Losq (1985) in which a specific investment barrier is generally introduced and its effects on the equilibrium returns are derived.1 For instance, Black (1974) presents a model of international asset pricing in the case of partially segmented markets. The author develops a two country-model in the presence of explicit barriers to international investment in the form of a tax on holdings of assets in one country by foreigners. This model was extended by Stulz (1981) and Cooper and Kaplanis (2000). The authors show that capital budgeting rules depend largely on the level of taxes that discourage the foreign investors from investing internationally. A more general two-country model is proposed by Errunza and Losq (1985) (EL-85 hereafter). This model enables to characterize the mild segmentation of domestic markets. However, some of its hypotheses are too restrictive. In fact, the authors assume that all domestic assets can be traded by all investors (both domestic and foreign investors), whereas foreign assets are not accessible to domestic investors because of restrictions imposed by the foreign government. EL-85 show that the foreign assets are priced according to the traditional global CAPM, but there is a super risk premium, proportional to the conditional market risk, for the restricted assets. Errunza and Losq (1989) (EL-89 hereafter) extend the EL-85 model to a multicounty framework. However, alike EL-85 the authors reduce segmentation factors to the only effects of capital flow restrictions and thus their model is again built on a simple explicit formalization of segmentation factors. More precisely, they distinguish between two types of securities: securities that can be traded by any investor in the world (the core of the market), and restricted securities (the periphery of the market constituted of N segments such that no investor can trade on more than one segment). No cross-investment between segments in the periphery is allowed and investors in the core are denied access to the periphery segments. Thus, segments (countries) in the periphery are assumed to be completely segmented. The authors establish that in a number of cases, their multi-country model leads to significantly different asset pricing relationships compared to the EL-85 two-country model. In particular, it allows analysis of integrative changes in the world market structure. Nevertheless, stock market integration is a complex and gradual process involving many different kinds of explicit and implicit barriers, and the models discussed above are clearly not flexible enough to investigate the complexities of the market integration. In the absence of an established theoretical model that specifies the continuous economic mechanism moving a market from segmentation to integration, Bekaert and Harvey (1995) propose a purely empirical model of time-varying market integration that allows for the relative importance of global and domestic information on stock returns to change over time. This model is simply an econometric combination of a domestic CAPM and an international one. The integration measure is modeled as a function of national and global variables. An alternative ad-hoc model is developed by Carrieri et al. (2007) who adopt a time-varying version of two-country EL-85 model. The results of the empirical tests confirm the findings of previous works and argue that developed markets are highly integrated in the world market while emerging markets have low integration degrees (Adler and Qi, 2003; Hardouvelis et al., 2006). The current paper aims to fill this gap by presenting a model in order to better understand the complex mechanisms that move a national stock market from segmentation to integration and to investigate the effects of this transformation on the cost of capital of firms and on the prices of assets. Instead of imposing restrictions on assets as in all previous models, we hypothesize that there are different types of investors and assume simply that some investors do not want and/or do not have access to foreign assets as a result of explicit and/or implicit barriers on inflows and/or outflows, barriers which may make markets partially segmented. Starting from that, we derive the equilibrium asset pricing relationship and investigate the effects of changing market structures on the prices of assets and the cost of capital of firms. The main theoretical implication of our model is that if investors do not hold all international assets, the world market portfolio is not efficient and the traditional global CAPM must be augmented by a new factor which reflects the proportion of the domestic risk undiversifiable internationally because of segmentation. The more integrated the markets, the greater the decrease in the premium required on this additional risk factor, and the lower the cost of capital. If markets are perfectly integrated, our model converges to the traditional global CAPM.

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فهرست مطالب:

چکیده
۱مقدمه
۲ ادبیات تحقیق و فرضیه ها
۲ ۱اهمیت ارزش
۲ ۲اهمیت ارزش درآمد های حسابداری و ارزش سرمایه
۳ ۲ ضریب پاسخ درآمد
۴ ۲ ضریب پاسخ درآمد و ارزش ضریب پاسخ سرمایه خالص
۵ ۲ ارزیابی اهمیت ارزش در بازار ناکارامد
۶ ۲ فرضیه
۱ ۶ ۲ ضریب واکنش درآمد و ارزش ضریب پاسخ درآمد
۲ ۶ ۲ تاثیر اریبی در حسابداری برای اهمیت ارزش درآمد های حسابداری و ارزش سهام
۳ روش
۱ ۳ متغیرهای پژوهشی و تعریف عملیاتی
۱ ۱ ۳ متغیر وابسته
۲ ۱ ۳ متغیرهای مستقل
۱ ۲ ۱ ۳ متغیرهای توجیهی
۲ ۲ ۱ ۳ متغیرهای شاهد
۲ ۳ روش های آنالیز
۱ ۲ ۳ آزمون فرضیه ۱
۲ ۲ ۳ آزمون فرضیه ۲
۴ نتایج
۱ ۴ جمع آوری داده
۲ ۴ نتایج تست فرضیه
۵ نتیجه گیری

بخشی از ترجمه:

هدف این مطالعه بررسی ارزش درآمد های حسابداری و ارزش سرمایه خالص در توجیه قیمت بورس و سهام است. این مطالعه نشان می دهد که آیا اریبی در حسابداری بر ضرایب مختلف درآمد و ارزش ضرایب سرمایه خالص تاثیر می گذارد یا نه؟ این مطالعه نشان می دهد که درآمد های حسابداری و ارزش سرمایه همبستگی مثبت با قیمت اوراق دارد. درآمد های حسابداری و ارزش سرمایه برای توجیه تغییرات قیمت سهام مفید است. نتایج همچنین نشان می دهد که ضریب پاسخ درآمد ها در شرکت هایی که دارای حسابداری محافظه کارانه یا لیبرال هستند مفید است.

۱ مقدمه

گزارشات مالی منتشر شده توسط یک شرکت یا نهاد بایستی به طور واقعی وضعیت شرکت را طوری که به سود عموم باشد تشریح کنند. اطلاعاتی که در خصوص اتخاذ تصمیم گیری مفید باشد بایستی اهمیت ارزش داشته باشند. یکی از شاخص های مناسبت و اهمیت اطلاعات حسابداری، واکنش سرمایه گذار در زمان اعلام اطلاعاتی است که می توان آنها مشاهده کرد. تاکید این پژوهش بر بررسی ضرایب مربوط به درآمد های حسابداری و اطلاعات مربوط به ارزش سرمایه است. ای ضرایب، ارزش بازاری سرماه و نیز قیمت اوراق را در پاسخ به اطلاعات مربوط به درآمد های حسابداری و ارزش سرمایه اندازه گیری می کند.
مطالعاتی که به بررسی ضریب پاشخ درآمدها(ERC) می پردازند نشان می دهند که ERC دارای مقطع عرضی متغیری می باشد. این تغییرات را می توا توسط چندین فاکتور نظیر ریسک، رشد، ثبات درآمد، و نرخ بهره توجیه کرد(برای مثال کولینز و کوتاری ۱۹۸۹،ایستون و میجوسکی ۱۹۸۹). مطالعات مربوط به تغییرات ضریب ارزش سرمایه به تست مجموع ضریب درآمد ها و ضریب ارزش می پردازند( بارت و همکاران ۱۹۹۸،برگستهالر و دیچف ۱۹۹۷، او و سپ ۲۰۰۲). این مطالعه سعی دارد تا به بررسی تاثیر اریبی در حسابداری بر ضریب پاسخ درآمدها و ضریب پاسخ ارزش سرمایه بپردازد.

بخشی از مقاله انگلیسی:

The objective of this study is to examine the value relevance of accounting earnings and book value of equity in explaining stock price. The study investigated whether bias in accounting influence earnings response coefficient and book value of equity coefficients. The study shows that accounting earnings and book value of equity are positively associated with stock price. Accounting earnings and book value of equity are useful to explain stock price changes. The results also shows that earnings response coefficient is smaller in the firms that have both conservative accounting or liberal accounting. Keywords: earnings response coefficients, book value response coefficients, and bias in accounting. 1. Introduction Financial statements that are published by an entity must actually disclose the condition of the entity, so that give benefit to public. Information that is useful for decision making should have value relevance. One of the indicator that an accounting information is relevant is there is a reaction of investor at the time of announcement of information that can be observed from the existence of move The focus of this research is the examination of the coefficients related to accounting earnings and equity book value information. This coefficients measure share price or equity market value response to an information which implied in accounting earnings and equity book value. Studies which examine earnings response coefficient (ERC) find that ERC vary by cross-section. The variation can be explained by some factors like risk, growth, earnings persistence, and interest rate (for example Collins and Kothari, 1989; Easton and Zmijewski, 1989). Studies concerning variation of equity book value coefficient also have started to get attention which is generally done with testing the combination of earnings coefficient and book value coefficient (Barth et al, 1998; Burgstahler and Dichev, 1997; and Ou and Sepe, 2002). This research tries to find whether bias in accounting influence earnings response coefficient and equity book value response coefficient. 2. Literature Review and Hypothesis 2.1. The Value Relevance In literature, an accounting numbers is said to have a value relevant if it has a predicted relationship with market value of equity (Amir et al, 1993; Beaver, 1998). For researchers, the purpose of testing the value relevance is expanding knowledge of the relevance and reliability of accounting numbers that are reflected in equity values. The value relevance is the empirical operationalization of the relevance and reliability criteria. An accounting numbers will be relevant, have significant relationship with stock price, if the accounting numbers reflect the information that relevant to investors in valuing a firm and are reliably measured to be reflected in stock prices (Barth et al, 2001) . Statistical association between accounting data and stock market value is used by Lev and Zarowin (1999) to assess the usefulness of financial information for investors. This association reflect the action of investors, while the other measure such as questionnaires or interviews, simply reflect investors opinions and beliefs. 2.2. The Value Relevance of Accounting Earnings and Book Value of Equity Various study have proved that accounting earnings relate to share price (Ball and Brown, 1968; Beaver, 1968; Beaver et al, 1979; Kormendi and Lipe, 1987; Lipe 1986; Collins and Kothari, 1989). Some studies also indicate that asset and liabilities relate to share price (Landsman, 1986; Amir, 1993; Francis and Schipper, 1999). The examination of value relevance of the combined of accounting earnings and book value of equity that is conducted by some researchers is motivated by result of the study of Ohlson (1995) and Feltham and Ohlson (1995, 1996). Ohlson’s study (1995) is used as theoretical base of the relation of book value of equity and earnings and share price. This study is relied on the following linear regression (price-levels): Pjt = D0 +D1Bjt + D2Ejt + Hjt where Pjt is share market price of firm j at time t, Bjt is book value of equity of firm j at time t and Ejt is earnings of firm j at time t. Ohlson (1995) have given understanding framework to interpret above mentioned regression coefficient estimation (α0, α1, α2). The examples of research which is affected by both study which use combined of earnings and book value are Barth et al. (1998), Burgstahler and Dichev (1997), Collins et al. (1997), Collins et al. (1999), Francis and Schipper (1999), Ely and Waymire (1999) and Ali and Hwang (2000). The finding of these studies indicate that book value and earnings represent factor which significantly influences share price. Zahroh Naimah / Procedia Economics and Finance 2 ( 2012 ) 145 – 156 147 2.3. Earnings Response Coefficient The researches that trying to identify and explain differences of market response to earnings information is called the research of earnings response coefficient (ERC). ERC represent coefficient measures abnormal response of security returns to unexpected accounting earnings of firms that issue security. Some results indicate that ERC vary by cross-sectional and intertemporal (Collins and Kothari, 1989; Easton and Zmijewski, 1989; Lipe, 1990; Dhaliwal et al, 1991; Lev and Thiagarajan, 1993; Dhaliwal and Reynolds, 1994; Billings, 1999). 2.4. Earnings Response Coefficient and Book Value of Equity Response Coefficient The development of next research direct to the examination that book value of equity also represent relevant factor in valuation (for example Ohlson, 1995; Feltham and Ohlson, 1995). Simple earning capitalization model is less adequately assessed. For loss companies, simple earning capitalization model will cause negative price-earning relation (Hayn, 1995). Including book value of equity into valuation model, will eliminate those negative relation (Collins et al., 1999). Some researchers that grouping observation become subsampel find that accounting number coefficient vary between subsamples (Francis and Schipper, 1999; Nwaeze, 1998; Basu, 1997). Research results also find certain condition which cause book value of equity becomes factor that more relevant than earnings or on the contrary, such monetary health (Barth et al, 1998) and firm profitability (Burgstahler and Dichev, 1997). 2.5. Assessment of Value Relevance in an Inefficient Market Examination of value relevance in this research is conducted by relating accounting variable which consists of accounting earnings and book value of equity and share price. This method relied on the assumption that market operate efficiently. The effect of market inefficiency in processing information to coefficient estimation in value relevance regression tested analytically by Aboody et al. ( 2002) by making corrective procedure of potential bias because of the inefficiency. Two assumptions constitute the adjustment. First, existence of market inefficiency resolution which is reflected in future price change. Second, conditional expected returns are determined by risk. The procedure is adapting the market returns of market share for risk of price change in the future. This procedure will result the value relevance coefficient estimation that able to catch the reaction of market in this time and also which delay. 2.6. Hypothesis 2.6.1. Earnings Response Coefficient and Book Value of Equity Response Coefficient Earlier studies (for example Ball and Brown 1968, Beaver 1968, Foster 1975 and Beaver et al. 1979), proved that accounting earnings relate to share price. The research findings support hypothesis that accounting earnings provide information and useful in valuation of securities. Otherwise, the role of book value cannot be disregarded because of book value also represents relevant factor in explaining equity value. Earnings and book value represent two measures that summarizing financial statement. Book value represents balance sheet measure or net asset that yielding earning, while earnings represent income statement measure that summarizing returns of those assets. Some researches indicate that market give appreciation to book 148 Zahroh Naimah / Procedia Economics and Finance 2 ( 2012 ) 145 – 156 value and earnings (for example Kothari and Zimmerman, 1995; Ohlson, 1995; Feltham and Ohlson, 1995). Burgstahler and Dichev (1997) have a notion that accounting system can provide information which is completing each other about book value and earnings. Book value resulting from balance sheet gives information about net value of firm resources. In addition, earnings resulting from income statement reflects result of the firm effort in powering its current resources. Simple earning capitalization model which do not rely on book value of equity as independent variable will yield earning coefficient which is bias negative for loss firm and bias positive for the firm obtaining profit (Collins et al, 1999). Book value of equity can eliminate bias resulted earning coefficient from simple earning capitalization model.

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