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دانلود محصول:” استفاده از مدل سود باقی مانده به منظور تبیین دقیق تر رابطه بین رشد سود و بازده سهام”

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کارشناسی ارشد رشته حسابداری

 

 

استفاده از مدل سود باقی مانده به منظور تبیین دقیق تر رابطه بین رشد سود و بازده سهام

 

چکیده

   هدف اصلی این تحقیق استفاده از مدل سود باقی مانده به منظور تبیین دقیق تر رابطه بین رشد سود و بازده سهام می باشد. در راستای این هدف، تعداد 425 شرکت از بین جامعه آماری که اطلاعات مورد نیاز آن ها برای دوره 1391-1387 قابل دسترسی بود، مورد مطالعه قرار گرفت. به منظور آزمون فرضیه ها از تکنیک آماری رگرسیون خطی چند متغیره بهره گرفته شد. نتایج پژوهش بیانگر آن بوده که اجزای رشد سود بر بازده سهام و بازده آتی سهام در بورس اوراق بهادار تهران تأثیرگذاری معناداری داشته اند. اما مدل تفکیک رشد سود مبتنی بر سود باقی مانده دارای قدرت توضیح دهندگی بیشتری از مدل پایه ای سود و بازده سهام نیست.

کلید واژه ها: رشد سود، بازده سهام، مدل سود باقی مانده.

فهرست مطالب

عنوان                                                                                                 صفحه

فصل اول: مقدمه و کلیات طرح تحقیق

1-1-          مقدمه.. 2

1-2-              بیان مسئله.. 3

1-3-                                 ضرورت و اهمیت پژوهش.. 4

1-4-                  اهداف پژوهش.. 5

1-5-                        کاربردهای پژوهش.. 6

1-6-                        سوال های پژوهش.. 6

1-7-                         فرضیه های پژوهش.. 7

1-8-                                            جنبه جدید بودن و نوآوری پژوهش.. 8

1-9-                                                         تعريف مفهومی و عملیاتی متغیرهای پژوهش   8

1-10-                   ساختار پژوهش.. 10

فصل دوم: مبانی نظری و پیشینه تحقیق

2-1-………………………………………………………………………………………………………. مقدمه.. 13

2-2-                                            بخش نخست: مبانی نظری پژوهش.. 14

2-2-1-         سود نقدی سهام.. 14

2-2-2-                        مفهوم سود و کاربردهای آن.. 16

2-2-3-                                   سود حسابداری و نحوه ی محاسبه آن.. 17

2-2-4-                              سود اقتصادی و نحوه محاسبه آن.. 18

2-2-5-                                          مقایسه ی سود اقتصادی و سود حسابداری   20

2-2-6-            مفهوم سود تقسیمی.. 22

2-2-7-                تئوری‌های تقسیم سود.. 24

2-2-7-1-                 تئوری تقسیم سود باقیمانده.. 25

2-2-7-2-       تئوری علامت‌دهی.. 26

2-2-7-3-    تئوری نمایندگی.. 28

2-2-7-4-             فرضیه هزینه نمایندگی.. 29

2-2-7-5-                       فرضیه حداقل هزینه تقسیم سود.. 30

2-2-7-6-            فرضیه پاداش مدیریت.. 30

2-2-7-7-                     فرضیه‌های پیامدی و جانشینی.. 31

2-2-7-8-……………………………………………………………………………. تئوری بلوغ.. 32

2-2-7-9-  تئوری پذیرایی.. 33

2-2-8-                                                    عدم اطمینان جریان‌های نقدی و سیاست تقسیم سود   33

2-2-9-                                                                          نسبت سود انباشته به جمع حقوق صاحبان سهام و سیاست تقسیم سود   36

2-2-10-                                              فرصت‌های سرمایه‌گذاری و سیاست تقسیم سود   38

2-2-11-               سودآوری و تقسیم سود.. 41

2-2-12-                           مدل های پیش بینی سود هر سهم.. 42

2-2-12-1-                        روش پیش‏بینی هموارسازی نمائی.. 42

2-2-12-2-                               پیش‏بینی با استفاده از روش تحلیل روند   43

2-2-12-3-                                     پیش‏بینی با استفاده از روش باکس – جنکینز   44

2-2-12-4-                                    پیش‏بینی سود سهام با رویکرد شبکه عصبی   44

2-2-12-5-                 رویکرد ترکیبی در پیش‏بینی.. 45

2-2-12-6-                                                                                     ترکیب روش‏های پیش‏بینی فردی با استفاده از رویکرد شبکه‏های عصبی مصنوعی.. 46

2-2-12-7-                                                                       ترکیب مدل‏های پیش‏بینی فردی با استفاده از روش رگرسیون چندمتغیره   46

2-2-12-8-                       ترکیب روش‏های هموارسازی و ARIMA با یکدیگر   47

2-2-12-9-                               نتایج تحلیلی پژوهش و مقایسه کارایی نتایج مدل‏های ترکیبی با روش‏های فردی پیش‏بینی.. .. .. 48

2-2-13-                                    بازده سهام و عوامل موثر بر آن.. 49

2-2-14-         اهمیت بازده سهام.. 51

2-2-15-                                الگوهاي ارزش گذاري سهام.. 51

2-2-16-                       معيارهاي حداكثر شدن ثروت.. 54

2-2-17-         سود و بازده سهام.. 55

2-3-                          بخش دوم- پیشینه تحقیق.. 58

2-3-1-   پیشینه تحقیقات داخلی.. 58

2-3-2-   پیشینه تحقیقات خارجی.. 64

فصل سوم: روش شناسی تحقیق

3-1-………………………………………………………………………………………………………. مقدمه.. 68

3-2-                      روش شناسی پژوهش.. 68

3-3-                                                    فرضیه های پژوهش و مدل های مربوطه.. 69

3-4-                                                    متغیرهای پژوهش و نحوه محاسبه آن ها   70

3-5-              فرآیند پژوهش.. 72

3-6-                                          روش و ابزار گرد آوري اطلاعات.. 72

3-7-                                               جامعه، نمونه آماري و روش نمونه گیری   73

3-8-              قلمرو تحقيق.. 74

3-9-                      ماهیت و منابع داده ها.. 74

3-10-                                                  روش‌ها و ابزار تجزيه و تحليل اطلاعات   75

فصل چهارم: تجزیه و  تحلیل داده ها

4-1-………………………………………………………………………………………………………. مقدمه.. 77

4-2-              آمار توصیفی.. 78

4-3-              آمار استنباطی.. 79

4-3-1-                                آزمون بررسی نرمال بودن داده ها.. 79

4-3-2-                                                                                     فرضیه اول: بین بازده سهام و اجزای رشد سود ارتباط معناداری وجود دارد… 79

4-3-3- آزمون فرضیه دوم: مدل تفکیک رشد سود مبتنی بر سود باقی مانده دارای قدرت توضیح دهندگی بیشتری از مدل پایه ای سود و بازده سهام است.   82

4-3-4-                                                                                                    آزمون فرضیه سوم: بین بازده آتی سهام و اجزای رشد سود ارتباط معناداری وجود دارد.   84

فصل پنجم: نتیجه گیری و پیشنهادات

5-1-………………………………………………………………………………………………………. مقدمه.. 90

5-2-…………………………………………………………………………………………….. خلاصه پژوهش.. 90

5-3-          نتیجه گیری.. 91

5-3-1-                               نتیجه گیری از فرضیه اول.. 91

5-3-2-                       نتیجه گیری از فرضیه دوم.. 93

5-3-3-                       نتیجه گیری از فرضیه سوم.. 95

5-4-                  جمع بندی تحلیلی.. 97

5-5-                      محدودیت‌های پژوهش.. 98

5-6-                                               پیشنهادات برای استفاده از نتایج پژوهش   98

5-7-                           توصيه براي تحقيقات آتي.. 99

منابع و مآخذ.. 100

پیوست ها  و ضمائم.. 106

چکیده انگلیسی.. 112

فهرست جدول ها

عنوان                                                                                                 صفحه

جدول 2-1): جدول نتایج مدل سازگار با داده‏ها (تحلیل رگرسیونی)   46

جدول 2-2): نتایج مدل ترکیبی رگرسیون بدون ورود شبکه عصبی.. 47

جدول 4-1) شاخص های مرکزی و پراکندگی هر یک از متغیرهای تحقیق   78

جدول 4-2) نتیجه آزمون جارکو- برا.. 79

جدول 4-3) نتیجه آزمون چاو برای فرضیه اول.. 80

جدول 4-4) نتیجه هاسمن برای فرضیه دوم.. 80

جدول 4-5) آزمون رگرسیون فرضیه اول.. 80

جدول 4-6) قابلیت تبیین و معناداری کل مدل.. 81

جدول 4-7) آزمون هم خطی برای فرضیه اول.. 82

جدول 4-8) نتیجه آزمون چاو برای فرضیه دوم.. 83

جدول 4-9) نتیجه هاسمن برای فرضیه دوم.. 83

جدول 4-10) آزمون رگرسیون فرضیه دوم.. 83

جدول 4-11) قابلیت تبیین و معناداری کل مدل.. 84

جدول 4-12) آزمون هم خطی برای فرضیه دوم.. 84

جدول 4-13) نتیجه آزمون چاو برای فرضیه سوم.. 85

جدول 4-14) نتیجه هاسمن برای فرضیه سوم.. 85

جدول 4-15) آزمون رگرسیون فرضیه سوم.. 85

جدول 4-16) قابلیت تبیین و معناداری کل مدل.. 86

جدول 4-17) آزمون هم خطی برای فرضیه سوم.. 87

 

 

 

فهرست نمودارها

عنوان                                                                                                 صفحه

نمودار 2-1- ترتيب ارائه الگوهاي ارزش گذاري.. 52

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