چکیده:
هدف: هدف از پژوهش حاضر شناسایی معیار معینی از جریان نقد آزاد با بیشترین محتوای ارزشی است. درواقع، هدف شناسایی سنجه‌ای برای جریان نقد آزاد است که با به‌‌کارگیری آن، پیشبینی بهتری از تغییرات قیمتی سهام انجام شود؛ همچنین استفاده از این معیار معین برای محاسبۀ جریان نقد آزاد، موجب ارتقای قابلیت مقایسۀ شرکت‌ها در کل بورس اوراق بهادار و درون یک صنعت می‌شود. روش: برای دستیابی به این هدف، 11 الگوی پرکاربرد جریان نقد آزاد به‌‌منظور بررسی محتوای ارزشی، به‌‌طور مجزا یک‌‌بار در نمونه‌ای از 180 شرکت پذیرفته‌‌شده در بورس اوراق بهادار تهران طی سال‌های 1387 تا 1397 و یک‌‌بار نیز به تفکیک در صنایع تولیدی با نسبت حجم دارایی زیاد در کل بورس با استفاده از الگوی رگرسیون چندگانه آزمون شد. یافته‌ها و نتایج: طبق نتایج حاصل از آزمون فرضیۀ پژوهش، هفت الگو از بین 11 الگوی مختلف جریان نقد آزاد در سطح کل، دارای محتوای ارزشی است و فرضیۀ پژوهش مبنی‌‌بر اینکه جریان نقد آزاد دارای محتوای ارزشی است را تأیید میکند. جریان نقد آزاد براساس الگوی لن و پلسن (1989) در سطح کل و الگوهای وردی (2006)، کاپلند و همکاران (1991)، وردی (2006)، پالپو و هیلی (2013) و لن و پلسن (1989) به ترتیب در صنایع دارویی، شیمیایی، فرآوردۀ نفتی، فلزات اساسی، غذایی و خودرویی با ضریب تعیین بیشتری تغییرات قیمت سهام در بازار را پیشبینی میکند و تبیین بهتری از محتوای ارزشی دارد. طبق نتایج، الگوهای جریان نقد آزاد دارای محتوای ارزشی است؛ اما این الگوها، محتوای ارزشی متفاوتی دارد و استفاده‌کنندگان از اطلاعات مالی، با استفاده از نتایج این پژوهش، پیشبینی بهتری از تغییرات قیمتی سهام انجام می‌‌دهند. از آنجا که هدف اصلی گزارشگری مالی، فراهم‌‌کردن اطلاعات مفید برای تصمیم‌گیری است، این پژوهش موجب بهبود تصمیم‌گیری استفاده‌کنندگان از گزارش‌های مالی خواهد شد؛ همچنین استفاده از نتایج این پژوهش، به افزایش قابلیت مقایسۀ شرکت‌ها (در کل بورس و در داخل صنعت) و افزایش کیفیت گزارشگری مالی منجر می‌شود.
چکیده انگلیسی:
Abstract The purpose of this study is to identify a certain criterion of free cash flow that has the highest value content. To achieve this purpose, using a multiple regression model, 11 commonly used free cash flow models were tested to examine the value content, once in a sample of 180 firms listed in Tehran Stock Exchange during 2009 to 2019, and once separately in manufacturing industries with high asset ratios. According to the results, 7 models out of 11 different models of free cash flow have valuable content and confirm the research hypothesis that free cash flow has valuable content. Examining the results, it can be seen that Lehn and Poulsen's (1989) model has the highest value content in the total level of listed companies and separately in industries with higher asset ratios such as base metals, automotive, chemical, petroleum, and pharmaceutical products Kewords: Free cash flow, Changes in stock pric, Value content, Industry Introduction: Because Jensen (1986)'s definition of free cash flow has non-objective (subjective) components; it allows analysts, researchers, and managers to use their personal discretion in calculating a company's free cash flow. Thus, as long as a standardized measure of free cash flow is agreed upon by academics and professionals, the free cash flow seems to be more appropriate for analysis, discussion, and decision-making within the firm rather than for comparison between firms (Bhandari & Adams, 2017). Therefore, empirical studies of the value content of different definitions of free cash flow is of great importance. If free cash flow has value content, it could help investors make better decisions in their investments, and if it does not have valuable content, then investors would not need to waste their time considering this criterion in their decision-making process. The study of the value content of different definitions and criteria of free cash flow is to select and determine a specific criterion of free cash flow so that it can be more relevant for users of accounting information to predict stock price changes. In addition, identifying a certain definition of free cash flow that has the most valuable content can have major implications for accounting standard makers. The fact that all companies within a particular industry use a single method and definition to calculate free cash flow increases the comparability of accounting information among companies in that industry. According to what has been said, the purpose of this study is to investigate the value content of different models of free cash flow in Iranian companies.
Method and Data: The research area is the companies listed on the Tehran Stock Exchange and the period is from 2009 to 2019. The purpose of this study is to measure the value content of each model of free cash flow and select a model of free cash flow with the most valuable content in the Iranian capital market as a whole and then separately in different industries. The widely used extractive models include: 1) Lehn and Poulsen (1989), 2) Copland et al. (1991), 3) Richardson (2006), 4) Verdi (2006), 5) Cornett et al. (2012), 6) Kieso et al. 2013), 7) Ross et al. (2013), 8) Palepu & Healy (2013), 9) Brealy et al. (2015), 10) Brigham and Houston (2016), and 11) Bhandari & Adams (2017). After extracting the widely used free cash flow patterns, the value content of each pattern according to Maksy's (2016) research is fitted using the share price changes in a regression model. Findings: The results show that the Lehn and Poulsen (1989) model has the highest value content in the total level of listed companies and separately in high asset (higher company`s asset to total market asset ratio) industries such as base metals, automotive, chemical, petroleum, and pharmaceutical products. This model is one of the oldest free cash flow calculation models and is measured based on the operating profit, which is a very important item by investors and other users and market stakeholders. That is why it is better known by the market and its value content has been proven in numerous studies. Also, this model is based on accruals and dividends, the value of which has been proven many times in various studies in the Iranian market; Therefore, the level of general knowledge of the Iranian market about the model of Lehn and Poulsen (1989) is probably explained based on such variables. Another reason for the higher value content of this model is the ease of its calculation by participants in the capital market because they can easily calculate the amount of free cash flow by examining the income statement of companies and direct their investment decisions accordingly. Conclusion and Results: According to the results, free cash flow patterns have value content, but these patterns have different value contents. Users of financial information can use the results of this study to better predict stock price changes. Since the main purpose of financial reporting is to provide useful information for decision-making, the results of the present study could improve the decision-making of users of financial statements. Also, using the results of this research could increase the comparability of companies (in the stock market and within the industry) and increase the quality of financial reporting.
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