The Effect of Manager Forecast of Future Sales on Company Risk During Sales Decline Using the Fama-French Five-Factor Model

Document Type : Research Paper

Authors

1 PhD Student, Department of Accounting, Faculty of Economics and Management, Urmia University, Urmia, Iran

2 Associate Professor, Department of Accounting, Faculty of Economics and Management, Urmia University, Urmia, Iran

Abstract

A sales decline period disrupts the time series of earnings and, consequently, reduces their predictability. Such a situation can lead to inappropriate decisions by investors. Therefore, managers need to respond appropriately to negative news resulting from sales decline. Manager response is related to forecasting future sales situations, which could affect risk to the firm. Accordingly, the purpose of this study is to investigate the effect of managers' forecasts of future sales on the risk of companies that have experienced sales decline. In this study, the ratio of the changes in operating profit margin was used to compare companies with optimistic and pessimistic managers. To investigate the research hypotheses, the Fama-French five-factor model was used to depict a period of 11 years, from 2007 to 2017, for the companies that are accepted in the Tehran Stock Exchange. It should be noted that the market beta of the Fama-French five-factor model is distinguished by upside potential and downside risk factors, making it possible to study them individually. The findings imply that in companies with optimistic managers, the upside potential is more than the downside risk, but in companies with pessimistic managers, there is no significant difference between the upside potential and the downside risk. 

Keywords

Main Subjects


Article Title [فارسی]

تأثیر پیش‌بینی مدیران از فروش آتی بر ریسک شرکت در دوره کاهش فروش با استفاده از مدل پنج عاملی فاما و فرنچ

Authors [فارسی]

  • زهرا مقدم 1
  • غلامرضا منصورفر 2
  • حمزه دیدار 2
1 دانشجوی دکتری حسابداری، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران
2 دانشیار گروه حسابداری، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران
Abstract [فارسی]

یک دوره کاهش فروش، باعث اختلال در روند سری زمانی درآمدها شده و از قابلیت پیش­بینی­شوندگی آنها می­کاهد. ایجاد چنین وضعیتی می­تواند منجر به اتخاذ تصمیمات غیربهینه از جانب سرمایه­گذاران گردد. بنابراین مدیران بایستی به اخبار منفی ناشی از کاهش فروش، واکنش مناسب نشان دهند. نوع عکس­العمل مدیران، به پیش­بینی آنها از وضعیت فروش آتی شرکت بستگی دارد که می تواند ریسک شرکت را تحت تأثیر قرار دهد. بنابراین، هدف این پژوهش، بررسی تأثیر پیش­بینی مدیران از فروش آتی بر ریسک شرکت­هایی است که کاهش فروش را تجربه کرده­اند. جامعه آماری پژوهش شرکت­های پذیرفته­شده در بورس اوراق بهادار تهران از سال 1386 تا 1396 می­باشد. در این پژوهش، به منظور تفکیک شرکت­ها به شرکت­های دارای مدیران خوش­بین و بدبین، از نسبت تغییرات حاشیه سود عملیاتی و برای بررسی فرضیه­های پژوهش، از مدل پنج عاملی فاما و فرنچ استفاده شده است. همچنین بتای بازار در مدل پنج عاملی فاما و فرنچ، به پتانسیل مطلوب و ریسک نامطلوب تفکیک گردیده است که امکان بررسی آنها را به صورت مجزا فراهم می­نماید. یافته­ها حاکی از آن است که در شرکت­هایی با مدیران خوش­بین، پتانسیل مطلوب بیش از ریسک نامطلوب است، اما در شرکت­هایی با مدیران بدبین، تفاوت معنی داری بین این دو وجود ندارد.

Keywords [فارسی]

  • کاهش فروش
  • پتانسیل مطلوب
  • ریسک نامطلوب
  • مدل فاما-فرنچ پنج عاملی
  • مدل فاما-فرنچ شش عاملی
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