Un nuovo approccio statistico per l’individuazione delle manipolazioni degli utili: evidenze empiriche dal mercato italiano

Anteprima

Mediante uno studio di simulazione, questo articolo si propone di valutare l’efficacia nel mercato italiano dei metodi comunemente utilizzati nella letteratura nord-americana per individuare le manipolazioni di bilancio. Inoltre, viene proposta una nuova metodologia di stima degli accrual model – il modello delle misture – che non si basa su nessuna classificazione industriale e risolve alcuni dei problemi che questi metodi di indagine manifestano nei paesi con mercati finanziari di minori dimensioni. Dalle analisi svolte emerge che le tecniche d’indagine ampiamente utilizzate a livello internazionale sono efficaci anche nel nostro Paese e che il modello delle misture aumenta significativamente la potenza del test più efficace per ricercare la presenza di manipolazioni di bilancio. Complessivamente questi risultati indurrebbero a concludere che gli accrual model potrebbero essere utilizzati maggiormente dai ricercatori interessati ad investigare la presenza di politiche di bilancio in Italia.

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Accruals models are usually estimated cross-sectionally by year and by two-digit SIC code. This estimation approach, however, on the one hand is not applicable in small capital market countries, such as Italy, due to the lack of observations, and on the other hand relies on the implicit assumption of homogeneity of the accrual-generating processes within industries, which sometimes does not hold within two-digit SIC codes. We propose a new estimating technique, the mixture approach, which does not rely on industry classifications and allows researchers to estimate abnormal accruals for the vast majority of firms in small capital market countries. Our analyses suggest that accruals model tests are not less effective in Italy than in other countries and that the mixture approach provides the most powerful test for earnings management.

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Keywords: earnings management, accruals models, abnormal accruals, mixture model.

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