خلاصة:
عدم انتشار اخبار بد و انباشت آنها در داخل شرکت توسط مدیران، منجر به ایجاد یک توده اطلاعات منفی شده که انتشار یکباره آنها به بازار منجر به سقوط قیمت سهام میگردد. از اینرو افشای اطلاعات درخصوص ریسکهایی که شرکت با آنها مواجه است میتواند منجر به شفافیت اطلاعات و درنتیجه کاهش سقوط قیمت سهام شود. هدف پژوهش حاضر بررسی تاثیر افشای ریسک کل و انواع آن بر ریسک سقوط قیمت سهام میباشد. در این پژوهش تعداد 548 سال-شرکت در طی دوره زمانی 1389 تا 1397 انتخاب و فرضیههای پژوهش با استفاده از رگرسیون مبتنی بر دادههای تابلویی با اثرات ثابت آزمون شدهاست. نتایج پژوهش بیانگر این است که افشای ریسک کل تاثیر منفی و معناداری بر ریسک سقوط قیمت سهام دارند. همچنین انواع افشای ریسک شامل ریسک مالی، ریسک غیرمالی عملیاتی و ریسک غیرمالی راهبردی بر ریسک سقوط قیمت سهام تاثیر منفی و معناداری دارند.
1- Introduction In order to protect the manager's interests, attempts are made to conceal negative news inside the company and not disclose it. The act of hiding the bad news and accumulating it within the company has led to the creation of a mass of negative information. The sudden outburst of such news to the market will cause a dramatic decrease in stock prices. In this regard, disclosure of information about the risks faced by the company can lead to transparency of information and thus reduce the stock price crash risk. The aim of this study is to investigate the effect of risk disclosure, including financial risk, non-financial operating risk and strategic non-financial risk on stock price crash risk. 2- Hypothesis Based on what was stated in the theoretical foundations of the research, one of the factors affecting the stock price crash risk is the disclosure of various risks. If the disclosure of the risks to which the company is exposed has informational content, it is expected to reduce the stock price crash risk. Therefore, the research hypotheses were formulated as follows: H1: Disclosure of total risk by the company has a negative impact on the stock price crash risk. H2: Disclosure of financial risk by the company has a negative impact on the stock price crash risk. H3: Disclosure of non-financial operating risk by the company has a negative impact on the stock price crash risk. H4: Disclosure of strategic non-financial risk by the company has a negative impact on the stock price crash risk. 3- Methods Since the results of this research can be used in the decisions of users of financial statements, the purpose of this research is categorized as an applicable one. Besides, in terms of nature, it is included in descriptive research groups. It is also based on real information about the financial statements of companies listed on the Tehran Stock Exchange, which can be generalized to the entire statistical community by inductive method. As the goal of this research is to analyze the effect of exposing different types of risk on stock price crash risk, so it is in the field of post-event studies. In this research, the achievement of results has been done by testing the available data, so the present study is considered in the group of positive research. 4- Results The first hypothesis of the research based on the negative and significant effect of total risk disclosure on stock price crash risk was not rejected. The results of this hypothesis indicate that the higher the risk disclosure in financial reporting, the lower the stock price crash risk. The second hypothesis of the research based on the negative and significant effect of disclosure of financial risk on stock price crash risk was not rejected. The results of this hypothesis indicate that the higher the level of disclosure of financial risk in financial reporting, the lower the stock price crash risk. The third hypothesis of research based on the negative and significant effect of non-financial operational risk disclosure on stock price crash risk was not rejected. The results of this hypothesis show that as the amount of non-financial operational risk disclosure in financial reporting increases, the stock price crash risk will decrease. The fourth hypothesis of the research based on the negative and significant effect of disclosure of strategic non-financial risk on stock price crash risk was not rejected. The results of this hypothesis reveals that, as the level of disclosure of strategic non-financial risk in financial reporting increases, the stock price crash risk will decrease. 5- Conclusion The results of this reserach suggest that the disclosure of risk and its types in the Report of Directors has information content. As a result of more timely disclosure of information about the good and bad news of the company and reducing the motivation of managers to accumulate bad news and publish this news to the market, the stock price crash risk is reduced. Also, among the types of risk disclosure, using both negative skewness of stock returns criteria and down-to-up volatility, disclosure of non-financial operational risk leads to a further reduction in the stock price crash risk.
ملخص الجهاز:
نگاره 4: نتايج حاصل از برآورد رابطه (1) BHRET it = β0 + β1 SUE it + β2 CoMov it-1 + β3 SUE it * CoMov it-1 + β4 Size it + β5 BM it + β6 Lev it + ε it متغير ضريب انحراف استاندارد آماره t احتمال آماره t (سطح معناداری) عرض از مبدأ 092/19- 104/4 652/4- 000/0 سود غیرمنتظره (SUE) 007/0 003/0 978/1 048/0 هم حرکتی (CoMov) 687/0 295/0 327/2 020/0 SUE * CoMov 018/0- 006/0 800/2- 005/0 اندازه (Size) 590/1 322/0 937/4 000/0 نسبت ارزش بازار به ارزش دفتري(BM) 999/0 434/0 299/2 021/0 اهرم مالی (Lev) 371/0- 330/0 122/1- 261/0 آماره F فيشر 836/2 R2 1199/0 احتمال آماره F فيشر 000/0 R2 تعديل شده 0776/0 منبع: يافتههاي پژوهش همانطور که در نگاره (4) مشاهده ميشود احتمال آماره F فیشر کمتر از 5 درصد بوده که در سطح اطمینان 95 درصد معنادار است که نشان میدهد کل مدل رگرسیونی معنادار بوده و میتوان از نتایج بدست آمده استفاده نمود.
(In Persian) Thomas, J.
(In Persian) تأثیر افشای ریسک و انواع آن بر ریسک سقوط قیمت سهام سیده زهرا طباطبائی 1 ، دکتر سیدعباس هاشمی 2 ، دکتر هادی امیری 3 چکیده: عدم انتشار اخبار بد و انباشت آنها در داخل شرکت توسط مدیران، منجر به ایجاد یک توده اطلاعات منفی شده که انتشار یکباره آنها به بازار منجر به سقوط قیمت سهام میگردد.
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