Abstract:
اهداف: بازار سرمایه، یکی از اصلیترین ارکان بازار مالی، نقش مهمی در جذب و گردش نقدینگی بازار و هدایت آن بهسمت بخشهای کارآمد اقتصادی ایفا میکند. بنابراین توجه به سرمایهگذاری صحیح در این بازار براساس اطلاعات منتشره، اهمیت ویژهای دارد. پیشبینیهای مدیریتی مهمترین منابع اطلاعاتی در بازار سهام هستند که انتشار نادرست آن از سوی مدیریت، باعث افزایش ریسک خاص سهام شرکت و درنتیجه تصمیمات نادرست سرمایهگذاری از سوی سرمایهگذاران میشود. در این پژوهش، از متغیر خطای پیشبینی مدیریتی برای سنجش کیفیت اطلاعات افشاشده استفاده شده است تا به این وسیله، ضمن سنجش رابطۀ بین کیفیت افشای اطلاعات و ریسک ویژۀ شرکتها، اثر محیط اطلاعاتی بر رابطۀ بین این دو متغیر در بورس اوراق بهادار تهران بررسی شود.
روش: به همین منظور نمونهای متشکل از 160 شرکت پذیرفتهشده در بورس اوراق بهادار تهران طی سالهای 1388 تا 1397 با استفاده از مدلهای رگرسیونی و دادههای تابلویی بررسی شد.
نتایج: نتایج نشاندهندۀ آن است که خطای پیشبینی مدیریتی رابطۀ مثبتی با ریسک ویژه دارد. علاوه بر این، براساس شواهد بهدستآمده، خطای پیشبینی مدیریتی در یک محیط اطلاعاتی خوب رابطۀ مثبت کمتری با ریسک ویژه دارد.
Abstract Capital market plays an important role in attracting and circulating market liquidity and directing it to efficient economic sectors. Management forecast is one of the most important sources of information in the stock market, while its misrepresentation leads to more idiosyncratic risks and consequently inappropriate investment decisions by investors. In this study, management forecast errors were considered as a proxy for disclosure quality to investigate the relationship between information disclosure quality and idiosyncratic risk, as well as the effects of Information environment on these two variables in Tehran Stock Exchange (TSE). To this goal, a sample of 160 listed firms in TSE was examined from 2009 to 2017. The results indicated that the management forecast errors were positively related to idiosyncratic risks, while they were less positively related in a good information environment. Introduction Capital market participants rely on ongoing information to assess the risks and prospects of companies for accurate stock pricing. Due to the wide range of risks and economic, social, and political adverse events occurring in the world with the passage of time, uncertainty about the future and the need for managing all types of risks have increased. Idiosyncratic risk is one of the important risks for firms. This risk is unique to a specific company or industry. Management reporting is one of the voluntary information disclosure mechanisms, through which a company provides the information and signals related to its expected performance. Accordingly, improving the quality of financial reporting reduces information asymmetry and idiosyncratic risks. In addition to financial reporting, management forecasts are an important channel for disclosing information, while management biases can affect the idiosyncratic risks of companies. This paper used management forecast error as a proxy for disclosure quality to investigate the relationship between disclosure quality and idiosyncratic risk. Analytical models in accounting usually assume that information noise can be lowered by signals. This assumption suggests that the effect of one signal will be lessened if other signals are more correlated with a firm’s “true” value. On the one hand, a poor information environment is indicative of little alternative information (other than accounting information) for predicting a firm’s future cash flow. Therefore, high-quality accounting information can alleviate investment noise. On the other hand, if the information environment is rich, investors can easily have access to other information sources and reduce their uncertainty. In such a situation, investors may pay less attention to the disclosed information. Accordingly, this study emphasized on the effects of the information environment on disclosure quality and idiosyncratic risk as a necessity. The evidence showed that no studies had been conducted on the interactive relationship between management forecast and idiosyncratic risk, as well as the effects of information environment on these two variables in TSE. In addition, the parameters of measuring the information environment had been localized based on the available data in Iran and selected by relying on the importance and availability of information. Recognizing this phenomenon and making the right decision about this issue were the innovative features of this research, thus making it different from other parallel studies. Method and Data To test the research hypotheses, a sample of 160 listed firms in TSE was examined from 2009 to 2017 by using a multivariate regression model and panel data. Findings The research results indicated that the management forecast errors were statistically significant for the listed companies in TSE. They were also shown to be positively correlated with idiosyncratic risks. Finally, the evidence demonstrated that management forecast errors were less positively related with idiosyncratic risks in firms with a better information environment. Conclusion and discussion According to the results, management forecasts could be erroneous in Iran and sometimes had a high deviation from the realized revenues. As we know, investors need forward-looking information to make decisions based on risk and future return predictions by companies. Nevertheless, Iranian investors were found to only rely on retrospective information and management forecasts, which made them not have optimal decisions due to the presence of errors in those reports and this could increase their investment risks. Based on the findings, proper disclosure of financial information, such as on-time and accurate forecasts, could reduce the risks and augment stock liquidities of the companies. Therefore, the higher the information transparencies of the companies were, the higher their degrees of confidence could be and the lower their investment risks were thus witnessed. Finally, the results indicated that management forecast errors are less positively related to idiosyncratic risks in a relatively good information environment. Larger companies with more capitals are generally associated with a higher quality information environment. In addition, the existence of information asymmetry between a company’s internal managers and investors reduces the risk of conflicting choices. In other words, higher levels of information symmetry are associated with a lower bid-ask spread.