چکیده:
هدف پژوهش حاضر تعیین تاثیر قابلیت مقایسه صورتهای مالی بر نوسانات ویژه بازده سهام با تاکید بر کیفیت گزارشگری مالی است. جهت آزمون فرضیههای پژوهش، تعداد 80 شرکت از بین شرکتهای پذیرفتهشده در بورس اوراق بهادار تهران در طی سالهای 1389 الی 1397 مورد بررسی قرار گرفتند. به منظور آزمون فرضیههای پژوهش از الگوی رگرسیون چند متغیره و دادههای ترکیبی استفادهشده است. نتایج پژوهش بیانگر این موضوع است که قابلیت مقایسه صورتهای مالی بر نوسانات ویژه بازده سهام تاثیر منفی و معناداری دارد. همچنین یافتههای پژوهش نشان داد زمانی که کیفیت گزارشگری مالی ضعیف است تاثیر قابلیت مقایسه صورتهای مالی بر نوسانات ویژه بازده سهام قویتر است. به طور کلی این پژوهش بر مزایای قابلیت مقایسه صورتهای مالی تاکید دارد. قابلیت مقایسه صورتهای مالی ریسک عدم اطمینان نسبت به جریانهای نقد و عملکرد آتی شرکت را کاهش میدهد و سبب میشود نوسانات ویژه بازده سهام کاهش یابد.
Introduction: One of the main topics in the financial markets that has attracted the attention of capital market researchers is the discussion of the stock return volatility. The stock returns volatility into two components: systematic and idiosyncratic. The part of the volatility that is uncontrollable and is caused by external factors is called systematic volatility. Moreover, idiosyncratic return volatility reflect the company's idiosyncratic return volatility, which mainly derived from the company's activities and are independent of capital market volatility. The idiosyncratic return volatility has important applications such as portfolio diversification, active portfolio management, the relationship between risk and reward of managers, managers 'reward policies and valuation of employees' stock authority. Hence, it is crucial to examine the factors affecting it. Uncertainty or lack of accurate and correct forecasting of future cash flows and firm performance causes idiosyncratic return volatility. On the other hand, the ability to compare financial statements by assisting users of financial statements in predicting and accurately forecasting the future cash flow and performance of the company, affects the idiosyncratic return volatility. The ability to compare financial statements improves the information environment, increases the quality of financial reporting, and reduces information asymmetry. These capabilities help investors to better understand and evaluate the company's cash flows and performance, which reduces idiosyncratic return volatility. However, poor financial reporting quality prevents investors from properly evaluating the company's performance. This increases uncertainty about the company's performance and the consequent idiosyncratic return volatility. In the presence of poor financial reporting quality, the role of comparability of financial statements in the decision-making process becomes more important. The comparability of financial statements allows investors to compare the quality and performance of companies through better comparisons with similar companies furthermore, it is expected that when the quality of financial reporting is poor, the negative relationship between comparability of financial statements and idiosyncratic return volatility is stronger. Previous studies in Iran have examined the factors affecting the idiosyncratic return volatility. Moreover, these studies have examined various factors such as financial reporting quality, firm life cycle, audit quality), etc., on the other hand, none of the effects of comparability of financial statements on idiosyncratic return volatility and in terms of According to the emphasis of the International Accounting Standards Transition Institutions and the Auditing Organization as the custodian of accounting standardization in Iran, on the great importance of comparability and the important role of comparability in empowering investors, creditors and other creditors in informed decision-making in this study. The relationship between comparability and idiosyncratic return volatility with respect to the effect of financial reporting quality on this relationship was investigated and this issue is one of the leading research innovations. Another theory of this research is that in this research, Rowling regression has been used to measure the idiosyncratic return volatility, which has not been used in other studies. The goal of the present study is to determine the effect of the financial statement comparability on the idiosyncratic return volatility with emphasis on the quality of financial reporting.Method and Data: In order to test the research hypotheses, 80 companies were examined among the companies listed on the Tehran Stock Exchange during the years 2010 to 2018. In order to test the research hypotheses, a multivariate regression model and combined data have been used.Finding: The results of the research indicate that the financial statement comparability has a significant and negative effect on the idiosyncratic return volatility. The research findings also showed that when the quality of financial reporting is poor, the effect of financial statement comparability on idiosyncratic return volatility is stronger. This study emphasizes the benefits of financial statement comparability. The financial statement comparability reduces the risk of uncertainty about the cash flows and firm future performance and causes idiosyncratic return volatility reduce.Conclusion and Discussion: Idiosyncratic return volatility have increased over time, volatility in stock market returns have remained unchanged. As a result, the study of idiosyncratic return volatility is motivating since the upward trend in idiosyncratic return volatility has important implications for portfolio diversification, event studies, pricing options, and macroeconomics. Many investors may fail to diversify their portfolios in the way that financial theory recommends, and as a result, are affected by changes in idiosyncratic return volatility, so it is important to identify the factors that affect idiosyncratic return volatility. The result of testing the first hypothesis showed that the ability to compare financial statements has a negative effect on idiosyncratic return volatility. This means that the comparability of financial statements allows investors to more accurately assess and understand the firm's performance and cash flow by comparing similar companies and increases the quantity and quality of information needed by investors, it causes risk. Related to information and valuation is reduced and as a result idiosyncratic return volatility are reduced. The results of testing the second hypothesis showed that when the quality of financial reporting is poor, the role of comparability of financial statements on reducing idiosyncratic return volatility becomes stronger. In the sense that when the quality of financial reporting is poor, it improves the comparability of the information environment and transparency about the firm and reduces investors' uncertainty about cash flow and stock returns, thus reducing idiosyncratic return volatility.
خلاصه ماشینی:
کلیدواژهها: قابلیت مقایسۀ صورتهای مالی، کیفیت گزارشگری مالی، نوسانات ویژۀ بازده سهام مقدمه بحث نوسانات بازده سهام، یکی از موضوعات اصلی در بازارهای مالی است که توجه پژوهشگران بازار سرمایه را به خود معطوف کرده است ( Ghorbani, Foroghi, Amiri & Hashemi, 2013 ; Akhgar & Mirzaee, 2019; Habib, Hasan & Alhadi, 2020).
با در نظر گرفتن این موضوع که افزایش کیفیت گزارشگری مالی باعث افزایش آگاهی سرمایهگذاران از اطلاعات مربوط به عملیات درون شرکت میشود، با توجه به فرضیۀ بازار کارا انتظار میرود این اطلاعات در قیمت سهام منعکس شود که در این Idiosyncratic Return Volatility صورت نوسان ویژۀ بازده سهام با کاهش مواجه خواهد شد (Chen, Huang & Jha, 2012)؛ اما کیفیت گزارشگری مالی ضعیف، سرمایهگذاران را از ارزیابی صحیح عملکرد شرکت باز میدارد.
قابلیت مقایسۀ صورتهای مالی و نوسان ویژۀ بازده سهام قابلیت مقایسه یکی از ویژگیهای کلیدی در دستیابی به سودمندی در تصمیم برای استفادهکنندگان اطلاعات مالی است (Financial Accounting Standards Board (FASB), 2010).
قابلیت مقایسۀ بیشتر صورتهای مالی با افزایش دقت در برآورد بازپرداختهای شرکت (برای مثال بازده و جریانهای نقد آتی) که برای ارزیابی استفاده میشوند، مرتبط است؛ دلیل این امر این است که با دسترسی به و درک اطلاعات از شرکتهای مقایسهپذیر، سرمایهگذاران نهتنها درک بهتری از عملکرد فعلی شرکت کسب میکنند، قادر به ارزیابی بهتر عدم اطمینان احتمالی مرتبط با عملکرد International Accounting Standards Board آینده و جریان نقد هستند.
2021 Research Paper Investigating the impact of macroeconomic variables on Risk-Adjusted Return on Capital (RAROC) of Registered Banks on Tehran Stock Exchange and Iran Fara Bourse Mohammad Sadegh Abdollahi Poor M.