تحلیل تأثیر افشای اختیاری اطلاعات بر صرف ریسک ضمنی سهام در هر یک از چرخه های بازار سرمایه (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف: پژوهش حاضر تأثیر افشای اختیاری اطلاعات بر صرف ریسک ضمنی سهام در هر یک از دوره های زمانی رونق و رکود بازار سرمایه را مورد آزمون قرار داده است. روش: به منظور اندازه گیری متغیر افشای اختیاری اطلاعات از معیارهای به موقع بودن، تورش و دقت پیش بینی سودهای میان دوره ای و سالانه شرکت استفاده شده است. برای تعیین چرخه بازار سرمایه از فیلتر هودریک- پراسکات و به منظور آزمون فرضیه ها از اطلاعات 130 شرکت پذیرفته شده در بورس اوراق بهادار تهران بین سال های 1389 تا 1397 و مدل رگرسیون چندگانه استفاده شده است. تحلیل داده ها نیز با استفاده از نرم افزار استتا نسخه 16 صورت گرفته است. یافته ها: نتایج پژوهش نشان داد که افشای اختیاری، برای معیار تورش پیش بینی سودهای میان دوره ای و سالانه در سطح کل نمونه و در دوره زمانی رونق و رکود به طور منفی و معنادار و برای معیار دقت پیش بینی سودهای میاندوره ای و سالانه در سطح کل نمونه و در دوره های زمانی مذکور، به طور مثبت و معنادار، بر صرف ریسک ضمنی تأثیر دارد. همچنین، نتایج پژوهش حاکی از این بود که معیار به موقع بودن پیش بینی سودهای میاندوره ای و سالانه در سطح کل نمونه و به موقع بودن پیش بینی سودهای سالانه در دوره زمانی رکود بازار به طور مثبت و معنادار بر صرف ریسک ضمنی سهام تأثیر دارد. نتیجه گیری : نتایج پژوهش حاکی از این است که چرخه بازار سرمایه می تواند بر رابطه بین معیار به موقع بودن پیش بینی سودهای سالانه و صرف ریسک ضمنی سهام تأثیر گذار باشد. همچنین، رابطه بیان شده برای معیارهای مختلف سنجش افشای اختیاری اطلاعات متفاوت است. نتایج حاصل از پژوهش می تواند به مدیران کمک کند تا از طریق افشای پیش بینی سودهای با تورش کمتر، از طریق جلب اعتماد سرمایه گذاران، میزان هزینه سرمایه خود را کاهش دهند .Analyzing the Effect of Voluntary Disclosure of Information on the Implied Stock Risk Premium in Each Period of the Capital Market Cycle
Objective: The relationship between information disclosure and the cost of capital is one of the key concepts in financial reporting issues. In the past, theoretical research has shown that the level of information disclosure leads to a reduction in the cost of capital by improving the liquidity of stocks and reducing the risk of investors estimating the parameters of an asset's return. However, empirical studies have shown different results in this regard. Some of these studies show the existence of a positive and significant relationship between the level of information disclosure and the cost of capital, some of these studies show the existence of a negative and significant relationship between the cost of capital and the level of information disclosure, and another group also indicates the absence of a relationship between these two variables. Recently, Dutta and Nezlobin (2017, 2018) in their theoretical model presented the impact of macroeconomics factors such as the economic conditions of the capital market and the level of growth rate of companies in the ability to explain these mixed empricial results. According to their point of view, a change in economic conditions can lead to a change in the capital market and lead to the boom or bust of the capital market. Capital market boom causes attraction and its bust causes capital to escape from the market. As a result, Economic conditions as an external factor can have different effects on companies’ information disclosures. Accordingly, the present study, with the aim of explaining and interpreting the different results of empricial research conducted in the field of the relationship between disclosure and the cost of capital, has tested the effect of the boom and bust of the capital market on the relationship. Method: For this purpose, the information of 130 companies listed on the Tehran Stock Exchange, between 2010 and 2018, was selected. In order to measure the variable of voluntary disclosure of information, the proxies of timeliness, accuracy and bias of firm midterm and annual earnings forecast has been used. Also, stock risk premium, according to the model of Hess et al (2019) and Lee and Mohanram (2014), was estimated using measurement of combined implied risk premium. In order to determine the capital market cycle, the Hodrick-Prescott filter was used and the time period of the research has been classified into two periods of boom and bust, and the hypotheses of the research have been tested both at the level of the entire sample and for the periods of boom and bust of the capital market. Also to test the research hypotheses, a multiple regression model, using the combined data method, has been used. In the present study, data analysis has been performed using stata software version 16. Results: The results showed that voluntary disclosure of information, for the proxies of bias of midterm and annual earnings forecast at the total sample level and during the boom and bust period of the capital market, negatively and significantly, and for the proxies of forecast accuracy of midterm and annual earnings forecast at the total sample level and during the boom and bust period of the capital market, positively and significantly have a effect on the stock implied risk premium. Also, the results indicated that the proxies of timeliness of midterm and annual earnings forecast at the total sample level and the timeliness of annual earnings forecasts during the bust period of the capital market have a positive and significant effect on stock implied risk premium. Conclusion: According to the research results, the capital market cycle can affect the relationship between the timeliness proxy of annual earnings forecast and the stock implied risk premium. But the capital market cycle cannot affect the relationship between the other two variables of information voluntary disclosure, including the bias and accuracy of midterm and annual earnings forecasts, and the stock implied risk premium. Actually, the relationship expressed for different proxies of information voluntary disclosure is different. Also, the analysis of the results shows that companies voluntarily make more disclosure during the capital market boom. On the other hand, contrary to expectation, the return in excess of the risk-free rate of return (risk-free) demanded by investors is higher during the capital market boom. The value of dispersion for the measure of and the stock implied risk premium also shows that this value is higher for the period of capital market bust than the period of capital market boom. This issue can be due to the high fluctuations of the market during the period of bust.The results of the research can help managers to reduce the cost of capital by disclosing less bias profit forecasts, by gaining the trust of investors.
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