ریسک مالی شرکت و احساس ریسک در گزارش های سالانه: شواهدی از شرکت های پذیرفته شده در بورس اوراق بهادار تهران با استفاده از رویکرد ایستا و پویا (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
اهداف: احساسات سرمایه گذار به باورهای ذهنی سرمایه گذاران درباره جریان های نقدی و ریسک های سرمایه گذاری مربوط می شود. این نوع احساسات تأثیر ثابتی بر قیمت سهام دارد. عوامل مالکیتی و حاکمیتی ممکن است نقش حیاتی در گزارش ریسک شرکت ها ایفا کند؛ زیرا گزارش سالانه از سوی مدیران برای صاحبان سهام آماده می شود. پژوهش حاضر با هدف بررسی تأثیر ریسک مالی شرکت بر احساس ریسک گزارش های سالانه در شرکت های پذیرفته شده در بورس اوراق بهادار تهران به اجرا درآمده است.روش: به منظور آزمون فرضیه های پژوهش تعداد 130 شرکت در فاصله زمانی سال های 1387 تا 1399 به عنوان نمونه انتخاب و با استفاده از روش رگرسیون داده های تابلویی ایستا و پویا تحلیل شد. برای ارزیابی ریسک مالی شرکت از معیارهای اهرم مالی، اندازه شرکت و نسبت جاری و به منظور اندازه گیری احساس ریسک گزارش های سالانه از روش فراوانی واژگان استفاده شده است.نتایج: متغیرهای اهرم مالی و نسبت جاری تأثیر مثبت و معنا دار بر احساس ریسک گزارش های سالانه دارند؛ در حالی که تأثیر متغیر اندازه شرکت بر احساس ریسک گزارش های سالانه به صورت منفی و معنی دار است. نتایج این پژوهش نشان داد که علاوه بر لحن ریسکی کلمات و جملات در شرح نوشته های صورت های مالی، اعداد و ارقام صورت های مالی هم بر احساس ریسک سرمایه گذاران اثرگذار است. یافته های این پژوهش در درک رفتار سرمایه گذاران، کمک به کاهش رفتارهای غیر عقلایی و تصمیم گیری بهینه آنها مفید واقع می شود.Firm's Financial Risk and Risk Sentiment in Annual Reports: Evidence from Companies Listed in the Tehran Stock Exchange Using a Static-and-Dynamic Approach
Investor sentiments are related to investors' subjective beliefs about cash flows and investment risks. The present study was conducted to investigate the impact of the company's financial risk on the risk sentiment of annual reports in companies listed on the Tehran Stock Exchange. To test the hypothese, 130 companies were selected as the sample between 2008 and 2021 and analyzed using the regression method of static and dynamic panel data. To evaluate the company's financial risk, the criteria of financial leverage, company size, and current ratio were used, and the frequency of vocabulary method was used to measure the risk sentiment of annual reports. The results showed that the variables of financial leverage and current ratio have a positive and significant effect on the risk sentiment of annual reports. However, the size of the company has a negative and significant effect on the risk sentiment in annual reports. The results also showed that in addition to the risky tone of the words and sentences in the description of the financial statements, the numbers and figures of the financial statements also affect the investors' risk sentiment.Keywords: Risk Sentiment, Information Disclosure, Static-and-dynamic Approach, Financial Risk. IntroductionRisk sentiment is a type of subjective assessment of risk by investors, which may differ from financial and real risks and is affected by emotional factors. Emotions influence the decisions and behavior of investors in financial markets. Disclosure related to risk is one of the non-financial data that, if its disclosure level is sufficient, has a valuable contribution in processing the data received by users and will be effective in their decision patterns in line with value creation. So, investors believe that the risk sentiment in choosing a suitable investment portfolio will help them optimally. Considering the importance of financial risk and reporting it to stakeholders and the effect of risk sentiment of annual reports on investors' decisions, in Iran, there has been no empirical study on the company's financial risk and risk sentiment in annual reports, so this research is innovative and can add scientific value in several aspects. First, in the empirical studies in Iran, the risk sentiment in annual reports has not been noticed by researchers. Second, it helps to develop the literature in this field with a visual report of how managers manage through risk reporting in annual reports. Therefore, the main question is, what is the effect of financial risk criteria (company size, financial leverage, and current ratio) on the risk sentiment of annual reports with a static-and-dynamic approach? Materials and Method To collect the data, information by document mining and field methods and databases have been used. To download the annual reports of 130 sample companies from the publishers' comprehensive information system (CODAL) and to collect the stock market data of each of the variables used in the models, Rahvard Novin database was used. Static and dynamic methods were used to test the hypotheses and examine the consolidated data. In the static method, after performing the Hausman test and choosing the fixed effects model, the coefficients of the model were estimated using least squares approach. To increase the reliability of the obtained results, the coefficients of the model were also estimated in the form of a dynamic process and using the method of generalized moments. The study period is from 2008 to 2021. The sample included 130 firms after removing the firms based on exclusion criteria. After classifying the information of the sample in Excel software, Max Kyuda software was used to count the frequency of risk sentiment words in each of the annual reports. Finally, Eviews software was used for statistical analysis. Research FindingsThe obtained results showed that the variables of financial leverage and current ratio have a positive and significant effect on the risk sentiment of annual reports. While the effect of the company size variable on the risk sentiment of annual reports is negative and significant. According to the literature, it was expected that with the increase in the size of the company, the risk sentiment of the annual reports of the investors would increase, but the results showed the opposite of this case. Discussion of Results and ConclusionsTo prepare and develop a suitable organizational strategy to help and facilitate the realization of the integrated pattern of disruptions and financial risk, it is suggested to review the feasibility study of goals, planning, and functional methods so that they can implement the modeling of the integrated pattern of disruptions and financial risk, training courses for the improvement of human resources, leverage ratios, and ratios of debt indicators so that an integrated model of disruptions and financial risk in organizations will be easier. As the amount of diversification of securities increases, the diversifiable risk becomes smaller and smaller, and the risk of the entire investment portfolio becomes closer to the non-diversifiable risk. Therefore, diversification of investment in different industries will remove business risk and financial risk as important components of diversifiable risk. According to the results, to protect the investors, it is recommended to the legislative bodies oblige the companies to report the risk information in a separate report. Considering the relationship between the risk sentiment variable of annual and financial reports and the current ratio, it is recommended that the brokers and financial advisors pay attention to the behavioral and financial characteristics of investors in addition to the economic variables affecting stock price fluctuations.
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