تأثیر افشای ریسک و انواع آن بر ریسک سقوط قیمت سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه حسابداری، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران

2 دانشیار گروه حسابداری دانشکده علوم اداری و اقتصاد دانشگاه اصفهان نویسنده مسئول)

3 استادیار گروه اقتصاد دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان

چکیده

عدم انتشار اخبار بد و انباشت آن‌ها در داخل شرکت توسط مدیران، منجر به ایجاد یک توده از اطلاعات منفی شده که انتشار یکباره این اخبار به بازار منجر به سقوط قیمت سهام می‌گردد. در این راستا افشای اطلاعات در خصوص ریسک‌هایی که شرکت با آن‌ها مواجه است می‌تواند منجر به شفافیت اطلاعات و در نتیجه کاهش ریسک سقوط قیمت سهام شود. هدف پژوهش حاضر بررسی تاثیر افشای ریسک از جمله ریسک مالی، ریسک غیرمالی عملیاتی و ریسک غیرمالی راهبردی بر ریسک سقوط قیمت سهام می‌باشد. در این پژوهش برای ارزیابی و تشخیص افشای ریسک و انواع آن، ابتدا با استفاده از پیشینه پژوهش و نظرسنجی از خبرگان واژه‌هایی که بیانگر ریسک هستند تعیین گردید. سپس با استفاده از روش تجزیه و تحلیل متن گزارش فعالیت هیات مدیره فراوانی واژه‌های ریسک محاسبه شده است. همچنین تعداد 548 سال-شرکت در طی دوره زمانی سال‌های 1389 تا 1397 با استفاده از روش حذف نظامند انتخاب و فرضیه‌های پژوهش با استفاده از رگرسیون مبتنی بر داده‌های تابلویی با اثرات ثابت آزمون شده است. 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. به‌عبارتی با افشای دقیق‌تر اطلاعات ریسک، عدم تقارن اطلاعاتی کاهش یافته و مدیران انگیزه کمتری به نگهداشت اخبار بد در شرکت دارند از این‌رو ریسک سقوط قیمت سهام کاهش می‌یابد.

کلیدواژه‌ها

عنوان مقاله [English]

The Effect of Risk Disclosure and its Types on Crash Stock Price Risk

نویسندگان [English]

  • aeyedeh zahra tabatabaei 1
  • seyed abbas hashemi 2
  • hadi amiri 3
1 PhD student in Accounting, Esfahan University, Esfahan, Iran. z.tabatabaei@ase.ui.ac.ir
2 Associate Professor of Accounting, Esfahan University, Esfahan, Iran. a.hashemi@ase.ui.ac.ir
3 Assistant Professor of Economics, Esfahan University, Esfahan, Iran. h.amiri2@ase.ui.ir
چکیده [English]

Journal of Accounting Advances, (2020) 12(1):
DOI: 10.22099/JAA.2021.38010.2046
 
 
 
 
 
Journal of Accounting Advances (JAA)
Journal homepage: www.jaa.shirazu.ac.ir/?lang=en
 
 
 
 
 
 
Effect of Risk Disclosure and its Types on Crash Stock Price Risk
Seyedeh Zahra Tabatabaei1, Seyed Abbas Hashemi2*, Hadi Amiri3                   
 
 
 
PhD student in Accounting, Esfahan University, Esfahan, Iran. z.tabatabaei@ase.ui.ac.ir
2. Associate Professor of Accounting, Esfahan University, Esfahan, Iran. a.hashemi@ase.ui.ac.ir
3. Assistant Professor of Economics, Esfahan University, Esfahan, Iran. h.amiri2@ase.ui.ir
 
 
 
 
 
 
 
ARTICLE INF
 
 
ABSTRACT
 
 
 
 
 
Received: 2020-08-09
Accepted: 2021-01-18
 
 
 
The act of hiding and accumulating the bad news within the company by management has led to the creation of massive negative information. The sudden outburst of this news to the market would cause a stock price crash. In this regard, information disclosure about the risks faced by the company can lead to transparency of information and thus reduce the stock price crash risk. The goal of this research is to survey the effect of disclosure of risk and its types on stock price crash risk. In this study, 548 company-years during the period from 2011 to 2019 have been selected using systematic deletion method and research hypotheses have been tested using regression based on panel data with fixed effects. The results indicate that the disclosure of total risk has a negative and significant effect on the stock price crash risk. types of risk disclosures including financial risk, non-financial operating risk and strategic non-financial risk have a negative and significant effect on stock price crash risk.
 
 
 
 
 
* Corresponding author:
 
Seyed Abbas Hashemi
 
Associate Professor of Accounting, Esfahan University, Esfahan, Iran.
Email: a.hashemi@ase.ui.ac.ir
 
 
 
 
 
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.
 
 
 
 

کلیدواژه‌ها [English]

  • Keywords: Disclosure of Risk
  • Stock Price Crash Risk
  • Negative Skewness of Stock Returns
  • Down-to-Up Volatility

مراجع

منابع
الف. فارسی
برادران حسن­زاده، رسول و محرومی، رامین. (1396). تأثیر افشای ریسک بر پیش بینی قیمت سهام به وسیله سود و ارزش شرکت­ها. راهبرد مدیریت مالی، 5(4)، 209-189.
حیدری، مهدی؛ منصورفر، غلامرضا و رضایی، مهدی. (1395). بررسی اثر کیفی اجزای افشاء ریسک شرکتی بر عدم تقارن اطلاعاتی با توجه به متغیر‌های تعدیل­گر ریسکی بودن، شرایط رکود و تحلیل-گران نهادی در بورس اوراق بهادار تهران. تحقیقات مالی، 18(3)، 414-391.
خدارحمی، بهروز؛ فروغ نژاد، حیدر؛ شریفی، محمدجواد و طالبی، علیرضا. (1395). تأثیر عدم تقارن اطلاعاتی بر ریسک سقوط آتی قیمت سهام شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران. فصلنامه مدیریت دارایی و تامین مالی، سال چهارم، 3(14)، 58-39.
 خیام پورر، اکبر؛ خردیار، سینا؛ رضایی، فرزین و وطن­پرست، محمدرضا. (1399). ارزیابی سودمندی درتصمیم افشاء اطلاعات مولفه‌های ریسک. مهندسی مالی و مدیریت اوراق بهادار، 11(42)، 445-419.
دیانتی دیلمی، زهرا؛ مرادزاده، مهدی و محمودی، سعید. (1391). بررسی تاثیر سرمایه گذاران نهادی بر کاهش ریسک سقوط (ریزش) ارزش سهام، فصلنامه دانش سرمایه گذاری، 1(2)، 18-1.
شمس ­الدینی، کاظم؛ دانشی، وحید و فولادی سوادکوهی، فاطمه. (1398). بررسی تاثیر مالکیت نهادی بر رابطه بین سررسید بدهی‌های کوتاه مدت با ریسک سقوط آتی قیمت سهام. پیشرفت‌های حسابداری، 11(1)، 228-201.
فروغی، داریوش و قاسم زاد، پیمان. (1394). تأثیر اطمینان بیش از حد مدیریت بر ریسک سقوط آتی قیمت سهام، دانش حسابداری مالی، 2 (5)، 71-55.
فروغی، داریوش؛ امیری، هادی و میرزایی، منوچهر. (1390). تأثیر شفاف نبودن اطلاعات مالی بر ریسک سقوط آتی قیمت سهام در شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران. پژوهش­های حسابداری مالی، 3 (4)،40-15.
فصیحی، صغری؛ حسینی، سیدعلی و مشایخ، شهناز. (1398). بررسی تاثیر افشای ریسک بر کارایی سرمایه گذاری شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران. دانش سرمایه گذاری، 31(7)، 371-355.
فلاح زاده ابرقویی، احمد؛ تفتیان، اکرم و حیرانی، فروغ. (1398). بررسی رابطه افشای اطلاعات با همزمانی قیمت سهام و ریسک سقوط آن با استفاده از سیستم معامدلات همزمان. دانش حسابداری، 10(1)، 194-169.
کردستانی، غلامرضا و خاتمی، زینب. (1395). بررسی ارتباط بین کیفیت اطلاعات حسابداری و حسابداری محافظه کارانه با ریسک سقوط قیمت سهام. مجله دانش حسابداری مالی، 3(2)، 130-109.
لاری دشت بیاض، محمود؛ ابراهیمی، مجتبی و بالیده، فهیمه. (1396). بررسی رابطه افشا حسابداری، همزمانی قیمت سهام و ریسک سقوط سهام در شرکت­های پذیرفته شده در بورس اوراق بهادار تهران. ماهنامه پژوهش­های مدیریت و حسابداری، 36 (3)، 137-119.
محمدی، سجاد و صالحی، اله­کرم. (1396). بررسی رابطه بین توانایی مدیریت با کارایی سرمایه‌گذاری و ریسک کاهش قیمت سهام. پیشرفت‌های حسابداری، 9(2)، 119-93.
نمازی، محمد و ابراهیمی میمند، مهدی. (1395). بررسی تأثیر ساز و کارهای راهبری شرکتی بر افشای ریسک. فصلنامه حسابداری مالی، 8(30)، 1-39.
ب. انگلیسی
Amran, A., Bin, A. M. R. & Hassan, B. C. H. M. (2009). Risk reporting, an exploratory study on risk management disclosure in Malaysian annual reports. Managerial Auditing Journal, 24(1), 39–57.
Baradaran hassanzadeh, R., Mahroomi, R. (2018). The effect of risk disclosure on the share price anticipation based on earnings and firm value. Financial Management Strategy, 5(4), 189-209. (in Persian)
Beretta, S., & Bozzolan, S. (2004). A framework for the analysis of firm risk communication. The International Journal of Accounting, 39(3), 265–288.
Brown, S., & Hillegeist, S. A. (2007). How disclosure quality affects the level of information asymmetry. Review of Accounting Studies, 12(2–3), 443–477.
Cabedo, J. D., & Tirado, J. M. (2004). The disclosure of risk in financial statements. Accounting Forum, 28 (2), 181-200.
Callen, J. L., & Fang, X. (2013). Institutional investor stability and crash risk: monitoring or expropriation? Journal of Banking & Finance, 37(8), pp. 3047-3063.
Campbell, J.L., Chen, H., Dhaliwal, D.S., Lu, H. & Logan B.S. (2014). The information content of mandatory risk factor disclosures in corporate filings. Review of Accounting Studies, 19(1), 396-455.
 
 
Chen, J., Hong, H., Stein, J.C., (2001). Forecasting crashes, trading volume, past returns, and conditional skewness in stock prices. Journal of Finance Economy. 61(3), 345–381.
Cheng, C. A. A., Khurana, K. & Zhang, E. (2014). Cash Flow Opacity and Stock Price Crash Risk. Available at: www.ssrn.com.
Cheng, C. S. A, Li, S. & Zhang, E. X. (2020). Operating cash flow opacity and stock price crash risk. Journal of Accounting and Public Policy, In Press, Corrected Proof. 39(3).
Diamond, D. W., & Verrecchia, R. E. (1991). Disclosure, liquidity, and the cost of capital. The Journal of Finance, 46(4), 1325–1359.
Dianati Dilami, Z., Moradzadeh Fard, M., & Mahmoudi, S. (2012). Examine the effect of institutional investors on reduce stock price crash risk. Journal of Investment Knowledge, 2(1), 1-18. (in Persian)
Dobler, M. (2005). National and international developments in risk reporting: May the German accounting standard 5 lead the way internationally. German Law Journal, 6(8): 1191–200.
Dobler, M., K. Lajili, & D. Zéghal. )2011(. Attributes of corporate risk disclosure: And international investigation in the manufacturing sector. Journal of International Accounting Research, 10 (2), 1-22.
Easley, D., & O’Hara, M. (2004). Information and the cost of capital. The Journal of Finance, 59(4), 1553–1583.
Fallahzadeh Abarghouhei, A., Taftiyan (Ph.D), A., & Heirany (Ph.D), F. (2019). Relationship between information disclosure with the stock price synchronicity and crash risk of falling stock prices within simultaneous equations system. Journal of Accounting Knowledge, 10(1), 169-194. (in Persian)
Fassihi, S. Hosseini, S.A., & Mashayekh, S. (2019). Investing the effect of risk disclosure on the investment efficiency of companies listed on the Tehran stock exchange, Investment Knowledge, 31(7), 355-371. (in Persian)
Foroghi, D., & Ghasemzad, P. (2015). The effect of management overconfidence on future stock price crash risk. Journal of Financial Accounting Knowledge, 2(2), 55-72. (in Persian)
Foroghi, D., Amiri, H., & Mirzae, M. (2012). The impact of opacity in financial reporting on the future stock price crash risk of listed companies in Tehran stock exchange. Journal of Financial Accounting Research, 3(4), 15-40. (in Persian)
Haj-Salem, I., Damak Ayadi, S. & Hussainey, K. (2020). The joint effect of corporate risk disclosure and corporate governance on firm value. International Journal of Disclosure and Governance, 17(2): 123-140.
Heidari, M., Mansourfar, G., & Rezaei, M. (2016). The qualitative effect of risk disclosure components on information asymmetry, regarding to the moderating variables, firm-riskiness, economic downturn and institutional analysts in Tehran stock exchange. Financial Research Journal, 18(3), 391-414. (in Persian)
Heng, A., & Ting, Z. (2013). Stock price synchronicity, crash risk, and institutional investors. Journal of Corporate Finance, 21(C), 1-15.
Hope, O., Hu, D., & Lu, H. (2016). The benefits of specific risk-factor disclosures. Review of Accounting Studies, 21(4), 1005–1045.
Hu, G. & Wang, Y. (2018), Political connections and stock price crash risk: The role of intermediary information disclosure, China Finance Review International, 8(2), pp. 140-157
Hutton, A. P., Marcus, A. J. & Tehranian, H. (2009). Opaque financial reports, r2 and crash risk. Journal of Financial Economics, 94(1), 67-86.
Khayampour, A., Kheradyar, S., Rezaei, F., & Vatanparast, M. (2020). Decision usefulness evaluation of risk factor disclouser. , 11(42), 419-445. (in Persian)
Khodarahmi, B., Foroughnejad, H., Sharifi, M., & Talebi, A. (2016). The impact of information asymmetry on the future stock price crash risk of listed companies in the Tehran stock exchange. Asset Management and Financing, 4(3), 39-58. (in Persian)
Kim, H., & Yasuda, Y. (2013). A new approach to identify the economic effects of disclosure: Information content of business risk disclosures in Japanese firms. Tokyo Keizai University Working Paper
Kordestani, G., & Khatami, Z. (2016). The relationship quality of accounting information and accounting conservative with stock prices crash risk. Journal of Financial Accounting Knowledge, 3(2), 109-129. (in Persian)
Kothari, S. P., Shu, S., & Wysocki, P. D. (2009), Do managers withhold bad news? Journal of Accounting Research, 47(1), 241–276.
 
Lari Dasht Bayaz, M., Ebrahimi, M., & Balideh, F. (2016). Study of the relationship between accounting disclosure, stock price synchrony and stock price crash risk in companies listed on the Tehran stock sxchange. Monthly of Management and Accounting Research, 36(3). 137-119. (in Persian)
Lev, B. (1988). Towards a theory of equitable and efficient accounting policy. The Accounting Review, 63(1), 1–22.
Li, Y., He, J. & Xiao, M. (2019). Risk disclosure in annual reports and corporate investment efficiency, International Review of Economics &Finance, 63(C),138-151.
Linsley, P. M., & P. J. Shrives. (2006). Risk reporting: A study of risk disclosures in the annual reports of UK companies. British Accounting Review, 38 (4): 387-404.
Linsley, P., & Kajüter, P., (2008). Restoring reputation and repairing legitimacy: a case study of impression management in response to a major risk event at allied Irish banks plc. International Journal of Financial Services Management, 3 (1): 65-82.
Miihkinen. A. (2013). The usefulness of firm risk disclosures under different firm riskiness, investor-interest, and market conditions: New evidence from Finland. Advances in Accounting, incorporating Advances in International Accounting, 29(2), 312–331.
Miller, K. D., & Chen, W. R. (2003). Risk and Firms' Costs. Strategic Organization, 1(4), 355-382.
Mohamadi, S., & Sallehi, A. (2017). A Study of the relationship between management ability with investment efficiency and stock price crash risk. Journal of Accounting Advances, 9(2), 93-119. (in Persian)
Mokhtar E, S., & Mellett, H, (2013). Competition, corporate governance, ownership structure and risk reporting. Managerial Auditing Journal, 28 (9), 838 – 865.
Namazi M. & Ebrahimimai Maymand M. (2016). Studying the effect of corporate governance on risks disclosure. Journal of Quarterly Financial Accounting, 8 (30) :1-39. (in Persian)
Namazi, M. & Ebrahimimai Maymand M. (2016). Studying the disclosure of risk and influencial factors on this disclosure. Journal of Financial Accounting Knowledge, 3(2), 1-29. (in Persian)
 
Ntim Collins G., Lindop, Sarah, & Thomas, Dennis A. (2013). Corporate governance and risk reporting in South Africa: A study of corporate risk disclosures in the pre- and post-2007/2008 global financial crisis periods. International Review of Financial Analysis, 30(5), 363–383.
Oliveira, J. S., Rodrigues, L. L., & Craig, R., (2011). Voluntary risk reporting to enhance institutional and organizational legitimacy: evidence from Portuguese banks. Journal of Financial Regulation and Compliance, 19 (3): 271–288.
Reuters. (2005). Refco Risks Boiler-Plate Disclosure.’’ By Scott Malone. Friday, October 21, 2005. http:// w4.stern.nyu.edu/news/news. cfm?doc_id=5094.
Roulstone, D. T. (1999). Effect of SEC financial reporting release No. 48 on derivative and market risk disclosures. Accounting Horizons, 13(4), 343–363.
Schipper, K. (2007). Required disclosures in financial reports. The Accounting Review, 82(2), 301–326.
Schrand, C. M. & Elliott, J. A. (1998). Risk and financial reporting: A summary of the discussion at the 1997 AAA/FASB conference, Accounting Horizons, 12(3): 271-282.
Scott, W. R. (2009). Financial accounting theory. Prentice Hall, Canada Inc.
Shamsaddini, K., Daneshi, V., Fooladi Savadkoohi - Masted, F. (2019). Investigating the effect of institutional ownership on the relationship between the maturity of short-term debt and the risk of future stock price crash. Journal of Accounting Advances, 11(1), 201-228. (in Persian)
Song, L. (2015). Accounting disclosure, stock price synchronicity and stock crash risk an emerging-market perspective. International Journal of Accounting & Information Management, 23 (4), 349-363.
Souabni, S. (2011). Predicting an uncertain future: Narrative reporting and risk information. The Association of Chartered Certified Accountants. London. accessed 4 August 2016.
Tan, Y., Zeng, C. &Elshandidy, T. (2017), Risk disclosures, international orientation, and share price informativeness: evidence from China. Journal of International Accounting, Auditing and Taxation, 29(30): 81-102.
 
Verrecchia, R. E. (2001). Essays on disclosure. Journal of Accounting and Economics, 32(1), 97–180.
Wang, H. C., & Barney, J. B. (2006). Employee incentives to make firm-specific investments: Implications for resource-based theories of corporate diversification. Academy of Management Review, 31(2), 466-476.
Watts, R. L. (2003). Conservatism in accounting part I: Explanations and implications. Accounting Horizons, 17(3), 207-221.
Yogesh.C., Kumar, S. & Pathakb, R. (2017). Stock liquidity and stock prices crash-risk: Evidence from India. The North American Journal of Economics and Finance. 41 (14), 70-81.
 

فایل ها

سابقه مقاله

  • تاریخ دریافت: 19 مرداد 1399
  • تاریخ بازنگری: 29 دی 1399
  • تاریخ پذیرش: 29 دی 1399

هم رسانی

ارجاع به این مقاله

آمار