تأثیر محیط های مختلف اطلاعاتی بر رابطه بین کیفیت افشاء و ریسک غیرسیستماتیک سهام: رویکرد تحلیل مؤلفه های اصلی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد حسابداری، دانشگاه شیراز، شیراز، ایران

2 دانشجوی دکتری حسابداری، دانشگاه مازندران، بابلسر، ایران.

3 کارشناسی ارشد حسابداری، مؤسسه آموزش عالی کار، دانشکده مدیریت و حسابداری، قزوین، ایران.

چکیده

هدف اصلی این پژوهش، بررسی تأثیر محیط‌های مختلف اطلاعاتی بر رابطه بین کیفیت افشاء و ریسک غیرسیستماتیک سهام در شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران می‌باشد. در راستای بررسی این موضوع، فرضیه‌های‌ پژوهش بر مبنای یک نمونه آماری متشکل از 86 شرکت طی یک دوره 11 ساله از سال 1387 لغایت 1397 و با استفاده از الگوهای رگرسیونی چند متغیره مورد آزمون قرار گرفت. بدین منظور از خطاهای پیش‌بینی مدیریت به‌عنوان نماینده‌ای برای کیفیت افشاء، از مدل قیمت‌گذاری دارایی‌های سرمایه‌ای برای اندازه‌گیری ریسک غیرسیستماتیک و از معیار اندازه شرکت به‌عنوان نماینده‌ محیط اطلاعاتی بهره گرفته شده است. برای محاسبه خطاهای پیش‌بینی مدیریت نیز از ارزش قدرمطلق معیار ترکیبی خطاهای پیش‌بینی مدیریت به روش تحلیل مؤلفه‌های اصلی استفاده شده است. نتایج پژوهش نشان می‌دهد که بین کیفیت افشاء و ریسک غیرسیستماتیک رابطه منفی و معناداری وجود دارد. همچنین، وجود یک محیط اطلاعاتی مطلوب (ضعیف) موجب افزایش (کاهش) کیفیت افشاء و کاهش (افزایش) ریسک غیرسیستماتیک می‌شود.

کلیدواژه‌ها


عنوان مقاله [English]

The Impact of Different Information Environments on the Relationship between Disclosure Quality and Idiosyncratic Stock Risk: A Principal Component Analysis Approach

نویسندگان [English]

  • Shokrollah Khajavi 1
  • Mehran Jahandoust Marghoub 2
  • Soraya Weysihesar 3
1 Professor of Accounting, Shiraz University, Shiraz, Iran
2 Ph.D. Student of Accounting, University of Mazandaran, Babolsar, Iran.
3 MSc. of Accounting, KAR Higher Education Institute, Department of Management and Accounting, Qazvin, Iran.
چکیده [English]

The main purpose of this study was to investigate the impact of different information environments on the relationship between disclosure quality and idiosyncratic stock risk in listed companies in Tehran Stock Exchange. To investigate this issue, the research hypotheses were tested on the basis of a statistical sample of 86 companies over a 11 year period from 2009 to 2019 using multivariate regression models. For this purpose, management forecast error as a proxy for disclosure quality, capital asset pricing model for idiosyncratic risk measurement and company size criterion as representative of information environment are used. In order to calculate the management forecast errors, the absolute value of the composite measure of management forecast errors using the principal component analysis method was used. The results show that there is a negative and significant relationship between disclosure quality and idiosyncratic risk. Also, having a favorable (weak) information environment increases (decreases) the quality of disclosure and reduces (increases) idiosyncratic risk.

کلیدواژه‌ها [English]

  • Disclosure Quality
  • Management Forecast Error
  • Idiosyncratic Risk
  • Information Environment
  • Principal Component Analysis
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