بررسی نقش تعدیل ‌گر فرصت رشد و سودآوری شرکت بر ارتباط ارزشی احساس ریسک گزارش‌ های سالانه با رویکرد پویا

مروری بر مطالعات انجام ‌شده در زمینه تاثیر احساس ریسک بر بازار سهام نشان می‌دهد که مطالعه جامعی برای بررسی تاثیر فرصت رشد و سودآوری شرکت بر ارتباط ارزشی احساس ریسک گزارش‌های سالانه انجام‌نشده است؛ بنابراین، هدف این پژوهش بررسی نقش تعدیل­گر فرصت رشد و سودآوری شرکت بر ارتباط ارزشی احساس ریسک گزارش‌های سالانه است. متغیر وابسته پژوهش قیمت سهام، متغیر مستقل احساس ریسک و متغیر تعدیل گر فرصت رشد و سودآوری است. بدین منظور 130 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران در بازه زمانی سال‌های 1387 تا 1399 با روش حذف سیستماتیک انتخاب شدند و به‌منظور افزایش درجه اطمینان نسبت به نتایج حاصل از آزمون فرضیات، از روش پیشرفته گشتاورهای تعمیم‌ یافته (gmm) استفاده‌ شد. برای اندازه‌گیری احساس ریسک از روش فراوانی واژگان بهره گرفته‌شده است. طبق یافته‌های پژوهش، احساس ریسک گزارش‌های سالانه بر قیمت سهام تاثیر معناداری دارد و همچنین فرصت رشد و سودآوری شرکت بر ارتباط ارزشی احساس ریسک گزارش‌های سالانه و قیمت سهام تاثیر معناداری دارند. همچنین، فرصت رشد و سودآوری به‌عنوان تعدیل‏گر بر رابطه‏ بین احساس ریسک و قیمت سهام تاثیر می‏گذارند. می‌توان ادعا نمود که بازار بورس اوراق بهادار تهران بیشتر تحت تاثیر متغیرهای اقتصادی است؛ بنابراین سیاست‌گذاری در حوزه‌های کلان جهت کاهش احساس ریسک اقتصادی لازم به نظر می‌رسد.

investigation of the moderating role of the firm’s growth opportunities and profitability on the value relevance of risk sentiment of annual reports with a dynamic approach

an indicator of investors’ trading behavior that affects asset prices is investor sentiment. investor sentiment is known as a degree of investor’s optimistic mood in financial markets. company-specific investor sentiments have a significant impact on the risk of a stock price fall. there are two types of traders, simple noise traders and rational arbitrageurs (informed traders) in the market. when noise traders have high risk sentiment and are very optimistic about a stock, they can easily drive its price to a high level. at this point, arbitrageurs should sell the stock short. however, they fear that in the near future noise traders will become even more bullish and push the price even higher, limiting their prime arbitrage position. under these conditions, arbitrage does not eliminate the effects of noise, because noise creates risk by itself. stronger investor sentiments lead to the risk of a particular company’s stock price falling, and the economic significance of this effect is not insignificant. stronger investor sentiment leads to more active margin investments in stocks, leading to higher stock price risk. therefore, the impact of investor sentiment on stock price downside risk is more pronounced for stocks eligible for margin trading. hence, this research seeks to answer the question of whether the moderating role of the firm’s growth opportunities and profitability has an effect on the value relationship of the risk perception of annual reports? 2- theoretical frameworkthe basic premise of using investors’ risk sentiments to predict stock prices, stock market returns, and liquidity is the synergy between stock prices and investors’ risk sentiments. however, this synergistic relationship has received less attention in the literature. when the stock price increases, the investor’s risk sentiment increases, and when the stock price decreases, the investor’s risk sentiment decreases. therrfore, this synergy may reverse or even disappear over a certain period of time. through a segmented measurement of the synergism between stock price and investor sentiment over the course of a day, we can also find that investor risk sentiment on social media is forward-looking. this provides theoretical support for the use of investor risk sentiment in stock price prediction. external anxiety can significantly affect the synergy between stock prices and investor risk sentiment, but this effect can increase positive or negative synergy. the existence of growth opportunities increases the performance of companies and shareholder wealth, which leads to participation in job creation and economic development, increasing the value of companies and the demand for high-quality innovation, and the improvement in the global market increases opportunities and competition, which also forces companies to invest and undertake riskier projects to maximize shareholder wealth. if investor risk sentiment does indeed drive asset prices, then analysts’ recognition and treatment of risk sentiment may affect the relative profitability of their stock recommendations. for example, an analyst may believe that a particular stock is overvalued based on his private estimate of the company’s intrinsic value. however, the analyst may hesitate to issue a sell recommendation if he believes that investor risk sentiment will continue to put upward pressure on asset prices in the short term. furthermore, if the analyst believes that investors will become even more bullish in the near future, he may actually issue a buy recommendation. if the analyst (1) correctly anticipates an upward (downward) shift in investor sentiment that ultimately causes an increase (decrease) in asset prices and (2) issues a more favorable (unfavorable) recommendation in response, then the analyst’s recommendation may be more profitable than his peers. 3- methodologythe current research is based on the classification based on the goal, use, and in terms of classification, it was done using the descriptive-correlation method and using the post-event approach. to collect research data and information by document mining method, field method and databases of tehran stock exchange, comprehensive information system of publishers (kedal) and modern rahvard software were used. finally, the data has been prepared using excel software and then the final analysis has been done using eviews software. content analysis method was used to check the level of risk perception from the activity report of the board of directors, the management’s interpretive report and the accompanying notes of the financial statements. in order to test the research hypotheses, the dynamic model approach has been used to estimate the models related to the hypotheses.  4- results discussionaccording to the findings of the research, the risk perception of annual reports has a significant effect on the stock price, and also the company’s growth opportunity and profitability have a significant effect on the value relationship between the risk perception of annual reports and the stock price. also, growth opportunity and profitability as moderators affect the relationship between risk perception and stock price. it can be claimed that tehran stock exchange market is more influenced by economic variables. therefore, it seems necessary to make policies in macro areas to reduce the feeling of economic risk. 5- conclusions suggestionsit can be claimed that tehran stock exchange market is more influenced by economic variables and financial and political variables do not have much effect on this market. therefore, investors are advised to pay special attention to the effect of risk perception on market returns in financial analysis. in addition, in order to reduce the effect of risk feelings on the economy and especially on the stock market, it seems necessary to make policies in macro areas to reduce the feeling of risk.