تاثیر کیفیت مدیریت ریسک بر نوسانات ضمنی اعلان سود

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دکتری حسابداری، دانشگاه آزاد اسلامی، واحد نجف آباد، نجف آباد، ایران

2 دانشجوی دکتری حسابداری، دانشگاه آزاد اسلامی، واحد نجف آباد، نجف آباد، ایران

چکیده

نوسانات ضمنی اعلان سود ویژگی سری زمانی سود را کاهش می‌دهد و بهبود کیفیت مدیریت ریسک از میزان نوسانات احتمالی در اعلان سود می‌کاهد. بر این اساس، در این پژوهش با بهره­­گیری از رهنمود کمیته کوزو به بررسی تأثیر کیفیت مدیریت ریسک بر نوسانات ضمنی اعلان سود پرداخته شده است. کیفیت مدیریت ریسک مبتنی بر پژوهش گوردن و همکاران (2009) بر اساس امتیازبندی هشت­گانه برآورد شده است. جامعه­ آماری پژوهش شامل کلیه شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران طی سال‌های 1390 تا 1395 است. نمونه ­آماری بر اساس روش حذف نظام ­مند بالغ بر 69 شرکت است. روش اجرای پژوهش مبتنی بر داده های ترکیبی و رگرسیون چندگانه با در نظر گرفتن الگوی حداقل مربعات تعمیم ­یافته است. شواهد پژوهش حاکی از آن است که تغییرات در کیفیت مدیریت ریسک، نوسانات ضمنی اعلان سود را کاهش می‌دهد. به عبارتی به ازای یک درصد افزایش در کیفیت مدیریت ریسک، نوسانات ضمنی اعلان سود یک درصد کاهش می‌یابد.

کلیدواژه‌ها


عنوان مقاله [English]

The Effect of Risk Management Quality on Volatility around Earnings Announcements

نویسندگان [English]

  • vahid bekhradi nasab 1
  • FATEMEH ZHOLANEZHAD 2
1 PhD of Accounting, Islamic Azad University, Najafabad Branch, Najafabad, Iran
2 PhD Student in Accounting, Islamic Azad University, Najafabad Branch, Najafabad, Iran
چکیده [English]

The Volatility around earnings announcements reduce the characteristic of earnings time-series. Improving the risk management quality, reduces the volatility around earnings announcements. Accordingly, in this paper, using the guidelines of the Committee of Sponsoring Organizations of the Treadway Commission (COSO), the impact of risk management quality on volatility around earnings announcements has been addressed. Risk management quality based on the research Gordon et al (2009) is estimated four objectives of ERM . The statistical population include the companies listed in the Tehran Stock Exchange between 2011 and 2016. The sample is based on a systematic method of over 69 companies. The method of research is based on panel data and multiple regression, taking into account the generalized least squares model. Evidence of research suggests that changes in risk management quality reduce the volatility around earnings announcements. In other words, for a 1% increase in the risk management quality, the implied volatility of the profit declaration is reduced by 1%.

کلیدواژه‌ها [English]

  • COSO Guidance
  • Risk Management Quality
  • Volatility around Earnings Announcements
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