باز طراحی مدل ارزیابی کیفیت افشای ریسک شرکت‌ها بر مبنای مدل زنجیره مارکوف پنهان

نوع مقاله : مقاله پژوهشی

نویسندگان

گروه حسابداری، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

10.22103/jak.2024.23666.4071

چکیده

هدف: طراحی مدلی برای ارزیابی کیفیت افشای ریسک بر اساس احتمال همراستایی بین افشای ریسک و وضعیت واقعی ریسک شرکت.
 
روش: مدل پژوهش بر پایه مدل زنجیره مارکوف پنهان و الگوریتم زنجیره مارکوف مونت‌کارلو و با استفاده از داده‌های 150 شرکت پذیرفته شده و فعال در بورس اوراق بهادار تهران طراحی و برآورد شده است. از داده‌های بازه زمانی 1392 تا 1398 برای پرورش و تخمین مدل و از داده‌های بازه زمانی 1399 تا 1401 برای بررسی دقت پیش‌بینی مدل استفاده شده است.
 
یافته‌ها: شاخص‌های ریسک سیستماتیک (بتا)، نوسان بازدهی سهام، نسبت درآمد صادراتی به کل درآمد و نوسان جریان نقد عملیاتی، عوامل مؤثر بر احتمال همراستایی افشای ریسک با وضعیت ریسک شرکت‌ها هستند. نسبت نقدینگی، اهرم عملیاتی، اهرم مالی و اندازه شرکت، با کیفیت افشای ریسک در حالت وضعیت ریسک پایین رابطه منفی دارند.
 
نتیجه‌گیری: مدل پژوهش می‌تواند به عنوان مبنایی مناسب برای تحلیل و پیش‌بینی الگوهای افشای ریسک و ارتقای کیفیت اطلاعات ارائه شده به استفاده‌کنندگان صورت‌های مالی استفاده شود. همچنین مدل پژوهش، تأثیر شاخص‌های ریسک را بر احتمال افزایش افشای ریسک در دوره‌های زمانی متوالی پیش‌بینی می‌کند. این موضوع نشان می‌دهد شرکت‌ها تمایل دارند سطح افشای ریسک را بدون توجه به وضعیت واقعی ریسک افزایش دهند که این امر منجر به کیفیت پایین افشای ریسک می‌شود.

کلیدواژه‌ها

موضوعات


برادران حسن‌زاده، رسول و محرومی، رامین (1396). تأثیر افشای ریسک بر پیش‌بینی قیمت سهام به‌وسیله سود و ارزش شرکت‌ها. راهبرد مدیریت مالی، 19(5)، 2-9. 10.22051/JFM.2018.13881.1274
ختن‌لو، محسن؛ بولو، قاسم و باباجانی، جعفر (1400). بررسی وضعیت گزارشگری ریسک شرکتی در ایران و ارتباط ارزشی آن با بازده ویژه سهام. فصلنامه حسابداری مالی، 13(50)، 131-87. https://qfaj.mobarakeh.iau.ir/article-1-2558
ختن‌لو، محسن؛ بولو، قاسم و تقوی‌فرد، سیدمحمدتقی (1401). ارائه مدلی برای ارزیابی گزارشگری ریسک شرکتی در ایران. مجله دانش حسابداری، 13(2)، 1-29. 10.22103/jak.2021.17904.3531
نمازی، محمد و ابراهیمی‌میمند، مهدی (1395). بررسی چگونگی افشای ریسک در گزارش سالانه شرکت‌ها و عوامل مؤثر بر آن. دانش حسابداری مالی، 9(3)، 1-29. https://jfak.journals.ikiu.ac.ir/article_911.html
نمازی، محمد و ابراهیمی‌میمند، مهدی (1400). افشا و گزارشگری ریسک شرکت‌ها: ارائه چارچوب جامع. مجله دانش حسابداری،12(2)، 1-27. 10.22103/jak.2021.16194.3294
محمدی نسب، سید محمد و بولو، قاسم (1401). رابطه افشای ریسک و هموارسازی سود با ریسک شرکت. فصلنامه علمی تخصصی رویکردهای پژوهشی نوین در مدیریت و حسابداری، 6(20)، 1-20. https://majournal.ir/index.php/ma/article/view/1234
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