Investigation the sudden volatility of stock value of the Tehran stock exchange relying on preferences of investors and quality of accounting information
Subject Areas : Management AccountingMohammad Kheiry 1 , Hadi Esmaeilpour Moghadam 2 , Vahid Dehbashi 3
1 - Associate Prof., Faculty of Economic and Management Payam Noor University, Tehran, Iran
2 - Ph.D. Student in Financial Economics, Faculty of Economic, Allameh Tabataba’i University, Tehran, Iran
3 - Instructor., Faculty of Agricaltural University of Zabol, Zabol, Iran
Keywords: preferences of investors, quality of accounting informat, sudden volatility of stock val,
Abstract :
Nowadays, investors consider different factors to choose for investment. The goal of this research is the investigation the influence of the preferences of the investors and the quality of the accounting information on the sudden volatility of the stock market value in the Tehran stock exchange. The related community in this research are the companies that are membership of the stock market of Tehran on during the period 2004_2014. The analysis of the data was done by using the logit panel econometrics approach. Results show that the quality of the accounting information has a positive and a significant effect on the future sudden volatility of the stock market. Also the results of the research emphasize that significant effect of the preferences of investors on the future sudden volatility of the stock market. In fact the information quality and the preferences of the investors can forecast the future sudden volatility of the stock market value.
* حیدرپور، فرزانه؛ تاری وردی، یداله و محرابی، مریم (1392). «تاثیر گرایشهای احساسی سرمایهگذاران بر بازده سهام»، دانش مالی تحلیل اوراق بهادار، 17، 13-1.
* دموری، داریوش و دهقانی فیروزآبادی، ابولفضل. (1393). «بررسی ارتباط بین عدم تقارن اطلاعاتی و سیاست تقسیم سود با بکارگیری مدل لاجیت». راهبرد مدیریت مالی، شماره 4، 21-38.
* رهنمای رودپشتی، فریدون؛ معدنچیزاج، مهدی و بابالویان، شهرام (1391). «بررسی کارایی اطلاعاتی و حباب عقلایی قیمت بورس اوراق بهادار تهران و زیربخشهای آن با استفاده از آزمون نسبت واریانس و آزمون پایایی قیمت-سود»، 5، 59-75.
* عسگری، مهدی؛ حاجیحسن معمار، احسان و متین مطلق، مریم (1394). «بررسی تأثیر رفتارهای احساسی سرمایهگذاران بر جریان نقد آزاد، اقلام تعهدی اختیاری و بازده سهام در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران در سال-های 1392-1388»، دومین کنفرانس بینالمللی پژوهشهای نوین در مدیریت، اقتصاد و حسابداری.
* فیاضی، هادی؛ فدایینژاد، محمداسماعیل و رضایی، فرزین (1393). «رابطه میان شاخص واکنش رفتاری سرمایهگذاران با شاخصهای بورس اوراق بهادار تهران»، کنفرانس بینالمللی حسابداری، اقتصاد و مدیریت مالی، تهران.
* قالیباف اصل، حسن و ناطقی، محبوبه (1387). «بررسی کارایی در سطح ضعیف در بورس اوراق بهادار تهران (بررسی زیربخشهای بازار)»، تحقیقات مالی، 9، 66-47.
* مشایخی، بیتا و محمدپور، فرشاد. (1393). «کیفیت گزارش گری مالی، سررسید بدهی و کارایی سرمایه گذاری». راهبرد مدیریت مالی، شماره 7، 1-14.
* مشیری، سعید و مروت، حبیب. (1385). «پیش بینی شاخص کل بازده سهام را با مدل های خطی و غیر خطی»، پژوهشنامه بازرگانی ، دوره 11، شماره41، 245-275.
* نیکبخت، محمدرضا؛ حسینپور، امیرحسین و اسلامی مفیدآبادی، حسین (1395). «بررسی تلثیر رفتار احساسی سرمایهگذاران و اطلاعات حسابداری بر قیمت سهام»، پژوهشهای تجربی حسابداری، 22، 245-219.
* Aboody, D., hughes, J. and liu, J. (2005). “Earnings quality, insider trading and cost of capital”, Journal of Accounting Research, 43, 651–673 .
* Andrade, E. (2005). “Behavioral consequences of effect: combining evaluation and regulatory mechanisms”, Journal of Consumer Research, 32(3), 355-362.
* Arora, S. & Marwaha. K. (2014). Variables influencing preferences for stocks (high risk investment) vis-à-vis fixed deposits (low-risk investment): A comparative study. International Journal of Law and Management, 56, 333-343.
* Baker, M. and Wurgler, J. (2006). “Investor sentiment and the cross-section of stock returns”, Journal of finance, 61, 1645-1680.
* Baker, M. and Wurgler, J. (2007). “Investor sentiment in the stock market”, International Review of Economics & Finance, 27, 129-151.
* Baker, M.; Wurgler, J. & Yuan, Y.( 2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104, 272–287.
* Ball, R. and Brown, P. (1968). “An emprical evaluation of accounting income numbers”, Journal of Accounting Research, Vol. 6, No. 2, 159-178.
* Bandi, F. & Perron, B. (2008). Long-run risk-return trade-offs. Journal of Econometrics, 143, 349–374.
* Barth, M., Konchitchki, Y. and Landsman, W. (2013). “Cost of capital and eaening transparency”, Journal of Accounting and Economics, 55, 206–224.
* Belzile, R.; Fortin, A. &Viger, C. (2006). Recognition versus Disclosure of Stock Option Compensation: An Analysis of Judgements and Decisions of Nonprofessional Investors. Canadian Accounting Perspectives, 5, 147-153.
* Białkowski, J.; Etebari, A. & Wisniewski, T.P. (2012). Fast profits: investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36, 835–845.
* Bollerslev, T.; Tauchen, G. and Zhou, H. (2009). Expected stock returns and variance risk premia. Review of Financial Studies, 22, 4463–4492.
* Brown, G.W. & Cliff, M.T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11, 1–27.
* Christensen, B.J. & Nielsen, M. (2007). The effect of long memory in volatility on stock market fluctuations". The Review of Economics and Statistics, 89, 684–700.
* Christoffersen, P.; Feunou, B.; Jacobs, K. & Meddahi, N. (2012). The economic value of realized volatility: Using high-frequency returns for option valuation. Working Paper, University of Toronto.
* Christoffersen, P.; Jacobs, K.; Ornthanalai, C. & Wang, Y. (2008). Option valuation with long-run and short-run volatility components. Journal of Financial Economics, 90, 272–297.
* Christoffersen, P.F. & Diebold, F.X. (2000). How relevant is volatility forecasting for financial risk management?. The Review of Economics and Statistics, 82, 12–22.
* Cisko, Š. and Klieštik, T. (2013). Finančný manažment podniku II. Žilina: EDIS Publisher.
* Cornell, B., Landsman, W. and Stubben, S. (2014). “Accounting information, investor sentiment and market pricing”, Journal of Law, Finance, and Accounting (JLFA), 1-31.
* Corsi, F.; Fusari, N. and La Vecchia, D. (2013). "Realizing smiles: Options pricing with realized volatility". Journal of Financial Economics, 107, 284–304.
* Francis, J., Lafond, R., olsson, p. and Schipper, K. (2005). “The market pricing of accruals quality”, Journal of Accounting and Economics, 39, 295–327.
* Ghysels, E.; Santa-Clara, P. and Valkanov, R. (2005). "There is a risk-return trade-off after all". Journal of Financial Economics, 76, 509–548.
* Hiriogoyen, G and Poulain_Rehm, T. (2014). “Relationships between corporate social responsibility and financial performance: what is the causality?”, Journal of Business & Management, 4, 18-43.
* Hribar, P. and McInnis, J. (2012). “Investor sentiment and analysts earnings forecast errors”, Management science, 58, 293-307.
* Isen, A., Nygren, M. and Ashby, G. (1988). “Influence of positive effect on the subjective utility of gains and losses: it is just not worth the risk”. Journal of Personality and Social Psychology, 55(5), 710-717.
* Karamanou, I and Vafeas, N. (2005). “The association between corporate boards, audit committees, and management earnings forecasts: An empirical analysis”, Journal of Accounting Research, 43(3), 453-486.
* Kim, T. and Ha. A. (2010). “Investor Sentiment and MarketAnomalies”, 23rd Australasian Finance andBanking Conference Paper, Available at www.ssrn.com.
* Klieštika, T.; Kočišováa, K. and Mišankováa, M. (2015). "Logit and Probit Model used For Prediction of Financial Health of Company". Procedia Economics and Finance, 23, 850 – 855.
* Kollár, B., and Cisko, Š. (2014). "Credit risk quantification with the use of CreditRisk". International Conference on Management, Education, Business, and Information Science, 43-46.
* Lee, C. and Shleifer, A. and Thaler, R. (1991). “Investor sentiment and the closed end fund puzzle”, Journal of Financial Services Research, 7,199–216.
* Li, Feng, (2006) “Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports?”, SSRN Electronic Journal, Available at www.ssrn.com
* Maheu, J.M. and McCurdy, T.H. (2011). "Do high-frequency measures of volatility improve forecasts of return distributions?". Journal of Econometrics, 160, 69–76.
* Mei-Chen Lin (2010). “The effect of investor sentiment on returns and idiosyncratic risk in the Japanese stock market”, International research journal of finance and economics, 60, 29-43.
* Rajgopal, S. and Venkatachalam, M. (2011). “Financial reporting quality and idiosyncratic return volatility”, Journal of Accounting and Economics, 51, 1–20.
* Seo, s.w. and Kim, j.s. (2015). "The information content of option-implied information for volatility forecasting with investor sentiment", Journal of Banking & Finance, 50, 106–120.
* Shefrin, H., (2008). “Risk and Return in Behavioral SDFBased Asset Pricing Models”, Journal of Investment Management, 6, 1-19.
* Wright, W. and Bower, G. (1992). “Mood effects on subjective probability assessment”, Organizational behavior and human decision processes, 52, 276-291
* Yim, J. (2002). "A comparison of neural networks with time seriesmodels for forecasting returns on a stock market index". paper.Schoolof Economics and Finance.
* Zhu, B. and Niu, F. (2016). “Investor sentiment, accounting information and stock price: Evidence from China”, Pacific-Basin Finance Journal, 38, 125–134.
_||_