Investigating the relationship between risk sentiment of annual reports and investor risk perception

Subject Areas : Stock Exchange

mehdi mirzania nokhandan ¹ , akram taftiyan ²

1 - Department of Accounting, Yazd Branch, Islamic Azad University of Yazd, Yazd, Iran
2 - Department of Accounting, Yazd Branch, Islamic Azad University of Yazd, Yazd, Iran.

Received: 2022-09-19 Accepted : 2022-12-28 Published : 2023-09-23

Keywords: Risk perception, Risk Sentiment, Annual Reports, System of Simultaneous Equations,

Abstract :

Sentiment risk factors at the market level include a small portion of possible factors that include factors related to competition, suppliers, employees and customers, financing, foreign operations, regulations, lawsuits, governance, the environment. The severity of this disclosure gap is only addressed by regulatory efforts that require companies to discuss their quantitative and qualitative assessments of perceived risks and uncertainties. One of dimensions of behavioral finance is behavioral risk, which is also known mental risk or perceived risk; which actually the investors' subjective judgment of the risk, which may be estimated more or less than the real risk. The main purpose of the present research is investigate the relationship between the risk Sentiment annual reports and the investor's risk Sentiment, which was conducted based on data of companies admitted the Tehran Stock Exchange in 13-year period between 2007 and 2019. To test the hypotheses of the research, the system of simultaneous equations and the analysis of two-stage regression coefficients have been used. The estimation results indicate that there significant relationship between the change in the standard deviation of monthly returns, the change in beta risk, and the change the volume of stock transactions with changes in risk Sentiment of annual reports.