ریسک سیستماتیک

Numerous studies have investigated the relationship between systematic risk and a wide range of accounting and financial variables. However, most empirical studies have adopted the classical regression method, which entails limitations such as a restricted number of variables to preserve degrees of freedom. To overcome this constraint, the present study employs the Bayesian Model Averaging (BMA) method. Using data from 55 companies listed on the Tehran Stock Exchange between 2010 and 2023, this study examines the influence of 58 different financial and accounting variables on the systematic risk of these companies. The research aims to identify the key variables that significantly contribute to systematic risk. The findings reveal that among the examined variables, company size has the strongest impact on systematic risk, with a positive coefficient. In second and third place, asset turnover and operational efficiency demonstrate significant effects, with the former exhibiting a positive coefficient and the latter a negative coefficient. The fourth influential variable is the ratio of long-term debt-to-equity, showing a positive coefficient. Lastly, the ratio of a company's market value to the book value of its total assets is identified as the fifth influential variable, exerting a negative impact on systematic risk.

Banks play an important and fundamental role in the economy of emerging countries so that they supply a huge and wide part of economic activities, and they certainly are exposed to many risks in performing them. The purpose of this research is to investigate the relationship between risks based on the accounting and market criteria of registered banks in Stock Exchange Organization. Following this issue, the quality and transparency of registered banks' reporting in Iran's capital market is considered significantly important, therefore the improvement of the quality and transparency of banking information causes the sufficient awareness and adopting the correct decisions by investors. This research has investigated the role of the relationship between risks based on accounting components and capital market criteria in state banks in the period of 2013 to 2022. Total market risk, systematic risk and the specific risk of each bank is considered as dependent variables and total risks, liquidity and credit leveraged accounting are considered as independent variables. Panel data statistical technique was used for testing the hypotheses. The obtained results indicate that there is a significant relationship between risks based on accounting components and capital market criteria of state banks.

The aim of this paper is to investigate the role of the fundamental accounting variables in determining the systematic risk by focusing on two samples of healthy and financially distressed firms.

The method is pairwise comparison. For this purpose, the data of 17975 monthly observations of healthy firms and 6430 monthly observations of distressed firms (309firm) were analyzed.

The results indicated that there is a significant difference between the status of fundamental variables in healthy and distressed stocks. Also, systematic risk in distressed firms is higher than in healthy firms (at 90% confidence level). And finally, the results showed that the expected returns and risk premium in healthy firms is higher than distressed firms.

The results indicated that there is a relationship between the fundamental accounting variables and systematic risk in two samples of financially distressed and healthy firms, and this relationship causes the difference in expected return and premium risk of financially distressed and healthy firms.

Contribution:

 Identifying the fundamental accounting variables and explaining their relationship with systematic risk by separating financially distressed and healthy firms leads to a more accurate premium risk assessment.

Considering that today, the success and sustainability of business, in addition to income, is measured based on non-financial indicators related to the company's social, environmental and governance performance, the purpose of this research is to investigate the relationship between the non-financial dimensions of corporate sustainability performance and systematic risk.

In this research, from the statistical population of companies listed on the Tehran Stock Exchange, a sample of 96 companies during the years 1393 to 1397 was selected by systematic removal method and data were analyzed using multivariate linear regression.

The results of the research hypothesis test indicate that the sustainability performance of companies has no significant relationship with systematic risk.

In addition to the mixed experimental results of the link between the non-financial and financial dimensions of the companies' performance, according to the findings of the current research, the social, environmental and corporate governance performance does not have the ability to influence the inherent risk of the market; Of course, according to some findings, the instability of financial markets can play a moderating role in the nature and strength of risk relations and non-financial performance of companies.

Contribution: 

The findings of this research can help business organizations, managers and investors in understanding the impact of sustainability performance in creating shared value for stakeholders, in order to make investment decisions based on sustainability criteria.

Holding cash has its benefits and costs. The main purpose of holding cash is to reduce financial shocks, minimize capital costs, allow investment projects to be carried out efficiently in the presence of financial constraints. Keeping cash in a company's reserves acts as a hedge against future financial shocks, and companies tend to accumulate cash to deal with a possible financial crisis in the coming years. Holding cash also minimizes the cost of capital and costs associated with external financing, increasing investors' expectations of return on capital. Therefore, the purpose of this research is to investigate the relationship between cash retention and expected stock returns.The statistical population of this research is all the companies admitted to the Tehran Stock Exchange and 134 companies were selected in the period of 2015 to 2015 by systematic elimination method. Also, to test research hypotheses, multivariate regression model based on combined data was used. The results indicate that there is a direct and significant relationship between cash retention and expected stock returns. Also, there is no direct and meaningful relationship between cash holding and systematic risk. There is a direct and significant relationship between cash retention and the real return on the company's stock.

Managers can influence the company's social responsibility activities with their behaviors and reduce or eliminate the effects of the company's decisions and activities in the field of social responsibility; Corporate social responsibility is a type of corporate governance that the company can use to protect stakeholders from possible misbehavior of managers and thereby reduce information ambiguity as well as debt costs. Therefore, the purpose of this study is to investigate the effect of social responsibility on systematic risk by considering the role of debt cost adjustment. This study analyzes the information of 115 companies listed on the Tehran Stock Exchange during the years 2016 to 2016. In this study, multivariate regression model has been used to test the hypotheses. The results of this study show that social responsibility has no effect on systematic risk. The results also showed that the cost of debt has no moderating effect and does not affect the relationship between social responsibility and systematic risk.

Today, in organizational communication, sustainability reporting has gained more momentum. Disclosure of corporate sustainability shows the role and contribution of firms in sustainable development in three main areas such as social sustainability, environmental sustainability and corporate governance. Considering the importance of sustainability reporting in the global economy and risk assessment for strategic and investment decisions, our aim in this study is to explain the relationship between sustainability disclosure and risk in companies listed on the Tehran Stock Exchange.

Data related to 123 companies listed on the Tehran Stock Exchange during the years 2015 to 2019 were examined. To test the hypotheses, the generalized least squares regression method was used.

The findings showed that there is a significant relationship between systematic risk and sustainability disclosure. There is no significant relationship between total risk and sustainability disclosure and also between non-systematic risk and sustainability disclosure.

Sustainability reporting benefits such as greater understanding of risks and opportunities, emphasis on linking financial and non-financial performance, influencing long-term management strategies and policies and business plans, simplifying processes, reducing costs and improving efficiency, reducing negative environmental, social and corporate governance impacts, improving credibility And brings brand loyalty to companies. The results showed that there is a significant negative relationship between sustainability disclosure and systematic risk. Therefore, disclosing consistency by improving brand transparency and credibility can create a positive image of the company among stakeholders and reduce the company's systematic risk.

The aim of this paper is to develop a behavioral representation model by focusing on the moderating role of female managers on the relationship between risk-taking motivations and risk“systematic vs idiosyncratic” and performance outcomes.

This research has been carried out using annual data of companies accepted in Tehran Stock Exchange during the period of 2012-2018. For testing of research hypotheses, multivariate linear regression has been used based on panel data.

The results of the first hypothesis show that the effect of the interactive role of female managers on the relationship between delta and non-systematic risk is negative and significant compared to systematic risk relationships. The results of the second hypothesis also show that female managers have a direct impact on the relationship between voluntary incentives for managers (Delta) and company performance.

The results suggest a very conservative, risk-averse situation for female managers when they are given optional incentives for idiosyncratic (firm-specific) risk. Also, the results confirm that female managers are less likely to face areas of systematic risk, although more conservative, but lead to increased company performance.

The importance of cash in financial literature and decision-making realm has always made it the focus of attention of financial institutions and users of financial statements. Moreover, the issue of social responsibility and its impact on corporates’ financial and social performance has been one of the major issues in accounting and financial research for so long. Also, the relationship between these two variables cannot be studied meticulously without considering the function of other factors such as systematic risk or corporate governance factor. To this end, the main objective of the current study is to investigate the relationship between social responsibility and cash holdings with an emphasis on the mediating role of systematic risk factors and corporate governance. The required data for this study were gathered based on a systematic removal sampling method and the resulting statistical sample consisting of 118 companies between the years 2011 and 2016. To test the hypotheses, multivariate regression analysis and compositional data analysis method were conducted using the econometric software Eviews. The results show that systematic risk and corporate governance have a mediating role on the relationship between social responsibility and cash holdings; in fact, systematic risk weakens this relationship, but corporate governance strengthens it.

The objective of this study is to investigate the relationship between stock market development impacts on the fulfillment of corporate social responsibility in Tehran Stock Exchange. Social responsibility criteria is calculated by using the MAX DEA. If the corporates social responsibility is done better; then the stock market will continue to growth. The study population consisted of 87 companies in various industries in Tehran Stock Exchange during the years 1384 to 1393. The methodology of this research is descriptive and it emphasis on correlation relationships. In this study, the multiple regression is used to test the hypothesis and Godfrey serial correlation method is also used to determine the relationship between variables. The results show a significant positive relationship between stock market development and corporate social responsibility.

Today, improving the information environment can lead to firm risk reduction by increasing market's transparency. Present study investigates the effect of information environment on the relationship between Management Earnings Forecast and firm risk based on static and dynamic approaches. To test in static approach, Multivariate regression with fixed effects, and in dynamic approach, Generalized Moment of Method (GMM) has been used. Using a systematic elimination method, 65 companies were selected among listed companies in Tehran Stock Exchange. Time domain research for data extraction, is years 2010 to 2019, and for data testing is 2012 to 2019. Results in both static and dynamic state indicate a reverse and significant relationship between firm risk and management earnings forecast, and in companies with stronger information environments, this relationship is lower. Also, the effect of independent variables on non-systematic risk in the dynamic approach is greater than the static approach.

Considering the important function of elements such as cash holdings and social responsibility in the realm of accounting studies, the study of factors affecting the relationship between them is important. Therefore, the main purpose of this study is investigating the moderating role of systematic risk and corporate governance on the relationship between social responsibility and cash holding.

In order to reach the objectives of the study, 118 firms accepted in Tehran Stock Exchange between the years 2012 and 2017 have been selected, and based on compositional data analysis method, the hypotheses of the study have been tested.

Based on the results of statistical tests, it has been found that systematic risk has been able to affect and increase the impact of social responsibility on the cash holdings; however, the moderating role of corporate governance on the relationship between social responsibility and cash holding was verified at 90% confidence level.

In order to protect stakeholders’ rights, companies that care about their duties of social responsibility need to hold more cash.Accordingly, the increase in systematic risk increases the need to take extra cash.It also seems that corporate governance reduces the need for cash holdings in companies, andthis way it is the best strategy for companies interested in investing in social issues.

Investigating the moderating effect of corporate governance, along with systematic risk factor, can have information content in examining the effect of social responsibility on cash holding.

Earnings and its measurement methods are among the most important determinants of the stock market value and the measures of calculating the corporate risk. As a result, increasing the modifications in the future earnings heightens the risk, affecting the investors’ decisions. Therefore, analyzing the moderating role of systematic risks in using the earning management approaches for influencing the stock market value was the overarching purpose of this is to research.

Data collected on 131 listed companies from 2008 to 2017 was tested using the panel data method and the fixed effects method to test the research hypotheses. To this end, two hypotheses were formulated and the McNichols was used to measure the accrued earnings. The Roychowdhury method was used to measure the real earnings.

The findings from this research showed the positive and significant relationship between the accrued and real earning management approaches and the stock market value. Besides, companies use the optional accrued and real earnings approach to positively affect the stock market value, which is not associated with the corporate risk.

Based on the present research results, the variable effect of the systematic risk reduces the variable coefficient of the accrued and real earning management in relation to the stock market value. In other words, the corporate systematic risk does not have a moderating effect on the relationship between the earning management approaches and the stock market value. The capital market inefficiency and investors’ failure to correctly analyze and interpret the information in financial statements and corporate risks, as well as managers’ ability and opportunistic attempts to change the earning data and the investors’ expectations, have suppressed the effect of systematic risks on the selection of the earning management approaches.

In this research, the role of the systematic risk in the selection of the earning management approaches for influencing the stock market value and performance is researched for the first time. Furthermore, the findings from the present research may explain the reasons for the company managers and investors’ negligence in taking systematic risk into account.

The main purpose of the paper is to estimate the effect of mandatory adoption of International Financial Reporting Standards (IFRS) on the relationship between market-based measured of risk and acconting variables using a sample of banks are listed on the Theran stock exchanges that covers pre-IFRS and post-IFRS periods2015-2017,in order to examine whether IFRS introduction enhaces the systematic and nonsystematic risks.Employing pearson correlation coefficient and paired –samles t test and the Fisher r-to-z transformation , our finding show that the adoption IFRS reinforces positive association between loans to assets ratio with systematic risk while credity and size with systematic and nonsystematic risk and conservatism and EPS with systematic risk are inversely related under IFRS. In addition, the relationship between income diversification and market measures of risk is satistically significate after the adoption IFRS, than earning par share are inversely related with systematic risks. Finally IFRS didn’t has any effect in the relationship between liquidity and systematic and nonsystematic risks.The evidence supports the findings for European companies and thus points to the benefits potentially available to companies in countries that have yet to adopt IFRS .Our findings highlight the effects of mandatory adoption IFRS in iranian banks so we suggest to reduce systematic risks in other companies , IFRS will be initially adopted voluntarily

 
We identify two channels and the corresponding mechanisms through which corporate social responsibility disclosure (CSRD) may affect corporate cash holdings. CSR firms are expected to have relatively low cash holdings because they tend to have low idiosyncratic risk due to their higher social capital with stakeholders. CSR firms also tend to have low systematic risk due to greater loyalty from CSR investors and/or customers. Lower systematic risk may increase or decrease cash holdings. Although low systematic risk induces firms to reduce their cash holdings, it also induces firms to hold a short debt maturity structure, with higher refinancing risks that higher cash holdings may mitigate.
https://www.sciencedirect.com/science/article/pii/S0929119916000092
While the determinants of corporate cash holdings have been widely studied in the literature, the directrelationship between corporate social responsibility disclosure (CSRD) and corporate cash holdings remains largely unexplored. We fill this gap by examining whether and how CSR relates to corporate cash holdings. In particular, we identify and test two channels through which CSRD may explain cash holdings.
Thus research hypotheses developed as follows:
Corporate social responsibilities disclosure impact on companies' cash holding by influencing on idiosyncratic risk.
Corporate social responsibilities disclosure impact on companies' cash holding by influencing on systematic risk.
To test the research hypotheses, we specify the following empirical model:(1) Cashi,t = B0 + B1 idioi,t + B2 betai,t t + B3 CSRDi,t +(2) (3)
The model consists of three equations. Equation (1) describes how the idiosyncratic risk (idio) channel, the systematic risk (beta) channel to determine corporate cash holdings (cash). The presence of corporate social responsibility disclosure (CSRD) in equation (1) allows for the possibility that CSRDmay have a direct effect on corporate cash holdings. Equations (2) and (3) describe how CSRDaffects the idiosyncratic risk channel (Equation (2)) and the systematic risk channel (Equation (3)), respectively. In this model, idiosyncratic risk and systematic risk, are the channels through which CSRDaffects cash holdings indirectly. Note that the control variables may overlap with each other in these three equations.
As for estimation we use the Ordinary Least Squares (OLS) and Two Stage Least Squares (TSLS) methods (i.e., Equations (1) to (3)) as a simultaneous equations model. The results reported in Table (8) and (9) show that corporate cash holdings are related positively (and statistically significantly) to idiosyncratic risk while they are related negatively (and statistically significantly) to systematic risk, confirming the results of Bates et al. (2009) and Acharya et al. (2013). Consistent with Luo and Bhattacharya (2009) and Albuquerque et al. (2014), reveal that CSRDis negatively related to idiosyncratic risk and systematic risk. This study examines whether and how corporate social responsibility disclosure affects corporate cash holdings. In particular, it examines two channels through which corporate social responsibility affects cash holdings. The first channel argues that CSR-related activities can build up the social (or moral) capital of firms, because they enhance good relationships with stakeholders. Firms can use the social (or moral) capital to weather bad times and reduce the need to hold excessive cash. The second channel posits that price-inelastic demand due to customer loyalty and/or investor loyalty to CSR firms makes these firms less sensitive to aggregate market shocks (i.e., lowers the systematic risk), and this may increase or decrease the cash holdings. On the one hand, the need for cash hoarding may decrease because of lower systematic risk; on the other hand, the need may increase because firms with lower systematic risk tend to have a shorter debt maturity structure and, thus, a higher refinancing risk.
Using 122 firms with 976 firm-year observations over the period 1388-1395, we find that CSRD is correlated with corporate cash holdings significantly and positively.
Also the findings of the study show that there is a significant relation between corporate social responsibility disclosure and cash holding through mediator variables of idiosyncratic risk and systematic risk.

Industry beta has great role and applications in corporate finance such as equity cost, assets pricing, services pricing, portfolio management and risk management procedures. Here we propose jump-continuous pricing model as an efficient factor model for abovementioned applications, then scrutinizing industry jump beta and industry continuous beta according the model. Consequently, supremacy of jump beta on continuous beta in all studied industries is resulted. Moreover, descriptive and statistical recognition about the stance of industries jump and continuous beta achieved. Subsequently, effect of company characteristics on industry betas studied using panel data regressions, and then their effect on jump beta supremacy studied by probit regression. Company characteristics influence on betas aggressiveness and finally their effect on beta’s deviation from industries beta were investigated. Along with some general results about most of industries, like firm’s size effect on both betas aggressiveness and its effect on deviation from industry continuous beta, we gather some results about some industries, which should be interpreted by based on the industries circumstances

Appropriate corporate governance mechanisms are essential factors for efficient use of resources, improvement of accountability and transparency, and observation of fairness and the rights of all stakeholders of firms. This study investigates the relation of corporate governance index to capital cost and systematic risk. The sample consists of 235 firms listed in Tehran Stock Exchange in 2014. This study uses regression analysis method to test the hypotheses and applies 4 corporate governance criteria to measure corporate governance index primarily calculated by SEO in 2014. The results show a significant negative relation between capital cost and corporate governance index and a significant positive relation between systemic risk and corporate governance index. Therefore, effective and strong corporate governance reduces information asymmetry and ensures accurate reporting, increases transparency and stakeholder's confidence and consequently reduces cost of capital. Also, shareholder-oriented corporate governance mechanisms have more systematic risk, thus good corporate governance may lead to higher risk instead of preventing it.