Voluntary Disclosure Dynamics under Risk and Ambiguity for Digital Corporates in Tehran Stock Exchange Market

Advances in Mathematical Finance and Applications

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 02 بهمن 1402

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2023.1979245.1855

نویسندگان

Mohammad Feghhi Kashani¹؛ Teimor Mohammadi²؛ hadi pirdaye^{* 3}

¹Assistant Professor, Department of Economics, University of Allamah Tabatabaei, Tehran, Iran.

²Department of Economics, Allameh Tabatabai University, Tehran,Iran

³PhD Candidate of Financial Economics, University of Allamah Tabatabaei, Tehran, Iran

چکیده

This study aims at investigating the effects of the change in the information environment from risk to ambiguity, disclosure dynamics, and the ambiguity aversion behavior of investors on the disclosure of integrated information for selected corporates operating in digital industry listed on the Tehran Stock Exchange during 2012-2022. The corporate voluntary disclosure lag, stock return volatility, and the probability of favorable returns incidence represent respectively the disclosure dynamics, firm risk, and investors' ambiguity aversion, within dynamic panel models. To investigate robustness of the estimates we have also included capital market ambiguity, firm size and stock liquidity indices in the model. The findings are consistent with existing theories. Firm risk and the capital market ambiguity have an increasing impact on the integrated information voluntary disclosure. However, the ambiguity at firm's level has decreased its voluntary disclosure. Likewise, a rise in ambiguity aversion (in-dependent of the ambiguity level), which makes investors more pessimistic about the firm's cash flows, makes the manager to increase the level of voluntary disclosure. Further, inertia in voluntary disclosure has been detected among the studied digital corporates. Depending on the magnitudes of the risk, ambiguity, ambiguity aversion, and the source of investors' ambiguity, the corporate managers decide on their voluntary disclosure policy appropriately.

کلیدواژه‌ها

Dynamic Voluntary Disclosure؛ Ambiguity Aversion؛ Firm and Market Ambiguity؛ Stock Return Volatility