Financial Economics
Teimur Mohammadi; Mohammad Reza Feghhi Kashani; Mahdi Samei
Abstract
The negative correlation between an asset’s volatility and its return is known as the “leverage effect”. This relation is explained by the effect of the return of a firm’s equity on the degree of leverage in its capital structure. If this relation holds, the increased volatility ...
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The negative correlation between an asset’s volatility and its return is known as the “leverage effect”. This relation is explained by the effect of the return of a firm’s equity on the degree of leverage in its capital structure. If this relation holds, the increased volatility resulting from a fall in stock price should be comparable with the decreased volatility resulting from a price rise with the same magnitude and also, this effect should be persistent. Most of the researches in the “leverage effect” examine the relation between volatility and stock return. To examine the effects of both returns and financial leverage on volatility data from the 22 biggest companies from March 2009 to March 2019 in Tehran Stock Exchange are collected. To find the leverage the value of debt in the capital structure of selected companies is calculated using Geske compound option pricing model. The data show the leverage effect only in negative returns and may have a negligible direct connection to the firm leverage.
Financial Economics
Mohammad Feghhi Kashani; Teymor Mohammadi; hadi pirdaye
Abstract
Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary ...
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Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary disclosure (conservative or non-conservative) of soft and hard information in the digital industry subset of Tehran Stock Exchange within the period of 2012-2022. Further, we have used the corporate voluntary disclosure lag to capture the disclosure dynamics along with the control variables including the cost of capital, financial leverage and stock liquidity by dynamic panel models to explain the voluntary disclosure behavior of soft and hard information of the corporates. The results indicate that managers of companies active in the digital industry, depending on the type of information available to them for voluntary disclosure conservatively or non-conservatively, respond differently to the news related to risk, ambiguity and ambiguity aversion of investors. That could be due to the nature of the disclosed information (credibility of information for investors). Likewise, the findings confirm the increasing effects of voluntary disclosure of previous periods on the disclosure of subsequent periods, which somehow confirms the existence of inertia in voluntary disclosure policies in the studied industry.
