چکیده:
هدف: سنجش ریسک پروژه‌ها و ارتباط آن با بازده یکی از عوامل اساسی در تصمیم‌های سرمایه‌گذاری است؛ به گونه‌ای که اجتناب از ریسک و ریسکپذیری بیش از حد درنهایت، بر ارزش شرکت تأثیر می‌گذارد. هدف اصلی این پژوهش، بررسی رابطۀ بین سطح ریسکپذیری شرکت و ارزش شرکت است؛ بهعلاوه رابطۀ بین نقدشوندگی سهام و ارزش شرکت نیز مطالعه شده است. روش: برای آزمون فرضیه‌های پژوهش، تعداد 156 شرکت از شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران در بازۀ زمانی 1393 تا 1397 مطالعه شده است. داده‌ها به روش همبستگی با استفاده از الگوی رگرسیونی و مبتنی‌‌بر ساختار مقطعی و نرم‌‌افزار Eviews تجزیه و تحلیل شده است. نتایج: نتایج پژوهش نشان میدهد ریسکپذیری شرکت رابطۀ مثبت و معنی‌داری با ارزش شرکت دارد؛ با این حال شاخص‌های مختلف نقدشوندگی حاکی از نتایج مختلفی است؛ به گونه‌ای که نسبت گردش سهام، نسبت عدم نقدشوندگی آمیهود و درصد سهام شناور آزاد فاقد رابطۀ معنی‌دار با ارزش شرکت است؛ ولی رتبۀ نقدشوندگی شرکت رابطۀ مثبت و معنی‌داری با ارزش شرکت دارد؛ بهعلاوه نتایج نشان میدهد نقدشوندگی سهام رابطۀ بین ریسکپذیری و ارزش شرکت را تعدیل نمی‌‌کند. نوآوری: تاکنون، در پژوهش‌های داخلی رابطۀ بین ریسکپذیری شرکت و ارزش شرکت مطالعه نشده است؛ همچنین الگوی معرفی‌شده برای سنجش ریسکپذیری تاکنون، استفاده نشده و به‌جای استفاده از داده‌های مالی (انحراف معیار بازده سهام) از داده‌های حسابداری برای تبیین ریسکپذیری استفاده شده است.
چکیده انگلیسی:
Objective: Measuring project risk and its relationship to returns is one of the key factors in investment decisions. In such a way that avoiding risk and also excessive risk-taking ultimately affects the value of the company. The main purpose of this study is to investigate the relationship between corporate risk-taking level and firm value. Also, the relationship between stock liquidity and firm value has been studied. Method: To test the research’s hypotheses, 156 companies listed on the Tehran Stock Exchange between 2014 and 2018 have been studied. The cross-sectional data were analyzed by correlation method and using a regression model. Results: The research results show that corporate risk-taking has a positive and significant relationship with firm value. However, different liquidity proxies show different results. As the stock turnover ratio, Amihud liquidity ratio and the percentage of free-floating stocks have no significant relationship with firm value, but the firm's liquidity rating has a positive and significant relationship with firm value. Also, the results show that stock liquidity does not modify the relationship between risk-taking and firm value. Innovation: In local (Iranian) researches, the relationship between corporate risk-taking and company value has not been studied. Also, the model introduced to measure the corporate's risk-taking has not been used in internal researches yet, and instead of using financial data (standard deviation of stock returns), accounting data has been used to explain the corporate risk-taking. Introduction: Risk-taking plays an important role in maintaining companies' competitive advantage and can lead them to higher economic growth. The financial literature in this field also shows that stock returns are affected by non-systematic risk (Nguyen, 2011). Previous studies have shown that the willingness of entrepreneurs to take risks in pursuit of profitable opportunities is an essential part of long-term economic growth (John et al., 2008). In this regard, several previous studies have shown that risk-taking increases the firm value on average (Jensen and Meckling, 1976; Shin and Stulz, 2000; Imhof and Seavey, 2014). On the other hand, stock liquidity has been introduced as one of the main factors of determining firm value (Fang et al., 2009; Gao et al., 2019). Managers who do not consider stock liquidity finance at a high cost of capital rates and miss out on appropriate investment opportunities (Butler et al., 2005). In Addition, stock liquidity by reducing the cost of capital and agency costs between shareholders and managers provides the basis and leads companies to invest in risky projects and this increases the level of corporate risk-taking of these companies (Hsu et al., 2018). In this line, the present study has made an attempt to assess the effect of corporate risk-taking on firm value. In previous studies in Iran, the effect of various factors on risk-taking has been studied; in other words, corporate risk-taking has been studied as a dependent variable. However, this study seeks to examine the effect of corporate risk-taking on firm value by considering corporate risk-taking as an independent variable. Also, in previous studies, the deviation of the stock return criterion has been introduced as a proxy of risk-taking. But it is desirable to use a proxy that shows the direct risk-taking behavior of managers. In other words, it is better to use the standard deviation of (accounting) earnings as a proxy. Method and Data: We selected our sample from all firms listed on the TSE during the 2015-2019 period after excluding financial and insurance firms and also firms with missing data for our models. The shares of the studied firms have been actively traded during the research years (do not stop trading for more than 3 months). Our final sample consists of 780 firm-year observations from 156 firms. We extracted our data from the Comprehensive Information System of Listed firms (CODAL) databases. Multivariate linear regression was used to examine the research hypotheses. Findings: The corporate risk-taking coefficient (as an independent variable of the first hypothesis) is positive and significant. In other words, the positive relationship between risk-taking and firm value, which has been documented according to previous research, is also confirmed in the context of Iranian's financial and business environment. However, different liquidity proxies show different results. As the stock turnover ratio, the Amihud liquidity ratio and the percentage of free-floating stocks have no significant relationship with firm value, but the firm's liquidity rating has a positive and significant relationship with firm value. Also, the results show that stock liquidity does not modify the relationship between risk-taking and firm value. Conclusion and discussion: The behavioral model of agency theory states that managers are loss aversion instead of being risk aversion. Accordingly, the risk acceptance is very likely when the decision-maker expects risk-taking to lead to positive outcomes. On the other hand, if negative results are expected, risk-taking is rejected. In other words, although managers need to be risk-taker to make their firms survive, either taking too much risk or avoiding risk can threaten the survival of the firm. Briefly, adopting an appropriate level of risk-taking could increase the firm value and increase the wealth of shareholders. The results show that with increasing the level of corporate risk-taking, the firm value could also increase. This result is consistent with the results of research by Su et al., (2017) conducted in China, as well as the research by Imhof and Seavey (2014), Parino et al., (2005), and Shin and Stulz (2000). The results show that only the liquidity rank index has a positive and significant effect on the firm value but other liquidity proxies used in this study do not confirm this relationship. Moreover, none of the liquidity proxies modify the positive relationship between risk-taking and firm value.
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