The effect of firm risk on risk sentiment in the annual reports of companies using static and dynamic models

Document Type : Original Article

Authors
akram taftiyan 1
Roghayeh Bazrafshan Poor 2
1 Assistant Professor, Islamic Azad University, Yazd Branch, Accounting Department, Yazd, Iran.
2 PhD Student, Department of Accounting, Yazd Branch, Islamic Azad University, Yazd, Iran
10.22034/jik.2026.24013
Abstract
Investors' sentiments are their expectations about cash flows and the risks associated with it. The main purpose of the current research is to investigate the effect of firm risk on risk sentiment of annual reports. For this purpose, 130 companies admitted to Tehran Stock Exchange in the period of 2008 to 2020 were selected by systematic elimination method and in order to increase the degree of confidence in the results of hypothesis testing, static and dynamic panel data regression method was used. To evaluate the firm risk, business risk criteria (income fluctuations and dividend ratio) and systematic risk have been used, and to measure the sense of risk, the word frequency method has been used. According to the findings of the research, in both static and dynamic modes, the systematic risk variable has a positive and significant effect and the dividend ratio variable has a negative and significant effect on risk sentiment . Also, the results show that the variable of income fluctuations has no effect on risk sentiment in both static and dynamic states. The results of this research showed that in addition to the risky tone of the words and sentences in the description of the financial statements, the numbers and figures of the financial statements also affect the investors' risk sentiment.
Keywords
risk sentiment
business risk
systematic risk
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