Kompleksitas Perusahaan, Client Importance dan Volatilitas Idiosinkratik
Abstract
This study examines the influence between company complexity and client importance on idiosyncratic volatility. The research sample are listed companies in all industries except financial services and banking for period 2014-2018. The dependent variable is idiosyncratic volatility, while the independent variable is company complexity and client importance. Multiple linear regression was used to test. The results showed that there was a significant positive effect of client importance on the dependent variable and a significant negative effect on company complexity on the dependent variable. This means that business line information and auditor-related factors are a signal for investors to react to company shares.
Keywords: Complexity Of The Company; Client Importance; Idiosyncratic Volatility.
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References
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Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. doi:10.2307/2977928
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Wurgler, J. (2000). Financial markets and the allocation of capital. Journal of Financial Economics, 58(1-2), 187-214. doi:10.1016/S0304-405x(00)00070-2
Chen, Q., Goldstein, I., & Jiang, W. (2006). Price informativeness and investment sensitivity to stock price. The Review of Financial Studies, 20(3), 619-650. doi:10.1093/rfs/hhl024
Collins, D. W. (1976). Predicting earnings with sub-entity data: Some further evidence. Journal of Accounting Research, 14(1), 163-177. doi:10.2307/2490463
Durnev, A., Li, K., Mørck, R., & Yeung, B. (2004). Capital markets and capital allocation: Implications for economies in transition. Economics of Transition, 12(4), 593-634. doi:10.1111/j.0967-0750.2004.00196.x
Ferreira, M. A., & Laux, P. A. (2007). Corporate governance, idiosyncratic risk, and information flow. The Journal of Finance, 62(2), 951-989. doi:10.1111/j.1540-6261.2007.01228.x
Foucault, T., Hombert, J., & Roşu, I. (2016). News trading and speed. The Journal of Finance, 71(1), 335-382. doi:10.1111/jofi.12302
Haggard, K. S., Martin, X., & Pereira, R. (2008). Does voluntary disclosure improve stock price informativeness? Financial Management, 37(4), 747-768. doi:10.2307/20486678
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94(1), 67-86. doi:10.1016/j.jfineco.2008.10.003
Jin, L., & Myers, S. C. (2006). R2 around the world: New theory and new tests. Journal of Financial Economics, 79(2), 257-292. doi:10.1016/j.jfineco.2004.11.003
Kwan, S. H. (1996). Firm-specific information and the correlation between individual stocks and bonds. Journal of Financial Economics, 40(1), 63-80. doi:10.1016/0304-405x(95)00836-4
Lee, D. W., & Liu, M. H. (2011). Does more information in stock price lead to greater or smaller idiosyncratic return volatility? Journal of Banking & Finance, 35(6), 1563-1580. doi:10.1016/j.jbankfin.2010.11.002
Lintner, J. (1965). The valuation of risk assets and the selection of risky investment in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119
Lobo, G. J., Kwon, S. S., & Ndubizu, G. A. (1998). The impact of SFAS No. 14 segment information on price variability and earnings forecast accuracy. Journal of Business Finance & Accounting, 25(7‐8), 969-985. doi:10.1111/1468-5957.00221
Lord, A. T. (1992). Pressure: A methodological consideration for behavioral research in auditing. Auditing, 11(2), 90.
Lu, T., & Sapra, H. (2009). Auditor conservatism and investment efficiency. The Accounting Review, 84(6), 1933-1958. doi:10.2308/accr.2009.84.6.1933
Malkiel, B. G. (1989). Is the stock market efficient? Science, 243(4896), 1313-1318. doi:10.1126/science.243.4896.1313
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. doi:10.1111/j.1540-6261.1952.tb01525.x
Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1-2), 215-260. doi:10.1016/S0304-405x(00)00071-4
Roll, R. (1988). R2. The Journal of Finance, 43(3), 541−566. doi:10.1111/j.1540-6261.1988.tb04591.x
Ronen, J., & Livnat, J. (1981). Incentives for segment reporting. Journal of Accounting Research, 19(2), 459-481. doi:10.2307/2490875
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. doi:10.2307/2977928
Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance: OUP Oxford.
Su, L., Zhao, X., & Zhou, G. (2016). Auditor Tenure and Stock Price Idiosyncratic Volatility: The Moderating Role of Industry Specialization. AUDITING: A Journal of Practice & Theory, 35(2), 147-166. doi:10.2308/ajpt-51256
Tan, M., & Liu, B. (2016). CEO's managerial power, board committee memberships and idiosyncratic volatility. International Review of Financial Analysis, 48, 21-30. doi:10.1016/j.irfa.2016.09.003
Veldkamp, L. L. (2006). Information markets and the comovement of asset prices. The Review of Economic Studies, 73(3), 823-845. doi:10.1111/j.1467-937x.2006.00397.x
Wurgler, J. (2000). Financial markets and the allocation of capital. Journal of Financial Economics, 58(1-2), 187-214. doi:10.1016/S0304-405x(00)00070-2
Published
2021-09-25
How to Cite
RINTA, Mei.
Kompleksitas Perusahaan, Client Importance dan Volatilitas Idiosinkratik.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 9, p. 2289-2300, sep. 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/72717>. Date accessed: 19 nov. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i09.p11.
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