International Journal of Nonlinear Analysis and Applications
Presenting a model for the effective factors on the stock price crash risk
Document Type : Research Paper
Authors
1 Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran
2 Department of Accounting, Tabriz Branch, Islamic Azad University, Tabriz, Iran
Abstract
In order to explain the stock price crash risk as a proxy to measure asymmetry in risk, despite its importance in portfolio analysis and capital assets pricing, no model has been designed. At the same time, it is very vital and necessary to identify the effective factors on the stock price crash risk in the Tehran Stock Exchange, which is a nascent, inefficient and developing market; because this risk is an inhibiting factor in attracting financial resources in the capital market. Therefore, in the present research, a model has been presented for the effective factors on the stock price crash risk. In this research, in order to identify the effective factors on the stock price crash risk, the data of 127 listed companies during the period of 2010 to 2020 was used and for their analysis, the partial least squares structural equation modelling method was used in PLS 3 software. It is necessary to explain in relation to the structural equation model, data and research variables (except for dummy variables) have been entered into the model in decimal form. The effective factors include specific characteristics of the company such as growth opportunity, agency cost, size, performance and risk of the company, corporate governance including the subcategories of governance quality and audit quality, quality of accounting information, capital market situation, economic situation and political relations, and the two criteria contain the negative skewness of the stock return and the fluctuation of the company's weekly return has been used to measure the stock price crash risk. The findings of the research indicate that the effect of growth opportunity, size, company performance, audit quality, capital market situation and economic situation on various criteria of the stock price crash risk is negative and significant and the effect of agency cost on various criteria of the stock price crash risk has been positive and significant. Meanwhile, the stock price crash risk was independent of the company's risk, governance quality, and accounting information quality. However, the results related to the effect of political relations on various indicators of the stock price crash risk have been contradictory.
Keywords
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Volume 14, Issue 4
April 2023Pages 221-246
- Receive Date: 14 October 2022
- Revise Date: 03 January 2023
- Accept Date: 22 January 2023