ویژگی‌های خاص شرکتی مؤثر بر ریسک ریزش قیمت سهام

محورهای موضوعی : بازارها و نهادهای مالی

نهاد بهزادی ¹ (گروه حسابداری، واحد ارومیه، دانشگاه آزاد اسلامی، ارومیه، ایران.)
جمال بحری ثالث ² (گروه حسابداری، واحد ارومیه، دانشگاه آزاد اسلامی، ارومیه، ایران.)
سعید جبارزاده کنگرلوئی ³ (گروه حسابداری، واحد ارومیه، دانشگاه آزاد اسلامی، ارومیه، ایران.)
یونس بادآور نهندی ⁴ (گروه حسابداری، واحد تبریز، دانشگاه آزاد اسلامی، تبریز، ایران.)

تاریخ دریافت : 1401/10/28 تاریخ پذیرش : 1402/03/18 تاریخ انتشار : 1402/04/01

کلید واژه: هزینه نمایندگی, فرصت رشد, ریسک ریزش قیمت سهام, بزرگی, عملکرد و ریسک شرکت,

چکیده مقاله :

هدف: در راستای تبیینِ ریسک سقوط قیمت سهام به‌عنوان شاخصی برای اندازه‌گیری عدم تقارن در ریسک، علی‌رغم داشتنِ اهمیت فراوان در تحلیل سبد و قیمت‌گذاری دارایی‌های سرمایه‌ای، مدلی طراحی نشده است. به‌هرحال، شناسایی عوامل مؤثر بر ریسک ریزش قیمت سهام در بورس اوراق بهادار تهران که بازار نوپا، ناکارا و درحال‌توسعه است، بسیار ضروری است، زیرا این ریسک عاملی بازدارنده در جذب منابع مالی در بازار سرمایه است؛ لذا، در پژوهش حاضر به بررسی ویژگی‌های خاص شرکتی مؤثر بر ریسک ریزش قیمت سهام پرداخته شده است.روش‌شناسی پژوهش: در این پژوهش، از داده‌های 127 شرکت طی دوره زمانی 1390 الی 1400، استفاده و برای تجزیه‌وتحلیل، از مدل‌سازی معادلات ساختاری در نرم‌افزار PLS 3 استفاده به عمل آمده است. متغیرهای پژوهش (به‌جز متغیرهای مجازی)، به‌صورت دهک‌بندی شده وارد مدل شده‌اند. ویژگی‌های خاص شرکتی شامل فرصت رشد، هزینه نمایندگی، بزرگی، عملکرد و ریسک شرکت بوده و از دو معیار ضریب چولگی منفی بازده سهام و نوسان بازده هفتگی خاص شرکت برای سنجش ریسک ریزش قیمت سهام استفاده به عمل آمده است.یافته‌ها: یافته‌های پژوهش حاکی از آن است که تأثیر فرصت رشد، بزرگی و عملکرد شرکت بر ریسک ریزش قیمت سهام، منفی و معنادار و تأثیر هزینه نمایندگی، مثبت و معنادار بوده است. این در حالی است که ریسک ریزش قیمت سهام، مستقل از ریسک شرکت بوده است.اصالت / ارزش‌افزوده علمی: یافته‌های پژوهش نشان داد که ریسک ریزش قیمت سهام، مستقل از سایر ریسک شرکت بوده است؛ لذا، این موضوع باید مدنظر سرمایه‌گذاران قرار گیرد.

چکیده انگلیسی:

Purpose: In order to explain stock price crash risk as an index to measure asymmetry in risk, despite its importance in portfolio analysis and pricing of capital assets, no model has been designed. At the same time, it is very necessary to identify effective factors on stock price crash risk in Tehran Stock Exchange, which is a nascent, inefficient and developing market, because this risk is an inhibiting factor in attracting financial resources in capital market. Therefore, in present research, it has been investigated effective specific corporate characteristics on stock price crash risk.Methodology: In this research, data of 127 companies during period of 2011 to 2021 was used and for analysis, structural equation modeling was used in PLS 3 software. Research variables (except dummy variables) have been entered into model in decimal form. Specific corporate characteristics include growth opportunity, agency cost, size, performance and risk of the company, and two measures of the negative skewness coefficient of the stock return and fluctuation of the specific weekly return of the company have been used to measure stock price crash risk.Findings: findings indicate that effect of growth opportunity, size and performance of company on stock price crash risk was negative and significant, and effect of agency costs was positive and significant. Meanwhile, stock price crash risk has been independent of company's risk.Originality / Value: findings of the research showed that the stock price crash risk was independent of other company risks. Therefore, this issue should be considered by investors.

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