Provide a Model for Forecasting the Stock Price Crash Risk in Tehran Stock Exchange on the basis of Hutton & chen models

Subject Areas : Financial engineering

leila  abdollahzadeh ¹ (Department of finance Management, Tehran Central Branch, Islamic Azad University, Tehran, Iran)
farhad  hanifi ² (department of business Management, central tehran branch, islamic azad university, tehran, iran)
mirfeiz  fallah ³ (Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group)

Received: 2020-05-16 Accepted : 2020-07-16 Published : 2021-03-21

Keywords: stock price, stock crash risk, Negative skewness, Hutton Model,

Abstract :

The purpose of this study is to investigate the factors affecting the stock price crash risk of listed companies between the years 2009 to 2016. Based on this, the researcher first calculated the stock price crash risk based on two different criteria and then tested the internal and external factors of the company on the crash risk. The statistical model used in this study is regression model and data type is panel data type. Dependent variables include calculating stock crash risk based on the first criterion, the Hutton model, which considers the monthly price fall in a fiscal year for a company when that company experiences a monthly return of 3.2 standard deviations below the company's average specific monthly return for the entire fiscal year and second criteria, Chen model, Based on the negative skewness criterion in the company's stock returns, Independent variables include in-company factors (financial ratios) and external factors. Based on the findings of the present study, there is a significant relationship between dependent variables and factors within the company and the organization external factors, can help in predicting stock crash risk.