Investigating the Effect of Stock Idiosyncratic Volatility and Cash Flow Volatility on the Future Stock Price Crash Risk
Subject Areas : Corporate Financerahman saedi 1 , Mohsen Dastgir 2 , reyhane mohamadi 3
1 - Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
2 - گروه حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران
3 - Isfahan Islamic Azad University (Khorasgan)
Keywords: Stock Idiosyncratic Volatility, Cash Flow Volatility, Future Stock Price Crash Risk.,
Abstract :
Purpose: Stock price crash risk lead to serious negative consequences for the company, such as huge losses in corporate wealth and a crisis of confidence among investors. Therefore, managers should consider the stock price crash risk in their decision-making to avoid stock fall incidents. Therefore, investigating the determinants of stock price falls is useful for investment decisions and risk management. Among the factors affecting the risk of the future stock price crash risk, we can mention special stock fluctuations and cash flow fluctuations. Therefore, in the current research, the impact of specific stock fluctuations and cash flow fluctuations on the risk of future stock price crash risk has been investigated. Research methodology: The statistical population of this research is the companies accepted in the Tehran Stock Exchange and its statistical sample includes the data of 105 companies for the 8-year period of 1393-1400. The sampling method was systematic elimination method. The method used to estimate the model is the multivariate regression method using the combined data method. Findings: The results of the research showed that stock volatility has a significant impact on the risk of future stock price fall. Also, the results showed that the fluctuations of cash flows have a significant effect on the risk of future fall in stock prices. Originality/scientific added value: The results of this research determine the impact of specific stock fluctuations and cash flow fluctuations on the future stock price crash risk.
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