Effective specific corporate characteristics on the stock price crash risk

Subject Areas : Financial Markets and Institutions

Nahad Behzadi ¹ , Jamal Bahri Sales ² , Saeid Jabbarzadeh Kangarluei ³ , Younes Badavar Nahandi ⁴

1 - Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran.
2 - Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran.
3 - Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran.
4 - Department of Accounting, Tabriz Branch, Islamic Azad University, Tabriz, Iran.

Received: 2023-01-18 Accepted : 2023-06-08 Published : 2023-06-22

Keywords: Agency Cost, Size, Growth Opportunity, Performance and Risk of the Company, The Stock Price Crash Risk,

Abstract :

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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