Investigating the Impact of Social Responsibility and Liquidity Risk of Company Stocks on Fluctuations in Stock Returns in Companies Listed on Tehran Stock Exchange
Subject Areas : Financial and Behavioral Researches in Accountingseyed ali hosseini 1 , sara razani 2
1 - Associate Professor of Accounting, Department of Accounting, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
2 - PhD Student, Department of Accounting, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
Keywords: Liquidity Risk, Corporate Social Responsibility, stock returns fluctuations,
Abstract :
Corporate social responsibility is a key factor in the survival of any organization. Companies see social responsibility as a kind of business strategy, which increases their credibility in competitive markets and also increases their market share. . Liquidity risk and its management method has become one of the most important issues in organizations. The potential effects that this branch of risk can have on the performance of companies are sometimes so wide that they lead to the bankruptcy of these units. The present study investigates the relationship between corporate social responsibility, liquidity risk and stock return fluctuations of the Tehran Stock Exchange in the period 2015 to 2019. Sampling was performed using a systematic elimination method and The selected sample includes 140 companies. The model used in the research follows the study of Bechti et al. (2015) The results show that the liquidity risk variable has a positive and significant effect on stock return fluctuations. This means that with increasing liquidity risk, the amount of stock return fluctuations also increases. The effect of social responsibility variable on stock return fluctuations is negative and significant. Annual sales growth, company size and fixed assets have a negative and significant effect on stock return fluctuations. According to the results of both research hypotheses, the 95% confidence level is confirmed.
Alvani, S. M., & Ghasemi, A. (1998). Management and social responsibilities of the organization. Publications of the Presidential Public Management Training Center. (In Persian)
Amirhosseini, Z., & Ghobadi, M. (2016). Corporate social performance, financial performance and institutional ownership. Journal of Management Accounting, 9(28), 55-66. (In Persian)
Arabsalehi, M., Sadeghi, G., & Moeinaddin, M. (2013). The relationship between corporate social responsibility and financial performance of the firms listed on Tehran Stock Exchange. Empirical Research in Accounting, 3(3), 1-20. (In Persian).
Barakat, A., Samhan, H., & Al-Nsoor, O. (2014). Accounting social responsibility in Islamic Banks. International Journal of Economics. Commerce and Management, 2(10).
Boubakri, N., El Ghoul, S., Guedhami, O., & Wang, H. H. (2021). Corporate social responsibility in emerging market economies: Determinants, consequences, and future research directions. Emerging Markets Review, 46(7).
Darabi, R., Vaghfi, S. H., & Salmanian, M. (2017). Relationship between social responsibility reporting with company value and risk for companies registered in Tehran Stock Exchange. Journal of Value & Behavioral Accountings, 1(2), 193-213. (In Persian).
Daryaee, A., Pakdel, A, Abdullah & Mashashi, S.M. (2013). Sustainable development of green accounting and marketing messages and social responsibility with emphasis on corporate strategy", Accounting Knowledge and Research, 32, 64-78. (In Persian).
De Fontnouvelle, P., Jesus-Rueff, D., Jordan, J. S., & Rosengren, E. S. (2003). Using loss data to quantify Operational risk. Federal Reserve.Bank of Boston .DOI: 10.2139/ssrn.395083
Delpasand, C., Nasirzadeh, N., & Hesarzadeh, R. (2019). The mechanism of how social responsibility, risk and corporate governance affect cash holdings. Journal of Financial Accounting Research. 10(4), 59-78. (In Persian)
Doaee, H., Fathi, A., & Sheykhian, K. (2006). Green marketing, a way to sustainable competition. Tadbir Monthly, 173, 29-34. (In Persian).
Faghani Makrani, Kh. Heidari Rostami, K., & Amin, V. (2016). Study of the relationship between social responsibility and stock price risk reduction in companies listed on the Tehran Stock Exchange" Quarterly Journal of Investment Knowledge, 5(19), 269-284. (In Persian).
Frachot, A., Georges, P., & Roncalli, T. (2001). Loss distribution approach for operational risk. Available at SSRN 1032523. 1-43, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1032523
Gul, F. A., Kim, J. B., & Qiu, A. A. (2010). Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China. Journal of financial economics, 95(3), 425-442.
Hajiha, Z., & Chenari Bouket, H. (2016). Skewness of Stock Returns and corporate social responsibility. Journal of Value & Behavioral Accounting. 1 (1):77-98. (In Persian).
Hajiha, Z., & Sarfaraz, B. (2015). The relation between corporate social responsibility and cost of equity capital of firms listed in Tehran Stock Exchange. Empirical Research in Accounting, 4(4), 105-123. (In Persian)
Harjoto, M. A., & Jo, H. (2011). Corporate governance and CSR nexus. Journal of business ethics, 100(1), 45-67.
Hassas Yegane, Y. Barzegar., Gh. (2013). Identifying the Components and Indicators of Corporate Social Responsibility in Iran, Journal of Studies of Socio-Cultural Developmen, 2 (1), 199-222. (In Persian)
Hosseini, A., & Amjadian, F. (2017). Study of the relationship between corporate social responsibility and future risk of stock price fall. Accounting Knowledge, 8(1), 75-105. (In Persian).
Hosseini, A., & Haghighat, S. (2016) .Study of the relationship between corporate governance and fulfillment of social responsibility in companies listed on the Tehran Stock Exchange. Accounting Research, 6(3), 106-131. (In Persian).
Jabbarzade, K. S., & Bayazidi, A. (2010). Investigating The Relationship Between Corporate Social Responsibility and Organization Commitment With Conservatism in Financial Reporting of in TSE Companies. Quarterly of the stock exchange, 3(9), 77-96. (In Persian).
Khasharmeh, H. A., & Desoky, A. M. (2013). The On-line corporate social responsibility disclosures: the case of the Gulf Cooperation Council (GCC) countries. Global Review of Accounting and Finance, 4(2), 39-64.
Khosh-sima, R., & Shahiki-Tash, M. N. (2013). The Impact of Credit, Operational and Liquidity Risks on the Efficiency of Banking System in Iran. The Journal of Planning and Budgeting, 17(4), 69-95. (In Persian).
Kim, M., & Kim, Y. (2014). Corporate social responsibility and shareholder value of restaurant firms. International Journal of Hospitality Management, 40(5), 120-129.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43(6), 1-13.
Koopman, S. J., & Lucas, A. (2005). Business and default cycles for credit risk. Journal of Applied Econometrics, 20(2), 311-323.
Liang, H., & Renneboog, L. (2017). On the foundations of corporate social responsibility. The Journal of Finance, 72(2), 853-910.
Lyimo, G. D. (2014). Smoothness, Earnings Surprise and Stock Price Informativeness. Evidence from Indian Stock Market. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(2), 385-394.
Lyimo, G. D. (2014). Accrual quality and stock price informativeness: Evidence from India. Research Journal of Finance and Accounting, 5(12), 88-95.
Martınez, M. A., Nieto, B., Rubio, G., & Tapia, M. (2005). Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market. International Review of Economics & Finance, 14(1), 81-103.
Mashayekh, S., & Haraf, A .(2011) .The relationship between company size and stock return fluctuations in different market conditions. Journal of Financial Accounting and Auditing, 3(11), 69-86. (In Persian).
Meshbaki, A., & KhaliliShojaei, V. (2010). A Study of the Relationship between Organizational Culture and Social Responsibility of Organizations (Ministry of Energy as a Case). Applied Sociology, 21(4), 37-56. (In Persian).
Mostafaei, P., & Hosseini, S. A. (2021). Qualitative Content Analysis of Corporate Social Responsibility Reports with Emphasis on Social Stakeholders. Journal of Empirical Research in Accounting, 11(3), 79-112. (In Persian).
Park, S., Song, S., & Lee, S. (2017). Corporate social responsibility and systematic risk of restaurant firms: The moderating role of geographical diversification. Tourism Management, 59(C), 610-620.
Pourali, M. R., & Hajjami, M.(2014). Relationship between social responsibility disclosure and institutional ownership in companies listed in Tehran Stock Exchange. Journal of Management Accounting and Auditing Knowledge, 3(10).135-150. (In Persian).
Rahman seresht, H, Rafiei, M, Koosha, M. (2009). Social Responsibility, Extra-Organizational Ethics, Tadbir, 204(19), 269-284. (In Persian).
Sandhu, H. S., & Kapoor, S. (2010). Corporate social responsibility initiatives: an analysis of voluntary corporate disclosure. South Asian Journal of Management, 17(2), 46-80.
Sharma, E., & Mani, M. (2013). Corporate social responsibility: An analysis of Indian commercial banks. AIMA journal of Management & Research, 7(1/4), 1-17.
UTZ, S. (2016). Stock Synchronicity, Stock Price Crash Risk, And Corporate Social Responsibility Evidence from an International Sample.ESG Insight.15(3).1-15
Yeh, C. C., Lin, F., Wang, T. S., & Wu, C. M. (2020). Does corporate social responsibility affect cost of capital in China? Asia Pacific Management Review, 25(1), 1-12.
_||_