Corporate social responsibility and stock price bubble in listed companies in Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

Habib Ansari Samani ¹ , S. Hosseyn Ali Danesh ² , Farhan Nazari ³

1 - استادیار و عضو هیات علمی دانشگاه یزد
2 - استادیار و عضو هیات علمی گروه اقتصاد دانشگاه یزد
3 - کارشناس ارشد اقتصاد دانشگاه یزد

Received: 2014-10-27 Accepted : 2016-03-09 Published : 2017-03-21

Keywords: Social responsibility, transparency of information, Price Bubble, Stock Exchange of Tehran,

Abstract :

The main target of this research is the investigating of relationship between of social responsibility and forces with a bubble that is created in Stock Exchange of Tehran for a symbol Transactions (for clarifying the information from the managers). At first all the information are determined with the unit root of P/E, Elongation, sequence and Skew tests in Stock Exchange of Tehran for 158 companies that they had the bubble in 1389 to 1392. Therefore with getting the bubble tests, all the companies in 1389 to 1392 had the alternations in Exchange and they divined in two parts, with the bubble and without bubble. Variable transparency, Financial Leverage, Speed liquidity, the rate of official value and Equity Market, the rate P/E and the companies were used for predicting the bubble. Therefore with using of Logistic regression, a model was designed for the bubble prediction. The research results show that the increase of Variable transparency, Float shares Financial Leverage, Speed liquidity, the rate of official value and Equity Market, the rate P/E and the companies are the reasons in the decrease of bubble. Generally, these results support this Hypothesis that there is a negative and rational relationship between the transparency and bubble.

References:

*      پورعلی، محمدرضا و حجامی، محدثه (1393)، "بررسی رابطه بین افشای مسئولیت اجتماعی و مالکیت نهادی در شرکت­های پذیرفته شده در بورس اوراق بهادار ، فصلنامه علمی و پژوهشی دنش حسابداری و حسابرسی مدیریت، سال سوم، شماره دهم.

*      حساس یگانه، یحیی و برزگر، قدرت اله، (1393). مبانی نظری مسئولیت اجتماعی شرکت­ها و پارادایم تحقیقاتی آن در حرفه حسابداری، فصلنامه علمی پژوهشی حسابداری مدیریت، سال هفتم، شماره 22، ص 133-109.

*      ستایش، محمد حسین، کاظم­نژاد، مصطفی و ذوالفقاری، مهدی (1390). بررسی تأثیر کیفیت افشا بر نقدشوندگی و هزینه، فصلنامه مدل‌سازی اقتصادی، سال سوم، ص 76-55.

*      سرمایه شرکت­های پذیرفته شده در بورس اوراق بهادار تهران. مجله پژوهش‌های حسابداری مالی، ص 74-55.

*      شورورزی، محمد رضا (1392)، رابطه بین شفافیت اطلاعات بازار سرمایه و بروز حباب قیمت، دوفصلنامه اقتصاد پولی، مالی، سال بیستم، شماره 5، ص 58-27.

*      صمدی، سعید، نصرالهی، خدیجه و ثقفی، رضا (1388). ارزیابی پیش­بینی شاخص کل بورس اوراق بهادار تهران، فصلنامه بورس اوراق بهادار، دوره­ی 2، شماره 6، ص 30- 5.

*      گداری، اکبر (1385)، بررسی حباب قیمتی در بورس اوراق بهادار تهران طی سال­های 1384-1383، پایان­نامه کارشناسی ارشد، دانشکده علوم انسانی دانشگاه تربیت مدرس.

*      ملکیان، اسفندیار (1376)، جامعیت گزارش­های سالانه و ویژگی­های مالی شرکت­ها پذیرفته شده در بورس اوراق بهادار تهران، بررسی­های حسابداری و حسابرسی دانشکده مدیریت دانشگاه تهران، سال 4، شماره 23.

*      نوبخت، زهرا (1383)، ارزیابی شفافیت اطلاعات شرکت­ها در بورس اوراق بهادار تهران، پایان­نامه کارشناسی ارشد رشته مدیریت مالی، دانشگاه الزهرا، ص 46-44.

*      Brooks, H. E, 2002: Normalized damage from major tornadoes in the United States: 1896–1999. Wea. Forecasting,16, 168–176.

*      Brown, S., Hillegeist, S. A., and Lo, K. (2004). "Conference Calls and Information Asymmetry". Journal ofAccounting & Economics, Vol. 37, pp. 343–366.

*      Campbell, John.A. & Shiller, Robert.J. "Co integration and Tests of Present Value models", Journal of Political Economy1987; 95: 1062-1088.

*      disclosure and its relation on institutional ownership: Evidence from public listed companies in Malaysia 2008-2010" , Managerial Auditing Journal.

*      Fama, E, F. Fisher, L. Jensen, M, C. And Roll, R (1969). "The Adjustment of Stock Price to New Information", International Economic Review.

*      Filardo, Andrew. Monetary Policy and Asset Price Bubbles: Calibrating the Monetary Policy Trade-Offs, BIS Working Paper, Bank of International Settlements2004; 155: 2-8.

*      Garber, Peter.M. Famous First Bubbles: The Fundamentals of Early Manias, Cambridge, MA: MIT Press2000.

*      Hirigoyen, Gerard and Poulain-Rehm, Thierry,(2014) Relationships between Corporate Social Responsibility and Financial Performance: What is the Causality? (March 1, 2014). Available at SSRN: http://ssrn.com/abstract=2531631 or http://dx.doi.org/10.2139/ssrn.2531631

*      Hoffman, J.P., Generalized Linear Models, an Applied, Approach, New York, Pearson Education. Inc, 2004.

*      Kolk, A. (2016). The social responsibility of international business: From ethics and the environment to CSR and sustainable development. Journal of World Business, 51(1), 23-34.

*      Koustas, Zisimos & Serletis, Apostolos. Rational Bubbles or Persistent Deviations from Market Fundamentals?, Journal of Banking and Finance2011; 29: 2523-2539, 1-15.

*      Koustas, Zisimos. From dissonance to resonance: Cognitive interdependence in quantitative finance. Econ Soc. 2015;41(3):383–417.

*      Lang, M. H & Lundholm, R. (1996). Corporate Disclosure Policy and Analysts Behavior. The Accounting Review, 71(4), 467-492.

*      Levin, Sheen & Beunza D, Stark D. From dissonance to resonance: Cognitive interdependence in quantitative finance. Econ Soc. 2014;41(3):383–417.

*      Levin, Sheen & Zajac, Edward.J, the Social Life of Financial Bubbles, Institutional Theory Conference2001; 2-6.

*      McKinley, A (2008)" The Drivers and Performance of Corporate Environmental and Social Responsibility in The Canadian Mining Industry" Master Thesis Geography Department and Center for Environment University of Toronto.

*      Molina. M (2010)" The Corporate Role in a Changing Society: A Model of Sensemaking and of Firm Characterization", PHD Thesis, Business School. Universitat Ramon Llull.

*      HUTTON, A. P., A. J. MARCUS AND H. TEHRANIAN. Opaque Financial Reports, R2, and Crash Risk. Journal of Financial Economics 94 (1): 67–86. (2009).

*      Muth, john. Rational Expectations and Theory of Price Movements, Econometrica1961; 29: 315-335, 2-11.

*      Roll,R.,1988. R2. JournalofFinance43,541–566.

*      Newman Peter & Milgate Murry & Eatwell John. The New Palgrave Dictionary of Money and Finance London Macmillan (three volumes)1992; 74-76.

*      Popa, R. A. (2015). The corporate social responsibility practices in the context of sustainable development. The case of Romania. Procedia Economics and Finance, 23, 1279-1285.

*      Orlitzky, M. (2013). Corporate social responsibility, noise, and stock market volatility. The Academy of Management Perspectives, 27(3), 238-254.

*      Scott, M., Applied Logistic Regression Analysis, London, SAGE Publications, 2002.

*      Shiller, D. (1981), "Speculative Prices and Popular Models". Journal of Economic Perspective, 4(2), 55-65.

*      Sun, J., (2005), “Financial Reporting Quality, Capital Allocation Efficiency, Financing Structure: An International Study”, A Dissertation, Shanghai University.

*      Turker D, (2009) " Measuring Corporate Social Responsibility: A Scale Development Study". Jornal of Business Ethics 85 (4), 411-27.