Modeling and Identifying Hierarchy of the Effective Measures of Negative Criteria Skewness on Stock Returns and the Extra Sigma of Stock Price Crash Risk in the Tehran Stock Exchange with Panel Data Approach

Subject Areas : Journal of Investment Knowledge

Rosam Ranjbar navi ¹ (Department of Accounting , Kish International Branch, Islamic Azad University, Kish Island, Iran)
Mohsen Hamidian ² (Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran)
Ali Baghani ³ (Assistant Professor, Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran)

Received: 2019-08-15 Accepted : 2019-09-01 Published : 2020-08-22

Keywords: stock prices crash risk, Political Connection, Business Strategy,

Abstract :

The aim of this study Modeling and Identifying Hierarchy of the Effective Measures of Negative Criteria Skewness on Stock Returns and the Extra Sigma of Stock Price Crash Risk in the Tehran Stock Exchange with Panel Data Approach. For this purpose, the financial statements of 119 companies were collected during the period 1390-1396. Multivariate regression with panel data was used to test the hypotheses. The findings of the study indicate that debt maturity, conservatism, political connection, financial constraint, stock liquidity, business strategy and institutional ownership are the most important factors influencing stock prices crash risk.The findings of the study indicate that debt maturity, conservatism, political connection, financial constraint, stock liquidity, business strategy and institutional ownership are the most important factors influencing stock prices crash risk.

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