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 , Mohsen Hamidian ² , Ali Baghani ³

1 - Department of Accounting , Kish International Branch, Islamic Azad University, Kish Island, Iran
2 - Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran
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.

References:

اسماعیل‌زاده، علی؛ جلیلی، محمد؛ زند عباس‌آبادی، عباس (1389). تأثیر حاکمیت شرکتی بر کیفیت سود در شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران، حسابداری مدیریت، شماره 7، ص‌ص: 91 – 79.

خدارحمی، بهروز؛ فروغ‌نژاد، حیدر؛ شریفی، محمدجواد؛ طالبی، علیرضا (1395). تأثیر عدم تقارن اطلاعاتی بر ریسک سقوط آتی قیمت سهام شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، فصلنامه مدیریت دارایی و تأمین مالی، سال 4، شماره 3، ص‌ص: 58 – 39.

فروغی، داریوش؛ میرزایی، منوچهر (1391). تأثیر محافظه‌کاری شرطی حسابداری بر ریسک سقوط آتی قیمت سهام در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، دو فصلنامه پیشرفت‌های حسابداری، دوره 4، شماره 2، ص‌ص: 117 – 77.

ودیعی، محمدحسین؛ رستمی، امین (1393). بررسی تأثیر نوع مالکیت نهادی بر ریسک سقوط آتی قیمت سهام در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، فصلنامه حسابداری مالی، سال 6، شماره 23، ص‌ص: 66 – 43.

فروغی، داریوش؛ ساکیانی، امین (1395). تأثیر سررسید بدهی بر ریسک سقوط آتی قیمت سهام، پژوهش حسابداری، شماره 20، ص‌ص: 116 – 99.

Ajinkya, B., Bhojraj, S., and P. Sengupta. (2005). The Association between Outsider Directors and Institutional Investors and the Properties of Management Earning Forecast. Journal of Accounting Research, Vol. 43, Pp. 343-376.

Blanchard, O.J., and Watson, M.W., (1982). Bubbles, Rational Expectations, and Financial Markets, in Paul Wachtel, ed., Crises in Economic and Financial Structure. Lexington MA: Lexington Books, 295-315.

Bushee, B. (1998). The Influence of Institutional Investors on Myopic R&D Investment Behaviour. The Accounting Review, Vol.73, Pp. 305-333.

Campbell, J.Y., and Hentschel, L., (1992). No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, Journal of Financial Economics 31, 281-318.

Chen, H., Chen, J., and Lobo, G., (2009). Effects of Audit Quality on Earnings Management and Cost of Equity Capital: Evidence from China. From http://ssrn.com.

Cornett, M.M., Marcus, A.J., and H. Tehranian. (2008). Corporate Governance and Pay-for Performance: The Impact of Earnings Management. Journal of Financial Economics, Vol. 87, Pp. 357-373.

Dey, A. )2008(. Corporate Governance and Agency Conflicts. Journal of Accounting Research, Vol. 46, Pp.1143-1181.

Duffee, G.R., (1995). Stock Returns and Volatility: A Firm-Level Analysis, Journal of Financial Economics 37, 399-420.

Edmans, A. (2009). Blockholder Trading, Market Efficiency, and Managerial Myopia. Journal of Finance, Vol. 64, Pp. 2481-2513.

Fama, E.F. and M.C. Jensen. (1983). Separation of Ownership and Control. Journal of Law and Economic, Vol. 26, Pp. 327-349.

French, K.R., and Roll, R., (1986). Stock Return Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics, 17: 5-26.

French, K.R., Schwert, G.W., and Stambaugh, R.F., (1987). Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.

Hartzell J.C. and Starks L.T. (2003). “Institutional investors and executive compensation”, Journal of Finance, 58, 2351–2374.

Healy, P. (1985). The Effect of Bonus Schemes on Accounting Decisions. Journal of Accounting & Economics, Vol. 7, Pp. 85-107.

Healy, P., Hutton, A., and Palepu, K., (1999). Stock Performance and Intermediation Changes Surrounding Sustained Increases in Disclosure. Contemporary Accounting Research 16, 485–520.

Hong, H, and Stein, J.C., (2003). Differences of Opinion, Short-Sales Constraints and Market Crashes. Review of Financial Studies 16, 487-525.

Hutton, A. P., A. J. Marcus, and H. Tehranian. (2009). Opaque Financial Reports, R², and Crash Risk. Journal of Financial Economics 94 (1): 67–86.

Jensen, M. C. (1986), Agency Costs of Free Cash Flow, Corporate Finance and Takeovers, American Economics Review, Vol. 76, pp. 323-339.

Kim, J.B., Liandong Zhang. (2010). Does Accounting Conservatism Reduce Stock Price Crash Risk? Available at URL: Http://Www.Ssrn.Com.

Kothari, S. P., Shu, S., and Wysocki, P.D., (2009). Do Managers Withhold Bad News? Journal of Accounting Research, 47 (1): 241–276.

Lafond, R. & Watts, R. L. (2008). The information role of conservatism. The Accounting Review, 83, 447-478.

McConnell. J and Servaes .H (1990). “Additional evidence on equity ownership and corporate value”, Journal of Financial Economics, 27, pp. 595–612.

Karamanou, I., and Vafeas, N. (2005). “The Association Between Corporate Boards, Audit Committees, and Management Earnings Forecasts: An Empirical Analysis.” Journal of Accounting Research, Vol. 43, pp. 453-486.

Kim, J.-B., Li, Y., and L. Zhang. (2011). CFOs Versus CEOs: Equity Incentives and Crashes. Journal of Financial Economics, Vol. 101, Pp. 713-730.

Kim, J. B., Li, L., Lu, L. Y., Yu, Y., 2016. Financial statement comparability and expected crash risk. Journal of Accounting and Economics, 61(2-3), 294-312.

Larcker, D., Richardson, S., and I. Tuna. (2007). Corporate Governance, Accounting Outcomes, and Organizational Performance. The Accounting Review, Vol. 82, Pp. 963-1008.

Mitra, S. (2002). The Impact of Institutional Stock Ownership on a Firm's Earnings Management Practice: An empirical investigation Unpublished Dissertation, Louisiana State University.

Panayiotis C.A., Constantinos, A., Joanne, H., and L. Christodoulos. (2015). Corporate Governance and Firm-Specific Stock Price Crashes. http://ssrn.com/

Porter, M.E. (1992). Capital Choice: Changing the Way America Invests in Industry. Journal of Applied Corporate Finance, Vol.5, Pp. 4–16.

Rubin, A. (2007). Ownership Level, Ownership Concentration and Liquidity. Journal of Financial Markets, Vol. 10, No 3, Pp. 219–248.

Shleifer, A., and R. Vishny. (1997). A Survey on Corporate Finance. Journal of Finance, Vol. 52, Pp. 737-783.

Warfield, T. Wild, J. and K. Wild. (1995). Managerial Ownership, Accounting choices and Informativeness of Earnings. Journal of Accounting and Economics, Vol. 20, No.1, Pp.61-91.

Xie, B., Davidson III, W.N, DaDalt, P. J., (2003). “Earnings Management and Corporate Governance: The Roles of the Board and the Audit Committee.” Journal of Corporate Finance, Vol. 9, pp. 295-316.