Explaining the effect of default risk on the risk of falling stock prices in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Abbas  Shami ¹ (Department of Accounting, Chalous Branch, Islamic Azad University, Chalous, Iran)
yusef  tagipourian ² (department of accounting.chalus branch.islamik azad university chalus iran)
mehdi  maranjory ³ (Department of Accounting, Chalous Branch, Islamic Azad University, Chalous, Iran)
Reza  Fallah ⁴ (Department of Accounting, Chalous Branch, Islamic Azad University, Chalous, Iran)

Received: 2022-11-23 Accepted : 2023-02-14 Published : 2023-09-23

Keywords: risk of default, Negative skewness of stock returns, risk of falling stock price,

Abstract :

The main purpose of the research is to investigate the impact of default risk on the risk of stock price fall in companies listed on the Tehran Stock Exchange. In line with the main objective of the research, information was collected from the financial statements of companies admitted to the Tehran Stock Exchange in the period of 2009-2019. Multiple regression with panel data was used to test the hypotheses. The obtained results show a significant effect of the four criteria of default risk on the negative skewness of stock returns and the risk of stock price fall.The main purpose of the research is to investigate the impact of default risk on the risk of stock price fall in companies listed on the Tehran Stock Exchange. In line with the main objective of the research, information was collected from the financial statements of companies admitted to the Tehran Stock Exchange in the period of 2009-2019. Multiple regression with panel data was used to test the hypotheses. The obtained results show a significant effect of the four criteria of default risk on the negative skewness of stock returns and the risk of stock price fall.

References:

حاجیها، زهره؛ چناری، حسن ) 1397 (. قابلیت مقایسه صورتهای مالی و خطر سقوط مورد انتظار قیمت
سهام، دانش مالی تحلیل اوراق بهادار، دوره 3، شماره 39 ، صص: 48 – 37 .
 حاجیها، زهره ) 1396 (. راهبرد تجاری تدافعی و اکتشافی، عدم تقارن اطلاعاتی و ریسک سقوط قیمت سهام،
مهندسی مالی و مدیریت اوراق بهادار، دوره 8، شماره ی 31 ، ص ص: 94 – 75 .
 دیانتی دیلمی، زهرا؛ بنی مهد، بهمن؛ رووستایی دره میانه، الهام؛ ) 1394 (. رابطه بین استراتژی تجاری شرکت
و سطح اجتناب مالیاتی در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، پژوهشنامه مالیات، دوره
23 ، شماره 25 ، صص: 156 – 123 .
 صفری گرایلی، مهدی؛ رضایی پیته نوئی، یاسر ) 1397 (. توانایی مدیریت و خوانایی گزارشگری مالی: آزمون
نظریه علامت دهی، دانش حسابداری، دوره 9، شماره 2، ص ص: 218 – 191 .
 فرهمند، علی؛ مرادی، غلامعلی؛ اصلانی، عظیم ) 1394 (. بررسی تأثیر محدودیت مالی بر هزینه های تأمین
مالی شرکت های پذیرفته شده در بورس اوراق بهادار تهران، کنفرانس بین المللی مدیریت و علوم اجتماعی.
 نمازی، محمد؛ دهقانی سعدی، علی اصغر؛ قوهستانی، سمانه ) 1396 (. خودشیفتگی مدیران و استراتژی تجاری
شرکتها، دانش حسابداری و حسابرسی مدیریت، سال 6، دوره 22 ، صص: 51 – 37 .
 Barber, B. M., and T. Odean, 2013, The Behavior of individual investors, Handbook of the Economics of Finance 2, 1533–1570.
 Bentley, K. A., T. C. Omer, and N. Y. Sharp. 2013. Business strategy, financial reporting irregularities, and audit effort. Contemporary Accounting Research 30 (2): 780–817.
 Bentley, K. A., T. C. Omer., B. J. Twedt. 2014. Does Business Strategy Impact a Firm’s Information Environment? Working Paper. University of New South Wales.
 Bleck, A., Liu, X., (2007). Market transparency and the accounting regime. Journal of Accounting Research. 45(2), 229-256.
 Chen, J., H. Hong, and J. C. Stein, 2001, Forecasting crashes, trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61 , 345–381.
 Callen, J. L., and X. Fang, 2015a, Short interest and stock price crash risk, Journal of Banking & Finance 60, 181–194.
 Conrad, J., R. F. Dittmar, and F. Ghysels, 2013, Ex ante skewness and expected stock returns, The Journal of Finance 68, 85–124.
 Habib, A., & Hasan, M. M. (2017). Business strategy, overvalued equities, and stock price crash risk. Research in International Business and Finance, 39, 389-405.
 Harvey, C. R., and A. Siddique, 2000, Conditional skewness in asset pricing tests, The Journal of Finance 55, 1263–1295.
 He, G., Ren, H. (2017). Financial constraints and future stock price crash risk. www.ssrn.com
 Higgins, D., Omer, T. C., & Phillips, J. D. (2015). The influence of a firm's business strategy on its tax aggressiveness. Contemporary Accounting Research, 32(2), 674-702.
 Jin, L., and S. C. Myers, 2006, R2 around the world: new theory and new tests, Journal of Financial Economics 79, 257–292.
 Kim, J.-B., and L. Zhang, 2015, Accounting conservatism and stock price crash risk: firm-level evidence, Contemporary Accounting Research 33, 412–441.

_||_