بررسی تأثیر نوسان‌های ویژه سهام و جریان‌های نقدی بر ریسک سقوط آتی قیمت سهام
محورهای موضوعی : مدیریت مالی بنگاه‌های اقتصادیریحانه محمدی 1 , رحمان ساعدی 2 , محسن دستگیر 3
1 - گروه حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
2 - گروه حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
3 - گروه حسابداری، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
کلید واژه: ریسک سقوط آتی قیمت سهام, نوسانات جریان‌های نقدی, نوسانات ویژه سهام,
چکیده مقاله :
هدف: سقوط قیمت سهام منجر به پیامدهای منفی جدی برای شرکت می‌شود؛ مانند زیان‌های عظیم در ثروت شرکت‌ها و بحران اعتماد در بین سرمایه‌گذاران؛ بنابراین، مدیران باید ریسک سقوط را در تصمیم‌گیری خود در نظر بگیرند تا از حوادث سقوط سهام جلوگیری کنند؛ بنابراین، بررسی عوامل تعیین‌کننده سقوط قیمت سهام برای تصمیم‌گیری‌های سرمایه‌گذاری و مدیریت ریسک مفید است. از جمله عوامل مؤثر بر ریسک سقوط آتی قیمت سهام می‌توان به نوسانات ویژه سهام و نوسانات جریان‌های نقدی اشاره کرد. ازاین‌رو در پژوهش حاضر به بررسی تأثیر نوسان‌های ویژه سهام و جریان‌های نقدی بر ریسک سقوط آتی قیمت سهام پرداخته شده است.
روش‌شناسی پژوهش: جامعه آماری این پژوهش شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران و نمونه آماری آن شامل داده‌های 105 شرکت برای دوره 8 ساله 1393 الی 1400 است. روش نمونه‌گیری، روش حذف سیستماتیک بوده است. روش مورد استفاده جهت برآورد الگو روش رگرسیون چندمتغیره به روش داده‌های ترکیبی می‌باشد.
یافته‌ها: نتایج پژوهش نشان داد که نوسانات ویژه سهام تأثیر معناداری بر ریسک سقوط آتی قیمت سهام دارد؛ همچنین نتایج نشان داد نوسانات جریان‌های نقدی تأثیر معناداری بر ریسک سقوط آتی قیمت سهام دارد.
اصالت / ارزش‌افزوده علمی: نتایج این پژوهش تأثیر نوسان‌های ویژه سهام و جریان‌های نقدی بر ریسک سقوط آتی قیمت سهام را مشخص می‌کند.
Objective: A decline in stock prices can lead to severe negative consequences for companies, including significant losses in corporate wealth and a crisis of trust among investors. Therefore, managers must consider stock price crash risk in their decision-making to prevent such downturns. Understanding the determinants of stock price crash risk is essential for investment decisions and risk management. Among the key factors influencing future stock price crash risk are idiosyncratic stock volatility and cash flow volatility. Accordingly, this study examines the impact of idiosyncratic stock volatility and cash flow volatility on future stock price crash risk.
Research Methodology: The statistical population of this study consists of companies listed on the Tehran Stock Exchange, with a sample comprising data from 105 companies over an eight-year period (2014–2021). The sampling method employed was systematic elimination. The model estimation was conducted using a multivariate regression approach with panel data analysis.
Findings: The results indicate that idiosyncratic stock volatility has a significant impact on future stock price crash risk. Additionally, the findings reveal that cash flow volatility also significantly affects future stock price crash risk.
Originality/Scientific Contribution: This study provides empirical evidence on the influence of idiosyncratic stock volatility and cash flow volatility on future stock price crash risk, contributing valuable insights to the literature on investment risk and corporate financial management.
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