پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شمارهها | 938 |
| تعداد مقالات | 7,708 |
| تعداد مشاهده مقاله | 12,650,727 |
| تعداد دریافت فایل اصل مقاله | 9,008,356 |
طراحی مدلی برای پیشبینی ریسک سقوط قیمت سهام در بورس اوراق بهادار تهران | ||
| راهبرد مدیریت مالی | ||
| مقاله 8، دوره 10، شماره 3 - شماره پیاپی 38، مهر 1401، صفحه 161-186 اصل مقاله (500.33 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2022.33850.2456 | ||
| نویسندگان | ||
| فرزانه ولی زاده1؛ امیر محمدزاده* 2؛ محسن صیقلی3؛ محسن ترابیان4 | ||
| 1دانشجوی دکتری، گروه مدیریت مالی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران | ||
| 2دانشیار، گروه مدیریت مالی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران | ||
| 3دکتری مدیریت مالی، مدرس واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران | ||
| 4استادیار، گروه ریاضی، واحد تاکستان، دانشگاه آزاد اسلامی، تاکستان، ایران | ||
| چکیده | ||
| هدف پژوهش حاضر، بررسی میزان و چگونگی تأثیرپذیری ریسک سقوط قیمت سهام از عوامل مختلف و طراحی مدلی برای پیشبینی آن در بورس اوراق بهادار تهران میباشد. بر این اساس، ضمن مروری بر ادبیات موضوعی مربوط به ریسک سقوط قیمت سهام، در بخش کیفی، تعداد 12 نفر از طریق روش نمونهگیری نظری و قاعده انتخاب تدریجی، از میان جامعه آماری خبرگان بازار سرمایه انتخاب و سپس، با جمعآوری دادههای مورد نیاز به وسیله ابزارهای مراجعه به اسناد و مدارک و مصاحبه، به استخراج مدل هدفگذاریشده پژوهش با بهرهگیری از نرمافزار MAXQDA18 پرداخته شده است. برای بخش دوم و آزمون مدل تجربی فرضیه پژوهش، از جامعه آماری کلیه شرکتهای پذیرفته شده در بورس اوراق بهادار تهران تعداد 100 شرکت طی سالهای 1388 الی 1398 بر اساس روش نمونهگیری هدفمند (حذف سیستماتیک) انتخاب گردیده است. در ادامه، با استفاده از نرم افزار PLS جهت آزمون متغیرهای مدل کمی مستخرج از طریق روش کیفی، مدل به صورت معادلات ساختاری مورد آزمون قرار گرفته است. نتایج پژوهش نشان میدهند دستیابی به مدلی برای پیشبینی ریسک سقوط قیمت سهام با استفاده از رویکرد کیفی و کمی و ارائه روشی برای سنجش صحت برازش آن امکانپذیر است و به ترتیب، هفت متغیر حاصل شده از بخش کیفی؛ متغیرهای مالی، استراتژیهای تجاری، توانایی مدیریتی و عدمتقارن اطلاعاتی تحت عنوان عوامل درونی و متغیرهای کلان اقتصادی، ارتباطات سیاسی و مسئولیت اجتماعی بعنوان عوامل بیرونی بر ریسک سقوط قیمت سهام تأثیرگذار میباشد. | ||
| کلیدواژهها | ||
| روش پژوهش کیفی-کمی؛ ریسک سقوط قیمت سهام؛ سهام؛ قیمت سهام | ||
| عنوان مقاله [English] | ||
| Designing a Model to Predict Stock Price Crash Risk in the Tehran Stock Exchange | ||
| نویسندگان [English] | ||
| Farzaneh Valizadeh1؛ Amir Mohamadzadeh2؛ Mohsen Seighali3؛ Mohsen Torabian4 | ||
| 1PhD Student, Department of financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran | ||
| 2Associate Professor, Department of financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran | ||
| 3Ph.D. in Financial Management, Lecturer at Qazvin Branch, Islamic Azad Uinversity, Qazvin, Iran | ||
| 4Assistant Professor, Department of Mathematics, Takestan Branch, Islamic Azad University, Takestan, Iran | ||
| چکیده [English] | ||
| This study aims to investigate how and to what extent stock price crash risk is affected by various factors and tries to design a model to predict this relationship in the Tehran Stock Exchange. Accordingly, Besides reviewing the literature on stock price crash risk, 12 experts were selected from the statistical population of the capital market for the qualitative part using the theoretical sampling method and the gradual selection rule. Once the data were collected by referencing documents and interviews, the target model was extracted by MAXQDA18 software. The systematic random sampling was used to select 100 companies from a statistical sample of listed companies on the Tehran Stock Exchange over 2009-2019 to test the research hypothesis. Then, a quantitative model derived through the qualitative method was tested as structural equations using the PLS software.The results indicate that it is possible to achieve a model for predicting the stock price crash risk using a mixed (qualitative and quantitative) approach and providing a method to assess its fitness accuracy. and respectively the seven variables obtained from the qualitative part; Financial variables, business strategies, managerial ability and information asymmetry as internal factors and macroeconomic variables, political relations and social responsibility as external factors affect the stock price crash risk. | ||
| کلیدواژهها [English] | ||
| Qualitative-Quantitative Research Method, Stock, Stock Price, Stock Price Crash Risk | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
Akinkuotu, O. K. (2013). Comparative impact of fiscal and monetary shocks on stock market performance in Nigeria. In a post field report presented at the African Economic Research Consortium (AERC) bi-annual conference in Nairobi, Kenya. Amiri, H., & Pirdadeh Biranvand, M. (2019). “Uncertainty in Iran's economic policies and stock market based on Markov's regime change approach”. Financial Knowledge of Securities Analysis, 12(44), pp. 49-67. (in persian). Asadi, G. H., & Kazemi, K. (2018). “Investigating the relationship between the stock price crash risk using the negative skewness criterion of stock returns and dividend policy in companies listed in the Tehran Stock Exchange”. Financial Management Perspective, 8)22(, pp. 9-28. (in persian). Ball, R. (2009). “Market and political/regulatory perspectives on the recent accounting scandals”. Journal of accounting research, 47(2), pp. 277-323. Benmelech, E., Kandel, E., & Veronesi, P. (2010). “Stock-based compensation and CEO (dis) incentives”. Quarterly Journal of Economics. 125(4), pp. 1769-1820. Bentley, K., Omer, T., & Sharp, N. (2013). “Business strategy, financial reporting irregularities, and audit effort”. Contemp. Account. Res, 30(2), pp. 780-817. Bentley, K. A., Newton, N. J., & Thompson, A.) 2015(. “Business strategy and internal control over financial reporting”. Working paper, University of New South Wales. Beshkooh, M,. & Keshavarz, F. (2018). “Managers' overconfidence and the stock price crash risk”. Financial Management Strategy, 6(2), pp. 192-217. (in persian). Blanchard, O. J., Watson, M. W. (1982). “Bubbles, rational expectations, and financial markets”. NBER working paper. Bleck, A., & Liu, X. (2007). “Market transparency and the accounting regime”. Journal of Accounting Research, 45(2), pp. 56-229. Campbell, J. Y., & Hentschel, L. (1992). “No news is good news: An asymmetric model of changing volatility in stock returns”. Journal of financial Economics, 31(3), pp. 281-318. Cao, F., Ye, K., Zhang, N., & Li, S. (2018). “Trade credit financing and stock price crash risk”. Journal of International Financial Management & Accounting, 29(1), pp. 30-56. Charmaz, K. (2008). Grounded Theory as an Emergent Method. Handbook of Emergent Methods ,New York, Guilford press. Chen, J., Hong, H., & Stein, J. C. )2001(. “Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices”. Journal of Financial Economics, 61(3), pp. 345-381. Corbin, J., & Strauss, A. (2008). Basics of Qualitative Research: Techniques and Procedures for Developing Grounded Theory, Thousand Oaks, CA, Sage. Cui, H., Chen, C., Zhang, Y., & Zhu, X. (2019). “Managerial ability and stock price crash risk”. Asia-Pacific Journal of Accounting & Economics, 26(5), pp. 532-554. Demerjian, P., Lev, M., Lewis, F., & McVay, S. (2013). “Managerial ability and earnings quality”. The Accounting Review, (2)88, pp .463-498. Dumitrescu, A., & Zakriya, M. (2021). “Stakeholders and the stock price crash risk: What matters in corporate social performance?”. Journal of Corporate Finance, 67, p. 101871. Erfani, A. R., & Safari, S. (2017). “Analysis of equity premium puzzle and investigation of problems of estimating risk aversion coefficient in the Tehran stock market”. Financial Management Perspectives, 7(19), pp. 51-73. (in persian). Faghani Makerani, Kh., Heidari Rostami, K., & Amin, V. (2016). “Investigating the relationship between social responsibility and stock price Reduction risk in companies listed in the Tehran Stock Exchange”. Investment Knowledge, 5(19), pp. 269-284. (in persian). Fakhari, H., & Nasiri, M. (2020). “The effect of company performance on the stock price crash risk”. Financial Management Strategy, 8(3), pp. 43-62. (in persian). Foroughi, D & Sakiani, A. (2018). “The effect of managerial ability on the stock price crash risk”. Financial Accounting and Auditing Researches, 10(40), pp. 47-68. (in persian). Glaser, B. G., & Strauss, A. L. )1967(. The Discovery of grounded theory. strategies for qualitative research, Chicago, Aldine Publishing Company. Habib, A., & Hasan, M. M. (2017). “Managerial ability, investment efficiency and stock price crash risk”. Research in International Business and Finance, 42, pp. 262-274. Habib Hasan, A., & Monzur, M. (2017). “Business stertegy, overvalued equities and stock price crash risk”. Research in International Business and Finance, 39, pp. 389-405. Haghanifar, A., Shamakhi, H. R., & Haji, G. (2015). Study of the effect of financial variables on stock price crash risk in the Iranian capital market. Fourth National Conference and Second International Conference on Accounting and Management, Tehran, August 2015, Industrial Management Organization. (in persian). Haghanifar, A., Shamakhi, H. R., & Haji, G. (2015). The impact of fundamental stock indices on stock price crash risk in the Iranian Capital Market. The Second International Management Conference in the 21st Century, Tehran, September 2015. (in persian). Hajiha, Z. (2017). “Defensive and exploratory trading strategy, information asymmetry and stock price crash risk”. Financial Engineering and Securities Management, 8(31), pp. 75-94. (in persian). Harper, J., Johnson, G., & Sun, L. (2020). “Stock price crash risk and CEO power: Firm-level analysis”. Research in International Business and Finance, 51, p. 101094. Harymawan, I., Lam, B., Nasih, M., & Rumayya, R. (2019). “Political connections and stock price crash risk: Empirical evidence from the fall of Suharto”. International Journal of Financial Studies, 7(3), p. 49. Jin, H., Gong, M., Lin, Y., & Fang, Q. (2016). “Political connections and stock price crash risk: Evidence from China”. Economics Letters, 147, pp. 90-92. Jin, L. I., & Mayers, S. C. (2006). “Around the world: New theory and new test”. Journal of Finance and Economy, 79(2), pp. 257-292. Khajavi, SH., Rezaei, G. R,. & Bagheri, M. (2018). “Investigating of the mediating role of managers' capabilities on the relationship between tax avoidance and the stock prices crash risk of companies listed in the Tehran Stock Exchange”. Financial Management Strategy, 6(2), pp. 11-34. (in persian). Khalifeh Soltani, Dr. S. A., Rahnama, M., & Kimasi, F. (2018). “The effect of political communication on stock price crash risk under conditions of information asymmetry”. Accounting Knowledge, 9(4), pp. 37-69 .(in persian). Khani, B., & Mohammadipour, R. (2015). “Investigating the relationship between economic risk and stock price crash risk in the Tehran Stock Exchange”. Third International Conference on Accounting and Management, Tehran, October 2015. (in persian). Khodarahmi, B., Foroughnejad, H,. Sharifi, M & Talebi, A. R. (2016). “The effect of information asymmetry on the future stock price crash risk of companies listed in the Tehran Stock Exchange”. Asset Management and Financing, 4)3(, pp. 39-58. (in persian). Kim, C., Wang, K., & Zhang, L. (2019). “Readability of 10‐K reports and stock price crash risk”. Contemporary accounting research, 36(2), pp. 1184-1216. Moradi, M., Appolloni, A., Zimon, G., Tarighi, H., & Kamali, M. (2021). “Macroeconomic Factors and stock price crash risk: Do managers withhold bad news in the crisis-ridden Iran market?”. Sustainability, 13(7), p. 3688. Moradzadeh Fard, M. (2016). “Management ability, investment efficiency and the future stock price crash risk”. Empirical Studies in Financial Accounting, 13(50), pp. 25-56. (in persian). Nirvanto, M& ,. Rhardja, H. (2011). “Corporate social responsibility disclosure and its relation on institutional ownership: Evidence from public listed companies in Malaysia 2008-2010”. Managerial Auditing Journal. Robin, A. J., & Zhang, H. (2015). “Do industry-specialist auditors influence stock price crash risk?”. Auditing: A Journal of Practice & Theory, 34(3), pp. 47-79. Tabatabai, S. Z., Hashemi, S. A., & Amiri, H. (2020). “The effect of risk disclosure and its types on the stock price crash risk”. Accounting Advances, 12(2(, pp. 133-171. (in persian). Venkatesh, P. C., & Chiang, R. (1986). “Information asymmetry and the dealer's bid‐ask spread: A case study of earnings and dividend announcements”. The Journal of Finance, 41(5), pp. 1089-1102. Wu, C. M., & Hu, J. L. (2019). “Can CSR reduce stock price crash risk? Evidence from China's energy industry”. Energy Policy, 128, pp. 505-518. | ||
|
آمار تعداد مشاهده مقاله: 567 تعداد دریافت فایل اصل مقاله: 368 |
||
