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

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Ranjbar navi Rostam; HAMIDIAN MOHSEN; BAGHANI ALI

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:34 Page(s): 417-438

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Information Journal Paper

Title

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

Author(s)

Ranjbar navi Rostam | HAMIDIAN MOHSEN | BAGHANI ALI | Issue Writer Certificate

Keywords

Political ConnectionQ1

stock prices crash riskQ1

Business StrategyQ1

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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APA: Copy

Ranjbar navi, Rostam, HAMIDIAN, MOHSEN, & BAGHANI, ALI. (2020). 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. INVESTMENT KNOWLEDGE, 9(34 ), 417-438. SID. https://sid.ir/paper/387768/en

Vancouver: Copy

Ranjbar navi Rostam, HAMIDIAN MOHSEN, BAGHANI ALI. 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. INVESTMENT KNOWLEDGE[Internet]. 2020;9(34 ):417-438. Available from: https://sid.ir/paper/387768/en

IEEE: Copy

Rostam Ranjbar navi, MOHSEN HAMIDIAN, and ALI BAGHANI, “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,” INVESTMENT KNOWLEDGE, vol. 9, no. 34 , pp. 417–438, 2020, [Online]. Available: https://sid.ir/paper/387768/en

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