ساختار سرمایه محافظه کارانه و ریسک سقوط آتی قیمت سهام: نقش تعدیلی عدم تقارن اطلاعاتی و چرخه عمر

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیا ر دانشگاه پیام نور

2 استادیار دانشگاه پیام نور

10.22051/jfm.2023.43675.2818

چکیده

 
هدف پژوهش حاضر بررسی تأثیر سیاست­ تعیین ساختار سرمایه (سیاست محافظه­کارانه و غیر محافظه­کارانه) بر ریسک سقوط قیمت سهام می­باشد. در این راستا، اطلاعات143 شرکت پذیرفته­شده در بورس اوراق بهادار تهران طی دوره زمانی 1394-1400با استفاده از رگرسیون چندگانه با کنترل اثرات ثابت سال و صنعت مورد بررسی قرار گرفت. یافته‌های پژوهش نشان می‌دهد ساختار سرمایه محافظه­کارانه تاثیر معنی‌داری بر ریسک سقوط آتی قیمت سهام ندارد. همچنین، عدم‌تقارن اطلاعاتی، رابطه ساختار سرمایه محافظه­کارانه و ریسک سقوط آتی قیمت سهام را برجسته می­کند؛ ولی چرخه عمر شرکت بر رابطه ساختار سرمایه محافظه­کارانه و ریسک سقوط آتی قیمت سهام تاثیر معنی‌داری ندارد. با توجه به یافته‌های فوق می‌توان گفت شرکت­های دارای ساختار سرمایه محافظه کارانه، امکان بیشتری برای استفاده از فرصت­های مناسب سرمایه­گذاری از یک طرف و کاهش رفتارهای فرصت­طلبانه از طرفی دیگر، دارند و با احتمال کمتری با ریسک سقوط آتی قیمت سهام مواجه باشند. این نتیجه‌گیری در اقتصاد تورمی ایران نیز، صدق می‌کند.
 

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Conservative Capital Structure and Stock Price Crash Risk: The Moderating Role of Information Asymmetry and Firm Life Cycle

نویسندگان [English]

  • Azam Puryousof 1
  • Mahdi Saghafi 2
1 Assistant Professor. Faculty of management, economic& accounting, PNU University
2 Assistant Profesor. Faculty of management, economic& accounting, PNU University
چکیده [English]

 The purpose of this research is to investigate the effect of capital structure determination policy (conservative and non-conservative policy) on the stock price crash risk.
 The data of 143 companies admitted to Tehran Stock Exchange during the period of 2014-2015 was analyzed using multiple regression with the control of year and industry fixed effects.
Conservative capital structure does not have a significant effect on the stock price crash risk. It also highlights the information asymmetry, the relationship between the conservative capital structure and the stock price crash risk; But the life cycle of the company does not have a significant effect on the relationship between the conservative capital structure and the stock price crash risk. Companies with a conservative capital structure are more likely to use suitable investment opportunities on the one hand and reduce opportunistic behavior on the other hand, and are less likely to face the stock price crash risk. This conclusion also applies to Iran's inflationary economy.
The current study analyzes the determinants of conservative financial policy, it is the first study that examines the impact of conservative capital structure on the stock price crash risk and the role of life cycle adjustment and Information asymmetry deals with the relationship between capital structure management and stock price crash risk and develops the existing literature regarding financial conservatism and its contradictory effect in inflationary economies.

کلیدواژه‌ها [English]

  • Conservative Financial Policy
  • Stock Price Crash Risk
  • Financial Flexibility
  • Information Asymmetry and Life Cycle
Almeida, H., Campello, M., & Weisbach, M. S. (2004). The cash flow sensitivity of cash. The Journal of Finance, 59(4), 1777-1804.
An, Heng, Zhang, Ting, 2013. Stock price synchronicity, crash risk, and institutional investors. J. Corp. Finance 21, 1–15. An, Zhe., Li, Donghui., Yu, Jin, 2015.  Firm crash risk, information environment, and speed of leverage adjustment. Journal of Corporate Finance 31, 132–151.
Baum, C. F., Caglayan, M., & Rashid, A. (2017). Capital structure adjustments: Do macroeconomic and business risks matter? Empirical Economics, 53(4), 1463-1502.
Ben‐Nasr, H., & Ghouma, H. (2018). Employee welfare and stock price crash risk. Journal of Corporate Finance, 48, 700–725.
Benmelech, E., & Bergman, N. K. (2009). Collateral pricing. Journal of Financial Economics, 91, 339–360.
Bessler, W., Drobetz, W., Haller, R., & Meier, I. (2013). The international zero-leverage phenomenon. Journal of Corporate Finance, 23, 196–221.
Bigelli, M., & Sánchez-Vidal, J. (2012). Cash holdings in private firms. Journal of Banking and Finance, 36, 26–35.
Bigelli, M., Martín-Ugedo, J. F., & Sánchez-Vidal, F. J. (2014). Financial conservatism of private firms. Journal of Business Research, 67(11), 2419-2427.
Brav, O. (2009). Access to capital, capital structure, and the funding of the firm. Journal of Finance, 64, 263–308.
Brounen, D., De Jong, A., & Koedijk, K. (2006). Capital structure policies in Europe: Survey evidence. Journal of Banking & Finance, 30(5), 1409-1442.
Byoun, S. (2008). How and when do firms adjust their capital structures toward targets? The Journal of Finance, 63(6), 3069-3096.
Callen, J. L., & Fang, X. (2015). Short interest and stock price crash risk. Journal of Banking & Finance, 60, 181–194.
Chen, Joseph, Hong, Harrison, Stein, Jeremy C., 2001. Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. J. Finance. Econ. 61, 345–381.
Dang, V. A. (2013). An empirical analysis of zero-leverage firms: New evidence from the UK. International Review of Financial Analysis, 30, 189-202.
Dang, V. A., & Garrett, I. (2015). On corporate capital structure adjustments. Finance Research Letters, 14, 56-63.
Devos, E., Dhillon, U., Jagannathan, M., & Krishnamurthy, S. (2012). Why are firms unlevered? Journal of Corporate Finance, 18, 664–682.
Dickinson, V. (2011). Cash flow patterns as a proxy for firm life cycle. The Accounting Review 86 (6): 1969-1994.
Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2003). Courts. Quarterly Journal of Economics, 118, 453–517.
Djankov, S., McLiesh, C., & Shleifer, A. (2007). Private credit in 129 countries. Journal of Financial Economics, 84, 299–329.
Easterbrook, F. H. (1984). Two agency-cost explanations of dividends. American Economic Review, 74, 650–659.
Fan, J. P. H., Titman, S., & Twite, G. (2012). An international comparison of capital structure and debt maturity choices. Journal of Financial and Quantitative Analysis, 47, 23–56.
Faulkender, M., Flannery, M. J., Hankins, K. W., & Smith, J. M. (2012). Cash flows and leverage adjustments. Journal of Financial Economics, 103(3), 632-646.
Gamba, A., & Triantis, A. (2008). The value of financial flexibility. The Journal of Finance, 63(5), 2263-2296.
Gamba, A., & Triantis, A. (2008). The value of financial flexibility. Journal of Finance, 63, 2263–2296.
Goldstein, R., Ju, N., & Leland, H. (2001). An EBIT-basedmodel of dynamic capital structure. Journal of Business, 74, 483–512.
  González, V.M., & González, F. (2008). Influence of bank concentration and institutions on capital structure: New international evidence. Journal of Corporate Finance, 14, 363–375.
Graham, J. R. (2000). How big are the tax benefits of debt? Journal of Finance, 55, 1901–1942.
Graham, J. R., & Harvey, C. R. (2001). The theory and practice of corporate finance: Evidence from the field. Journal of Financial Economics, 60(2), 187-243.
Graham, J. R., & Leary, M. T. (2011). A review of empirical capital structure research and directions for the future. Annual Review of Financial Economics, 3(1), 309-345.
Hadlock, C. J., & Pierce, J. R. (2010). New evidence on measuring financial constraints: Moving beyond the KZ index. Review of Financial Studies, 23, 1909–1940.
Harford, J., (1999). Corporate cash reserves and acquisitions. Journal of Finance, 54, 1969-1997.
Hamers, L., Renders, A., Vorst, P. (2016). Firm Life Cycle and Stock Price Crash Risk, http://dx.doi.org/10.2139/ssrn.2711170
Harris, M., & Raviv, A. (1991). The theory of capital structure. Journal of Finance, 46, 297–355.
Huang, R., & Ritter, J. R. (2009). Testing theories of capital structure and estimating the speed of adjustment. Journal of Financial and Quantitative Analysis, 44(02), 237-271.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R 2, 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. The American Economic Review, 76(2), 323-329.
Jin, Li, Myers, Stewart C., 2006. R2 around the world: new theory and new tests. J. Financ. Econ. 79, 257–292.
Jovanovic, B. (1982). Selection and the evolution of industry. Econometrica 50 (3): 649-670.
Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm‐level analysis. Journal of Financial Economics, 100(3), 639 662.
Kim, J-B, Zhang, L, 2013. Financial reporting opacity and expected crash risk: evidence from implied volatility smirks. Contemp. Account. Res. 31, 851–875.
Kim, J-B.  Zhang, L. 2014. Accounting Conservatism and Stock Price Crash Risk: Firm‐level Evidence, Contemporary Accounting Research, https://doi.org/10.1111/1911-3846.12112.
Korteweg, A. (2010). The net benefits to leverage. Journal of Finance, 65, 2137–2170.
Kothari. S.P, RamannA, K. Skinner, D.J. )2010), Implications for GAAP from an analysis of positive research in accounting Journal of Accounting and Economics, 50, 246-286.
Kraus, A., & Litzenberger, R. H. (1973). A state preference model of optimal financial leverage. Journal of Finance, 28, 911–922.
Leary, M. T., & Roberts, M. R. (2005). Do firms rebalance their capital structures? The Journal of Finance, 60(6), 2575-2619.
Lemmon, M. L., Roberts, M. R., & Zender, J. F. (2008). Back to the beginning: Persistence and the cross-section of corporate capital structure. Journal of Finance, 63, 1575–1608.
Mandegari, A. Demouri, D (2023), Investigating the impact of financial flexibility, managerial efficiency and life cycle on the financial performance of companies listed on the Tehran Stock Exchange, Financial Management Strategy, 11(2), 97-128. (In persion).
Mehrabanpour, M. Alavi Nasab, S. M. Abbasian, E. Parkaush, T (2023). The role of financial inflexibility in explaining the value anomaly with emphasis on the business cycle. Financial Management Strategy, 11(1), 25-52. (In persion).
Marchica, M. T., & Mura, R. (2010). Financial flexibility, investment ability, and firm value: Evidence from firms with spare debt capacity. Financial Management, 39, 1339–1365.
Miguel, A., & Pindado, J. (2001). Determinants of capital structure: New evidence from Spanish panel data. Journal of Corporate Finance, 7, 77–99.
Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.
Myers, S. C. (1977). Determinants of corporate borrowing. Journal of Financial Economics, 5(2), 147-175.
Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13(2), 187-221.
Opler, T., Pinkowitz, L., Stulz, R. M., & Williamson, R. (1999). The determinants and implications of corporate cash holdings. Journal of Financial Economics, 52, 3–46.
Rashid, A. (2016). Does risk affect capital structure adjustments? The journal of Risk Finance, 17(1), 80-92.
Savari, Zoha, sacrifice. Rostami, Mohammadreza. Abbasi, Ebrahim (2017), Investigating the impact of life cycle on financial policies, investment, debt and liquidity, Experimental Accounting Research, No. 30, 155-173. (In persion).
Stiglitz, J. E., & Weiss, A. (1981). Credit rationing in markets with imperfect information. American Economic Review, 71, 393–410.
Strebulaev, I. A., & Yang, B. (2013). Themystery of zero-leverage firms. Journal of Financial Economics, 109, 1–23.
- Tehrani, Reza, Najafzadeh Khobi, Sara. (2016). Investigating the impact of inflation uncertainty on capital structure, Financial Economy Quarterly, No. 38, pp. 1-22. (In persion).
Yin, Y., & Tian, R. (2017). Investor sentiment, financial report quality and stock price crash risk: Role of short‐sales constraints. Emerging Markets Finance and Trade, 53(3), 493–510.
Yermack, D., (2006). Flights of fancy: Corporate jets, CEO perquisites, and inferior shareholder returns. Journal of Financial Economics, 80, 211-242.
Ziyaghasmi, Milad. Pourhydari, Omid. Abdzadeh Kanfi, Mohammad. (2017), Investigating the relationship between competition in the product market and the risk of falling stock prices, Experimental Accounting Research, No. 30, 299-320. (In persion).
Xu, Bixi. (2007). ‘‘Life Cycle Effect on the Value Relevance of Common Risk Factor’’, Review of Accounting and Finance Vol.6, pp.162-175.
Watts, R. L. 2003. Conservatism in accounting part I: Explanations and implications. Accounting Horizons 17 (3): 207–21.
Warner, J. B. (1977). Bankruptcy costs: Some evidence. Journal of Finance, 32, 337–347.