هزینه‌های نمایندگی و ارتباط ریسک درماندگی مالی با ریسک سقوط قیمت سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه حسابداری، دانشکده علوم اجتماعی، دانشگاه بین‌المللی امام خمینی (ره)، قزوین، ایران.

2 استاد،گروه حسابداری، دانشکده علوم اجتماعی، دانشگاه بین‌المللی امام خمینی (ره)، قزوین، ایران.

10.22051/jfm.2024.45464.2877

چکیده

ریسک سقوط قیمت سهام که احتمال کاهش شدید و ناگهانی قیمت را نشان می‌دهد، تحت تاثیر ریسک درماندگی مالی قرار می‌گیرد و هزینه‌های نمایندگی این ارتباط را تشدید می‌کند. بررسی تجربی این موضوع هدف پژوهش حاضر است. برای دستیابی به هدف پژوهش، داده‌های 211 شرکت فعال در بورس اوراق بهادار تهران، طی یک دوره 10 ساله از 1391 الی  1400  انتخاب و برای آزمون فرضیه از روش رگرسیون خطی چند متغیره و الگوی داده‌های ترکیبی استفاده شده است. یافته‌ها نشان داد، ریسک درماندگی مالی (معیار مبتنی بر اطلاعات بازاری)، موجب افزایش ریسک سقوط قیمت سهام نمی‌شود. همچنین، وجود هزینه‌های نمایندگی ارتباط بین ریسک درماندگی مالی و ریسک سقوط قیمت سهام را تشدید نمی‌کند. علاوه بر این آزمون و تحلیل‌های اضافی نشان داد ریسک درماندگی مالی (معیار مبتنی بر اطلاعات حسابداری آلتمن) موجب افزایش ریسک سقوط قیمت سهام (معیار چولگی منفی بازده سهام) می‌شود. بررسی تاثیر هزینه‌های نمایندگی بر ارتباط بین ریسک درماندگی مالی و ریسک سقوط قیمت سهام و اندازه گیری ریسک سقوط با دو معیار چولگی منفی بازده سهام و نوسان پایین به بالا، ریسک درماندگی مالی با دو معیار مرتون و آلتمن،  همچنین تعدیل هزینه‌های نمایندگی هر شرکت، با متوسط صنعت، نوآوری پژوهش تلقی می‌شود.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Agency Costs and the Relationship between Financial Distress Risk and the Stock Prices Crash Risk

نویسندگان [English]

  • Ramin Eskandari 1
  • Gholamreza Kordestani 2
1 Accounting, Faculty of Social Sciences, Imam Khomeini International University, Qazvin, Iran
2 imam khomeini international university
چکیده [English]

Stock Prices Crash Risk

The of risk the stock price crash, which indicates the possibility of a sharp and sudden drop in price, is affected by the risk of financial distress, and agency costs intensify this relationship. Empirical investigation of this issue is the aim of the present studyTo achieve the goal of the research, the data of 211 corporations active in the Tehran Stock Exchange were selected during a 10-year period from 2012 to 2021, and multivariate linear regression method and mixed data model were used to test the hypothesis. The findings showed that the risk of financial distress (criterion based on market information) does not increase the risk of stock prices crash. .Also the existence of agency costs does not intensify the relationship between the risk of financial distress and risk of stock prices crash. In addition to this test and additional analyzes showed that the risk of financial distress (criterion based on Altman's accounting information) increases the risk of stock prices crash (criterion of negative skewness of stock returns). Investigating the effect of agency costs on the relationship between the risk of financial distress and risk of stock prices crash and measuring the risk of crash with the two criteria of negative skewness of stock returns and downward volatility, the risk of financial distress with the two criteria of Merton and Altman, as well as adjusting the agency costs of each company. With industry average, research innovation is considered

کلیدواژه‌ها [English]

  • Agency cost
  • Risk of financial distress
  • Stock prices crash risk
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