تأثیر مشکلات نمایندگی بر رابطه بین افق زمانی کوتاه مدت سرمایه گذار نهادی و ریسک سقوط قیمت سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه حسابداری، واحد هشترود، دانشگاه آزاد اسلامی، آذربایجان شرقی، ایران

2 کارشناسی ارشد حسابداری، واحد مرند، دانشگاه آزاد اسلامی، آذربایجان شرقی، ایران.

چکیده

هدف پژوهش حاضر، بررسی تأثیر مشکلات نمایندگی بر رابطه بین افق زمانی کوتاه‌مدت سرمایه‌گذار نهادی و ریسک سقوط قیمت سهام است. این پژوهش از نظر هدف، کاربردی و از نظر روش پس رویدادی می‌باشد. دوره زمانی پژوهش، 1398-1391 بوده و برای اندازه‌گیری متغیر ریسک سقوط قیمت سهام از داده‌های دو ماه قبل (1390) و دو ماه بعد( 1399) نیز استفاده شده است. همچنین، 123 شرکت به‌عنوان نمونه انتخاب شده است. برای تجزیه و تحلیل داده‌های پژوهش، از مدل‌های رگرسیونی چند متغیره در نرم‌افزار ایویوز استفاده شده است. نتایج این پژوهش نشان داد که، افق زمانی کوتاه‌مدت سرمایه‌گذارنهادی بر ریسک سقوط قیمت سهام تأثیر مثبت و معنی‌داری دارد. مشکلات نمایندگی ناشی از تضاد نمایندگی مبتنی‌‌بر مالکیت مدیریتی، بر رابطه بین افق زمانی کوتاه‌مدت سرمایه‌گذار نهادی و ریسک سقوط قیمت سهام تأثیر منفی و معنی‌داری دارد و مشکلات نمایندگی ناشی از تضاد نمایندگی مبتنی‌‌بر جریان وجوه نقد آزاد، بر رابطه بین افق زمانی کوتاه‌مدت سرمایه‌گذارنهادی و ریسک سقوط قیمت سهام تأثیر مثبت و معنی‌داری دارد.

کلیدواژه‌ها

عنوان مقاله [English]

The effect of Agency Problems on Relationship between Institutional Investor's Short-Term Time Horizon and Stock Price Crash Risk

نویسندگان [English]

  • rahim bonabi gadim 1
  • Somayeh Rahmani Fard 2
1 Assistant Prof, Department of Accounting, Hashtrood Branch, Islamic Azad University, East Azerbaijan Province, Iran.
2 MSc in Accounting, Marand Branch, Islamic Azad University, East Azerbaijan Province, Iran.
چکیده [English]

The purpose of this study is to investigate the effect of agency problems on relationship between Institutional investor's short-term time horizon and stock price crash risk. This research is applied in terms of purpose and correlation in terms of method. The research period was 2012-2019 and data from two months before 2011 and two months after 2020 were used to measuring the risk of stock price fall. Also, 123 companies were selected as a sample. To analyze the research data, multivariate regression models have been used in Eviews software. The results of this study showed that investor's short-term time horizon has a positive and significant effect on the stock price crash risk. Agency problems (problems due to agency conflict based on managerial ownership) have a negative and significant effect on the relationship between investor's short-term horizon and the stock price crash risk. Agency problems (problems due to agency conflict based on free cash flow) have a positive and significant effect on the relationship between investor's short-term time horizon and the stock price crash risk.

کلیدواژه‌ها [English]

  • Stock Price Crash Risk
  • Short-term Time Horizon
  • Institutional Investor
  • Agency Problems

مراجع

  1. Ahmadpoor, A., Heydari Rostami, K., & Zare Bahnamiri, M. (2015). Investigating the Effect of Companies’ Characteristics on Share Price Crash Risk (Companies listed in Tehran Stock Exchange). Journal of Securities Exchange, 7(28), 29-45. (In Persian).
  2. Andreou, P. C., Lambertides, N., & Magidou, M. (2021). Stock price crash risk: A critique of the agency theory viewpoint. Available at SSRN1-60.
  3. Andreou, C. K., Andreou, P. C., & Lambertides, N. (2021). Financial distress risk and stock price crashes. Journal of Corporate Finance, Available at SSRN67, 1-56.
  4. Ansari Samani, H., & Nazari, F. (2017). Identifying and ranking predictors of stock bubble: Application of Logistic regression and artificial neural network. Quarterly Journal of Quantitative Economics, 13(4), 75-102. (In Persian)
  5. Baradaran Hassanzadeh, R., & Taghizadeh Khanqah, V. (2018). Impacts of Company Diversification Strategy on Crash Risk of Stock Price with Emphasis on Agency Costs. Journal of Knowledge Accounting, 9(1), 63-90.(In Persian)
  6. Bohl, M., Brzezcynski, J., & Wilfling, B, (2009). Institutional investors and stock returns Volatility: Emperical evidence from a natural experiment, Journal of Banking & Finance, 1(33),627-639.
  7. Bris, A., Goetzmann, W.N., & Zhu, N., (2007). Efficiency and the bear: Short sales and markets around the world. Journal of Finance, 62(3), 1029–1079.
  8. Callen, J. L. & Fang, X. (2013). Institutional Investors and Crashes: Monitoring or Expropriation? SSRN.com.1-54.
  9. Callen, J, L., & Fang, X. (2015). Short interest and stock price crash risk, Journal of Banking & Finance, 60 (2) 181–194.
  10. Chauhan, Y., Kumar, S. & Pathak, R. (2017). Stock liquidity and stock prices crash-risk: Evidence from India. The North American Journal of Economics & Finance, 41, 70-81.
  11. Chen, J., Chan, kam., Dong, Wang., & Zhang, F, (2017). Internal Control and Stock Price Crash Risk: Evidence from China, European Accounting Review,26 (1), 125-152.
  12. Dastgir, M., Sakiyani, A., & Salehi, N. (2019). Effects of Financial Constraints on Crash Risk of Future Stock Price in View of the Effects of Abnormal Accruals. Journal of Knowledge Accounting, 10(1), 67-90. (In Persian)
  13. Dianati Dilami, Z., Moradzadeh Fard, M., & Mahmoudi, S. (2012). Examine the effect of Institutional Investors on Reduce Stock Price Crash Risk. Journal of Investment Knowledge,1(2),1-18. (In Persian)
  14. Engelberg, J.E., Reed, A.V., & Ringgenberg, M.C. (2014). Short selling risk. Working Paper. University of California at San Diego, University of North Carolina, and Washington University in St. Louis.73(2), 755-786.
  15. Foroghi, D. (2016). The Effect of CEO Duality on Future Stock Price Crash Risk. Journal of Financial Accounting Knowledge, 3(2), 31-52.(In Persian)
  16. Foroghi, D., & sakiani, A. (2018). The Effect of Dividend Payment on Future Stock Price Crash Risk with Considering Effect Free Cash Flow and Information Asymmetric. Applied Research in Financial Reporting, 6(2), 131-158.(In Persian)
  17. Gompers, P.A., & Metrick, A. (2001). Institutional investors and equity prices, The Quarterly Journal of Economics, 116 (1), 229–259.
  18. Graham, J.R., Harvey, C.R., & Rajgopal, S., (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics 40 (1), 3– 73.
  19. Heidari, M., Qaderi, B., & abdi, S. (2017). Agency Theory & Stock Price Crash Risk: Evidence from Tehran Stock Exchange. Journal of Securities Exchange, 10(37), 151-177.(In Persian)
  20. Hong, S., & Eun Lee, J, (2015), Internal Control Weakness and Stock Price Crash Risk, The Journal of Applied Business Research, 31(4), 1289-1296.
  21. Hou, K., & Moskowitz, T., (2005). Market frictions, price delay and the cross-section of expected returns. Review of Financial Studies, 18 (3), 981–1020.
  22. G., & Wang, Y. (2019), Political connections and stock price crash risk: The role of intermediary information disclosure. China Finance Review International, 8(2), 140-157.
  23. Hutton, A.P., Marcus, A.J., &Tehranian, H., (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94 (1), 67–86.
  24. Jensen, M. C., & Meckling, W.H. (1976), Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics, 3(4),305-360.
  25. Jin, L., & Myers, S.C., (2006). R2 around the world: new theory and new tests. Journal of Financial Economics, 79 (2), 257–292.
  26. Jory, R., Ngo, T., & Sakaki, H. (2017). Institutional Ownership Stability and Dividend Payout Policy”, Managerial Finance, 1-11.
  27. Karpoff, J.M., & Lou, X., (2010). Short sellers and financial misconduct. The Journal of Finance, 65 (5), 1879–1913.
  28. 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.
  29. Kim, J.B., Luo, L. & Xei, H. (2016). "Dividend payments & stock price crash risk", Available at: ssrn.com.
  30. Kim, J.B., & Zhang, L. (2014). "Financial reporting opacity & expected crash risk: Evidence from implied volatility smirks". Contemporary Accounting Research, 31(3), 851–875.
  31. Kothari, S. P, Shu, S, & Wysocki, P. D. (2009). Do Managers Withhold Bad News? Journal of Accounting Research, 47(1), 241-276.
  32. Li, W., & Cai, G. (2016). Religion & stock price crash risk: Evidence from China. China Journal of Accounting Research, 9(3), 235–250.
  33. Malekian, E., fakhari, H., ghasemi, J., & Farzad, S. (2018). Predict the risk of falling stock prices by using meta-innovative methods (Cumulative particle motion optimization algorithm) and comparison with logistic regression. Financial Engineering and Securities Management (Portfolio Management) , 9(36), 225-250.(In Persian)
  34. Moradi, M., parandeh, E., & marandi, Z. (2017). The relationship between horizon of institutional investors and Information Content of unexpected dividends. Financial Engineering and Portfolio Management, 8(33), 207-227.(In Persian)
  35. Nguyen, H., & Chen, H. (2008). Institutional Herding and its impact on stock prices. University of florida & Baltimore.131(1),139-167.
  36. Ni, X., & Zhu, W. (2016). Short-sales and stock price crash risk: Evidence from an emerging market, Economics Letters, 144(2), 22–24.
  37. Pakmaram, A., & Yasaman Mayan, R. (2018). Investigating the Effect of Representation Conflict on Information Asymmetry. Journal of Accounting and Management Vision, 1(2), 83-96.(In Persian)
  38. Panayiotis, C. A, Constantinos, A., Joanne, H. & L. Christodoulos. (2015). Corporate governance and firm-specific stock price crashes, European Financial Management, 22 (5), 1-41.
  39. Sias, R., & Whidbee., D.A. (2006). Are Institutional or Individual investors more likely to deprive prices from fundamentals? Working papers.Washington state university.
  40. Sun, J., Yuan, R., Cao, F., & Wang, B. (2017), Principal-principal agency problems and stock price crash risk: Evidence from the split-share structure reform in China. Corporate Governance: An International Review, 25(3),186-199.
  41. Tanani, M., Sedighi, A., & Amiry, A. (2016). The Role some of Corporate Governance Mechanisms in Reducing the Risk of Share Price crash in Accepted Companies in Tehran Stock Exchange. Journal of Asset Management and Financing, 3(4), 31-5.(In Persian)
  42. Tanani, M., sedighi, A., & amiry, A. (2016). The Role some of Corporate Governance Mechanisms in Reducing the Risk of Share Price crash in Accepted Companies in Tehran Stock Exchange. Journal of Asset Management and Financing, 3(4), 31-50.(In Persian)
  43. Vadeei Noghabi, M. H., & Rostami A. (2014). The Impact of Type of Institutional Ownership on Future Stock Price Crash Risk: Evidence from Companies Listed in Tehran Stock Exchange (TSE). Quarterly financial accounting journal, 6(23),43-66. (In Persian)
  44. H., & Khoram, A. (2011). Effectiveness of firms leading mechanisms in order to reduce agenty costs. Management Accounting,4(1),61-75.(In Persian)
  45. Valizadeh, F., Mohamadzadeh, A., Seighali, M., & torabian, M. (2021). Presentation the Model for Predicting the Factors Affecting Stock Price Crash Risk in the Tehran Stock Exchange. Journal of Financial Management Perspective, 11(33) .(In Persian)
  46. Wen, F., Xu, L., Chen, B., Xia, X., & Li, J. (2019). Heterogeneous institutional investors, short selling and stock price crash risk: Evidence from China. Emerging Markets Finance and Trade, 1-14.
  47. Yan, X., & Zhang, Z. (2009). Institutional investors and equity return: are short-term institutions better informed? The Review of Financial Studies. 22(2), 893–924.
  48. Yazdanian, N., & Hajiakbari, A. (2019). Investigating the Effect of Volatility in Exchange Rates on the Levels of Skewness and Kurtosis of Stock Portfolio Returns of Listed Companies in Tehran Stock Exchange. Journal of Financial Management Perspective, 9(25), 121-146. (In Persian)
  49. Zhou, L., & Huang, J. (2019). Investor trading behaviour and stock price crash risk. International Journal of Finance & Economics, 24(1), 227-240.
چشم انداز مدیریت مالی
دوره 11، شماره 34
شهریور 1400
صفحه 117-144

فایل ها

هم رسانی

ارجاع به این مقاله

آمار