بررسی رابطه ریسک سقوط قیمت سهام با استفاده از معیار چولگی منفی بازده سهام و سیاست تقسیم سود در شرکت های پذیرفته شده در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

دانشگاه شهید بهشتی

چکیده

هدف اصلی این پژوهش، بررسی رابطه بین سیاست تقسیم سود و ریسک سقوط قیمت سهام شرکت­های پذیرفته‌شده در بورس اوراق بهادار تهران است. نقش عدم تقارن اطلاعاتی و جریان­های نقد آزاد در رابطه بین سیاست تقسیم سود و ریسک سقوط قیمت سهام نیز بررسی شده است. جامعه آماری این پژوهش همه شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران هستند. نمونه آماری شامل 68 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران است که از سال 1383 تا 1392 موردبررسی قرار گرفته است. برای آزمون فرضیه­های پژوهش از تحلیل آماری رگرسیون چندگانه تعدیل‌شده استفاده شده است. نتایج حاصل از پژوهش نشان‌دهنده آن است که بین سیاست تقسیم سود و ریسک سقوط قیمت سهام شرکت­های فعال در بورس اوراق بهادار تهران رابطه منفی و معناداری وجود دارد؛ همچنین متغیر جریان‌های نقد آزاد، نقش تعدیل­کنندگی در رابطه بین سیاست تقسیم سود و ریسک سقوط قیمت سهام دارد. علاوه‌بر‌این، متغیر عدم‌ تقارن اطلاعاتی بر رابطه بین سیاست تقسیم سود و ریسک سقوط قیمت سهام تأثیری ندارد.

کلیدواژه‌ها

عنوان مقاله [English]

The Relationship Between Dividend Payments And Stock Price Cash Risk In The Companies Listed On The Tehran Stock Exchange

نویسندگان [English]

  • Gholam Hossein Assadi
  • Kazem Kazemi
Shahid Beheshti University
چکیده [English]

The purpose of this research is to study the relationship between dividend payments and stock price crash risk for the companies listed on Tehran Stock Exchange (TSE). Also, this research is to study the role of information asymmetry and free cash flow on the relationship between dividend payments and stock price crash risk. Hence, this research utilizes NCSKEW, EXTR_SIGMA, and DUVOL as proxies for stock price crash risk. The research population composes of total companies listed in the TSE and statistical sample composes of 68 companies listed in the TSE which have been studied during the years 2003 to 2013. The multivariate linear regression is used for testing hypothesis of the research. The results suggest that there is a negative relationship between dividend payments and stock price crash risk proxies (i.e. NCSKEW and DUVOL) but, there is no relationship between dividend payments and stock price crash risk proxies by EXTR_SIGMA. Also, the results showed that information asymmetry has not a moderating role in the relationship between dividend payments and stock price crash risk. In addition, the results showed that free cash flow has a moderating role in the relationship between dividend payments and stock price crash risk proxies by NCSKEW.

کلیدواژه‌ها [English]

  • NCSKEW
  • EXTR_SIGMA
  • DUVOL
  • dividend payments
  • free cash flow

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