Investigating the Factors Affecting the Negative skewness of stock returns in Tehran Stock Exchange

Document Type : Original Article

Authors

1 Ph.D Student, Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran

2 Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran

Abstract

The aim of this study investigating the factors affecting the negative skewness of stock returns in Tehran Stock Exchange. For this purpose, the financial statements of 119 firms were collected during the period 2011-2017. 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, and institutional ownership are the most important factors influencing stock prices crash risk.
The aim of this study investigating the factors affecting the negative skewness of stock returns in Tehran Stock Exchange. For this purpose, the financial statements of 119 firms were collected during the period 2011-2017. 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, 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, and institutional ownership are the most important factors influencing stock prices crash risk.

Keywords