Investigating the Effect of Business Strategy and Stock Price Synchronicity on Stock Price Crash Risk

Advances in Mathematical Finance and Applications

مقاله 9، دوره 6، شماره 2، تیر 2021، صفحه 335-356   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.585637.1187

نویسندگان

Ghazal Hosseinzadeh Zorofchi¹؛ Alireza Heidarzadeh Hanzaei^{* 1}؛ Mohammad Hasani²

¹Department of Financial Management, Tehran North Branch, Islamic Azad University, Tehran-Iran

²Department of Accounting, Tehran North Branch, Islamic Azad University, Tehran-Iran

چکیده

Stock price crash risk has a significant impact on investors, creditors, managers, and shareholders, so the prediction of this phenomenon is a very important issue in investment and risk management decisions. This research investigates the
effect of business strategy and stock price synchronicity on stock price crash risk. Following Bentley et al.[2], composite strategy score has been used to proxy for an organization’s business strategy, expanded market model regression
following Chen et al. [3] to measure the firm-specific crash risk, and R2 method of Johnstone [14] to calculate the stock price synchronicity. In order to achieve this point, financial information of 171 companies that are listed on
Tehran stock exchange have been selected during the time period of 2013 to 2018, and data was analysed using regression model. According to the results,
companies with defender (analyser and prospector) business strategy are less (more) prone to future crash risk. Moreover, results show that stock price syn-chronicity has positive effect on stock price crash risk, while in companies with analyser business strategy it can reduce the stock price crash risk. The interactive effect of business strategy and stock price synchronicity on stock price crash risk in companies with prospector and defender business strategy is not significant. Other findings suggest that Institutional ownership has positive, and company’s age has negative effect on stock price crash risk.

کلیدواژه‌ها

Business Strategy؛ Stock Price Synchronicity؛ Stock Price Crash Risk

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