منابع مشابه
Investigating the Effect of Business Strategy and Stock Price Synchronicity on Stock Price Crash Risk
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 ...
متن کاملWhat Drives Stochastic Risk Aversion
I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time-series specification tests with nonlinear state-space models with heteroskedasticity based on Merton (1973)’s ICAPM. I then established the following facts. First, the surplus consumption ratio implied by the external habit formation model is the most important determinant of re...
متن کاملPredict the Stock price crash risk by using firefly algorithm and comparison with regression
Stock price crash risk is a phenomenon in which stock prices are subject to severe negative and sudden adjustments. So far, different approaches have been proposed to model and predict the stock price crash risk, which in most cases have been the main emphasis on the factors affecting it, and often traditional methods have been used for prediction. On the other hand, using Meta Heuristic Alg...
متن کاملForecasting Crash risk using Business Strategy, Equity Overvaluation and Conditional Skewness in Stock Price
A firm is called to have stock price crash risk if the firm has a tendency to experience a sudden drop in its stock price. In this study, the relation between the firm-level of business strategy and future stock price crash risk Is examined, as well as the effect of stock overvaluation on the relationship between business strategy and crash risk investigated. Using the strategy index and crash ...
متن کاملTo Study The Effect of Investor Protection on Future Stock Price Crash Risk
Managers are responsible for providing financial statements and they might try to make a good picture of their firm's conditions. Therefore, they try to delay the disclosure of bad news and release the good news as soon as possible. The ten-dency of managers toward hiding bad news increases the stock price crash risk. The protection of investor is one of the factors that can prevent from fallin...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3474550