اخبار و اعلانات
آمار
| تعداد نشریات | 38 |
| تعداد شمارهها | 1,408 |
| تعداد مقالات | 10,088 |
| تعداد مشاهده مقاله | 11,909,048 |
| تعداد دریافت فایل اصل مقاله | 6,961,204 |
بررسی و رتبهبندی تاثیر عوامل روانشناختی سرمایهگذاران بر ریسک سقوط قیمت سهام | ||
| پژوهشهای راهبردی بودجه و مالیه | ||
| دوره 6، شماره 4 - شماره پیاپی 24، بهمن 1404، صفحه 119-158 اصل مقاله (1.87 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| نویسندگان | ||
| سهیلا لشگرآراء* 1؛ مهدی خرم آبادی1؛ سیده زهرا میراشرفی2؛ مرضیه گودرزی3 | ||
| 1استادیار، گروه حسابداری، دانشگاه پیام نور، تهران، ایران. | ||
| 2استادیار، گروه حسابداری، دانشگاه پیام نور، تهران، ایران | ||
| 3کارشناسی ارشد حسابداری، دانشگاه پیام نور، تهران، ایران. | ||
| تاریخ دریافت: 17 اردیبهشت 1404، تاریخ بازنگری: 25 شهریور 1404، تاریخ پذیرش: 18 آذر 1404 | ||
| چکیده | ||
| هدف اصلی در این پژوهش بررسی و رتبه بندی تأثیر عوامل روانشناختی سرمایهگذاران بر ریسک سقوط قیمت سهام شرکت ها میباشد. به منظور آزمون فرضیههای پژوهش داده های 122 شرکت پذیرفته شده در بورس اوراق بهادار تهران به عنوان نمونه آماری در طی بازه زمانی سال های 1393 تا پایان سال 1402 با استفاده از روش های مدلیابی معادلات ساختاری، رگرسیون خطی چندگانه و روش دادهکاوی بهصورت مقایسهای و با بهره گیری از نرمافزارهای آموس، ایویوز و کلمنتاین مورد تجزیه و تحلیل قرار گرفت. براساس نتایج مدلیابی معادلات ساختاری، عوامل روانشناختی احساسات سرمایهگذاران و ارزش معاملات روزانه بر ریسک سقوط قیمت سهام اثر مثبت و معنیداری دارد و این اثر برای ضریب چولگی منفی بازده سهام بیشتر است. براساس نتایج تحلیل رگرسیون خطی چندگانه، شاخص خطروانشناختی و ارزش معاملات روزانه هر سهم بر ضریب چولگی منفی بازده سهام همچنین شاخص خطروانشناختی هر سهم بر نوسان پایین به بالای بازده سهام تأثیر مثبت و معنیداری دارد. بر اساس نتایج تکنیک دادهکاوی، شاخص های هیجانات سرمایهگذاران، خطروانشناختی و ارزش معاملات روزانه هر سهم بر ضریب چولگی منفی بازده سهام و نیز خطروانشناختی، شاخص قدرت نسبی و سازه ارزش معاملات روزانه هر سهم بر نوسان پایین به بالای بازده سهام تأثیر مثبت و معنیداری دارند. مقایسه نتایج سه روش آماری حاکی از همسویی آنها در آزمون و تجزیه و تحلیل فرضیهها است. | ||
| کلیدواژهها | ||
| قیمتگذاری نادرست؛ ریسک سقوط قیمت سهام؛ سوگیری رفتاری؛ عوامل روانشناختی | ||
| عنوان مقاله [English] | ||
| Investigating and Ranking the impact of Psychological Factors Investors’ on the Stock Price crash risk | ||
| نویسندگان [English] | ||
| Soheila Lashgarara1؛ Mehdi Khorramabadi1؛ Seyede Zahra Mirashrafi2؛ Marziyeh Godarzi3 | ||
| 1Assistant Professor, Department of Accounting, Payame Noor University, Tehran, Iran, | ||
| 2Associate Professor, Department of Accounting , Payame Noor University, Tehran, Iran | ||
| 3Master of Accounting, Payame Noor University, Tehran, Iran | ||
| چکیده [English] | ||
| This study aims to examine the impact of investors’ psychological factors on the stock price crash risk . To test hypotheses and analyze the data, structural equation modeling (SEM), multiple linear regression, and data mining techniques used in a comparative manner with AMOS, EVIEWS, and Clementine software were employed. The statistical population comprises all listed Iranian companies, with a sample of 122 firms selected through systematic elimination, covering Tehran Stock Exchange-listed companies from the beginning of 1393 to the end of 1402. Based on SEM results, psychological factors namely, investor sentiment and daily transaction volume exert a statistically significant positive effect on stock price collapse risk, with the effect being more pronounced for the negative skewness coefficient of stock returns. Multiple linear regression analysis indicates that psychological indices and daily trading volume of each stock significantly influence the negative skewness of returns. Additionally, psychological indices of individual stocks positively affect the lower-to-higher volatility. Data mining results reveal that investor sentiment indicators, psychological indices, and daily trading volume significantly impact the negative skewness of stock returns. Furthermore, psychological indicators, relative strength index, and the measure of daily trading volume significantly influence the lower-to-higher volatility. The comparison among the three statistical techniques demonstrates a consensus in hypothesis testing and analysis, confirming the robustness of the findings. | ||
| کلیدواژهها [English] | ||
| Stock Price Mispricing, Stock Price Crash Risk, Behavioral Biases, Investor Psychological Factors | ||
| مراجع | ||
|
Akhgar, M,O., Fatehi, R. (2024). Fraud in financial statements and the risk of stock price collapse. Financial Accounting Knowledge. 11 (1) No. 41, 133-115 [In Persian].
Akinkuotu, O. K., )2013(. Comparative Impact of Fiscal and Monetary Shocks on Stock Market Performance in Nigeria, a Post Field Report Presented at the African Economic Research Consortium (AERC) . Bi-Annual Conference in Nairobi, Kenya.
Aramideh, E. (2023). Investigating the relationship between investor sentiment and the risk of stock price collapse of companies listed on the Tehran Stock Exchange. Master's thesis, Kavian Institute of Higher Education, Accounting Department, [In Persian].
Avery, C., Zemsky, P., (1998). Multidimensional Uncertainty and Herd Behavior in Financial Markets. American Economicreview, 88(4), pp.724-748. http:/ / nrs. Harvard. Edu/ urn-3:HUL. Instrepos: 41426687.
Barro, R., Ursua, J., (2017). Stock-Market Crashes and Depressions. Research in Economics, 71(3), pp.384-398. https:/ / doi. org/ 10.1016/ j.rie.2017.04.001.
Benmelech, E., Kandel, E., Veronesi, P., (2010). Stock-Based Compensation and CEOdis Incentives. The Quarterly Journal of Economics, 125(4), pp. 1769–1820.https:/ / doi. org/ 10.1162/ qjec.2010.125.4.1769.
Boqiang, L., Nan, W., (2023). Climate Risk Disclosure and Stock Price Crash Risk: The Case of China. International Review of Economics & Finance, 83(C), pp.21–34. https:/ / doi.org/ 10.1016/ j.iref.2022.08.007.
Baker, M., Wurgler, J. (2007). Investor sentiment in the stock market. Journal of economic perspectives, 21(2), 129-152.
Bleck, A., Liu, X. (2007). Market transparency and the accounting regime. Journal of Accounting Research, 45, 229–256
Bishop, C. M. (2006). Pattern Recognition and Machine Learning. Springer.
Chang, X., Chen, Y. and Zolotoy, L., (2017). Stock liquidity and stock price crash risk. Journal of Financial and Quantitative analysis. 52 (4), pp.1605–1637. DOI:10.1017/S0022109017000473.
Chen, A., Lin, W.T., Tani, S.(2014). Liquidity provision by individual investor trading prior to dividend announcement: Evicence frome Taiwan. The North Amerivan Journal of Economic and Finance, 28, 358-374.
Chen, S., Liu, K. (2018). Application of machine learning techniques in finance: A review. IEEE Transactions on Neural Networks and Learning Systems, 29(11), 5177-5194.
Choi, N., Skiba, H. (2015). Institutional herding in international markets. Journal of Banking and Finance, 55, 245-59
Dumitrescu, A., Zakriya, M., (2021). Stakeholders and the Stock Price Crash Risk: What Matters in Corporate Social Performance?. Journal of Corporate Finance,67(101871), pp. 48. https:/ / doi.org/ 10.1016/ j.jcorpfin.2020.101871.
DeLong, J. Bradford, A. Sh., Lawrence H. S., Robert J. W. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4): 703–38.
Fu, J. Wu, X., Liu, Y., Chen, R. (2021). Firm-specific investor sentiment and stock price crash risk. Finance Research Letters, Elsevier, vol. 38(C).
Habib Hasan, A., Monzur, M., (2017). Business Stertegy, Overvalued Equities and Stock Price Crash Risk. Research in International Business and Finance, 39 (A), pp. 389-405. http:/ / doi.org/ 10.1016/ j.ribaf. 2016. 09.011.
Harper, J., Johnson, G., Sun, L., (2020). Stock Price Crash Risk and CEO Power: Firm-level analysis. Research in International Business and Finance, 51 (C), http:/ / doi.org/ 10. 1016/ j.ribaf.2019. 101094.
Hassanzadeh, D, M., Bozorg Asl, M. (2024). The effect of investor behavioral aspects on the risk of future stock price collapse with emphasis on the role of financial reporting quality. Accounting and Management Auditing Knowledge. 13 (2), 151-137, [In Persian].
Hong, H.,. Stein, J. (2003). Differences of Opinion, Short-Sales Constraints and Market Crashes. Review of Financial Studies, 16(2): 487–525
Jin, H., Gong, M., Lin, Y., Fang, Q., (2016). Political Connections and Stock Price Crash risk: Evidence from China. Economics Letters, 147 (C), pp.90-99. https:/ / doi.org/ 10.1016/ j.econlet.2016.08.024.
Jin, L., Myers, S.C. (2006), R2 around the world: new theory and new tests, Journal of Financial Economics, Vol. 79 No. 2, pp. 257-292.
Khedri, Gh., R,, Sinayi, H. (2022). The Influence of Investors' Emotions on Economic Variables Using the Investor Emotional Behavior Index in Tehran Stock Exchange. Budget and Finance Strategic Research, 4(1), 11-35. https://dor.isc.ac/dor/20.1001.1.27171809.1402.4.1.1.1 [In Persian]
Kim, J.B., Wang, Z., Zhang, L., 2016. CEO Overconfidence and Stock Price Crash Risk. Contemporary Account Research, 33(4), pp. 1720–1749. https:/ / doi.org/ 10.1111/ 1911-3846.12217.
Kim, H. Y. (2003). Financial time series forecasting using support vector machines. Neurocomputing, 55(1-2), 307-319.
Kahneman, D., Tversky, A. (1979). Prospect Theory, an Analsis of Decision under Risk, Econometrica, Vol. 47, No. 2
Kumar, A., Lee, Ch. (2006). Retail Investor Sentiment and Return Comovement. Journal of Finance 61, 2451-2486.
Lang,W., Yiling, Z., (2023). Nonfinancial Indicators in Identifying Stock Price Crash Risk. Finance Research Letters, 52(C), https:/ / doi.org/ 10.1016/ j.frl.2022.103513.
Mahdavipour, M., Shirmardi, A, H,, Mortezania, H. (2024). Interpretive-structural modeling of behavioral biases of housing sector investors. Budget and Finance Strategic Research, 5(1), 79-10. https://dor.isc.ac/dor/20.1001.1.27171809.1403.5.1.4.1. [In Persian]
Ni, X., Zhu, W., (2020). Short-Sales and Stock Price Crash Risk: Evidence from an Emerging Market. Economics Letters, 144 (C), pp. 22–24. https:/ / doi.org/ 10.1016/ j.econlet. 2016.04.029.
Neumann, J . V., Morgenstern, O. (1944). Theory of Games and Economic Behavior. Wiley, New York.
Ouzan, S., (2020). Loss Aversion and Market Crashes. Economic Modelling. 92(C), pp. 70-86. https:/ / doi.org/ 10.1016/ j.econmod.2020.06.015.
Setayesh, M, H., Shamsal-Dini, K. (2016). Investigating the relationship between investors' emotional orientation and stock prices of companies listed on the Tehran Stock Exchange. Accounting Advances. 8(1), 103-125, [In Persian].
Sheu, H.J., Chien, L. C., (2012). Systemic Risk in Taiwan Stock Market. Journal of Business Economics and Management, 13(5), pp. 895–914. doi:10.3846/ 16111699.2011.620168.
Shakournia, R., Dastgir, M,. SoroushYar, A. (2023). Investigating the effect of emotional orientation and herd behavior of shareholders on the risk of stock price collapse, Financial and Investment Advances, 4 (3), 131-152, [In Persian].
Shleifer, A., Vishny, R. (1997). The Limits of Arbitrage. Journal of Finance, 52(1): 35–55. Siegel, Jeremy. (1998). Stocks for the Long Run. New York: McGraw-Hill.
Taheri, M,, Haddadi, N. (2022). The effect of free cash flow on the risk of stock price collapse with emphasis on the moderating role of profit smoothing in companies member of Tehran Stock Exchange. Financial Management Perspective, 12 (40), 29-48, [In Persian].
Tabatabaei, S, Z., Hashemi, S, A., Amiri, H. (2020). The effect of risk disclosure and its types on the risk of stock price collapse. Accounting Advances, 12 (2), 133-171, [In Persian].
Usman, B. Umar, N. K. Shoaib, Kh. Ali, P. Muntazir, H. Ahmet, F. A. (2024). Investor sentiment and stock price crash risk: The mediating role of analyst herding. Computers in Human Behavior Reports. Vol. 13.
Valizadeh, F., Mohammadzadeh, A., Saygholi, M., Torabian, M. (2022). Designing a model to predict the risk of stock price collapse in Tehran Stock Exchange. Financial Management Strategy, 10 (38), 161-186, [In Persian].
Wu, B., Cai, Y., Zhang, M.(2021). Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market, Journa of Mathematics.
Xu, L., Rao, Y., Cheng, Y., Wang, J., (2020). Internal Coalition and Stock Price Crash Risk. Journal of Corporate Finance, 64(C). https:/ / doi.org/ 10.1016/ j.jcorpfin.2020.101640.
Yang, M., Chen, S., Wang, J., Wang, Y. (2023). Corporate social responsibility and stock price crash risk: does analyst coverage matter?. Applied Economics, 55(10), 1045-1061.
Yao, X., Wu, D., Li, Z., Xu, H. (2024), On the prediction of stock price crash risk using textual sentiment of management statement, China Finance Review International, Vol. 14 No. 2, pp. 310-331.
Yousefi Asl, F., Hajian, N,. Safari Khalkiasari, M. (2022). Investigating the relationship between investors' emotional tendencies and managers' profit forecasting bias. Empirical Accounting Research. 12(1), 1-26, [In Persian].
Yu, Haonan.(2024). Analysis of the Impact of Investor Sentiment on Stock Price Crash Risk, Highlights in Business Economics and Management 40:1144-1150.
Zhou, W., Zhong, G.Y., Leng, N., Li, J.C., Xiong, D.P., 2019. Dynamic Behaviors and Measurements of Financial Market Crash rate. Physica A: Statistical Mechanics and Its Applications, 121427. https:/ / doi:10.1016/ j. physa.2019.121427. | ||
|
آمار تعداد مشاهده مقاله: 130 تعداد دریافت فایل اصل مقاله: 63 |
||