ارائه مدلی برای تبیین ریسک سقوط قیمت سهام با نقش میانجی هزینه نمایندگی

مهدی, محمد; وظیفه, زهرا; تهرانی, رضا; میرلوحی, سید مجتبی

doi:10.22099/jaa.2021.35506.1949

ارائه مدلی برای تبیین ریسک سقوط قیمت سهام با نقش میانجی هزینه نمایندگی

نوع مقاله : مقاله پژوهشی

نویسندگان

¹ دانشجو دکتری مالی گرایش مهندسی مالی، دانشگاه سیستان و بلوچستان،زاهدان،ایران

² استادیاردانشگاه سیستان و بلوچستان،زاهدان،ایران(نویسنده مسئول)

³ استاد دانشگاه تهران،تهران،ایران

⁴ استادیار دانشگاه صنعتی شاهرود،شاهرود،ایران

10.22099/jaa.2021.35506.1949

چکیده

ریسک سقوط قیمت سهام همواره عامل بازدارنده جذب نقدینگی در بازار سرمایه می‌باشد. در بورس اوراق بهادار تهران که ازنظر کارایی در سطح پایین‌تری قرار دارد، تغییرات ناگهانی بازدهی سهام به کرات مشاهده‌شده که باعث انتقال نقدینگی به بازارهای غیر مولد ازجمله بازار ارز و طلا می‌باشیم. و این امر یکی از دغدغه های اساسی فعالین بازار می باشد. هدف این مقاله مدل‌سازی ریسک سقوط قیمت سهام در بورس اوراق بهادار تهران است. در این راستا تأثیر عواملی ازجمله مدیریت وجه نقد،آشفتگی مالی، کیفیت افشای اطلاعات و ترکیب هیئت‌مدیره شرکت‌ها با نقش میانجی هزینه نمایندگی بر ریسک سقوط قیمت سهام سنجیده شد. جامعۀ آماری تحقیق شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران در دورۀ زمانی 1392 الی 1396 می‌باشد. برای آزمون فرضیه‌های از تحلیل آماری رگرسیون خطی چند متغیره و روش معادلات ساختاری استفاده‌شده است. نتایج آزمون فرضیه‌ها نشان می‌دهد که به جز آشفتگی مالی سایر متغیرهای موردمطالعه با نقشه میانجی هزینه سرمایه بر ریسک سقوط قیمت سهام شرکت‌ها مؤثر می‌باشد.

کلیدواژه‌ها

20.1001.1.20089988.1399.12.2.11.0

عنوان مقاله [English]

Presented a model for explaining the stock price crash risk with mediating role of agency cost

نویسندگان [English]

mohamad mehdi ¹
zahra vazife ²
reza tehrani ³
sayyed mojtaba mirlohi ⁴

¹ PhD Candidate in Financial Engineering, University of Sistan and Baluchestan, Zahedan, Iran. mohamadmahdi@pgs.usb.ac.ir

² Assistant Professor, University of Sistan and Baluchestan, Zahedan, Iran. vazife@mgmt.usb.ac.ir

³ Professor, University of Tehran, Tehran, Iran. rtehrani@ut.ac.ir 4. Assistant Professor, Shahroud University of Technology, Shahroud, Iran.

⁴

چکیده [English]

Journal of Accounting Advances, (2020) 12(1):
DOI: 10.22099/JAA.2021.35506.1949

Journal of Accounting Advances (JAA)
Journal homepage: www.jaa.shirazu.ac.ir/?lang=en

Presented Model for Explaining the Stock Price Crash Risk with Mediating Role of Agency Cost
Mohamad Mehdi¹, Zahra Vazife²*, Reza Tehrani³, Seyed Mojtaba Mirlohi⁴

PhD Candidate in Financial Engineering, University of Sistan and Baluchestan, Zahedan, Iran. mohamadmahdi@pgs.usb.ac.ir
Assistant Professor, University of Sistan and Baluchestan, Zahedan, Iran. vazife@mgmt.usb.ac.ir
Full Professor, University of Tehran, Tehran, Iran. rtehrani@ut.ac.ir
Assistant Professor, Shahroud University of Technology, Shahroud, Iran. mirlohism@shahroodut.ac.ir

ARTICLE INF

ABSTRACT

Received: 2019-11-09
Accepted: 2021-01-06

The stock price crash risk is always the inhibiting factor to attract liquidity on the capital market. Tehran stock exchange is at a lower level in terms of efficiency. Sudden changes of stock return have been observed. This will lead to liquidity transfer to non–productive markets including the Exchange of exchange and gold. The aim of this paper is to model the stock price crash risk in Tehran stock exchange. In this regard, the effect of factors such as cash management, financial distress, and disclosure quality and board composition were measured in the stock price crash risk. Also, the agency cost is considered as an intermediary variable. The statistical population of the companies listed in Tehran stock exchange is in the period from 1392 to 1396. To test the hypotheses, multivariate linear regression analysis and structural equation method are used. The results of the hypotheses tests show that, apart from the financial distress of other studied variables, the stock price crash risk is effective

* Corresponding author:

Zahra Vazif

Assistant Professor, University of Sistan and Baluchestan, Zahedan, Iran.
Email:       vazife@mgmt.usb.ac.ir

1- Introduction
As companies grow up, there is no possibility of all the owners in the company for that purpose. This will cost the agency. In the absence of complete transparency of financial reporting, there will be a chance to exploit managers to hide negative information about the company to maintain their jobs and reputation. If the company has no liquidity, it does not succeed in using short - term investment opportunities. The continuation of this state is accompanied by the falling price of the company's shares and the decline of its value.
It is vital to identify the factors affecting stock price crash risk in Tehran Stock Exchange. Because the Iranian capital market is exposed to many dangers due to being a young market. In this model, the quality disclosure quality (risk assessment and corporate information disclosure), board of directors (variables of corporate governance mechanism), the cash flow variable, the cash management variable as predictor variables and agency cost variable (motivational variable and managerial characteristics) are considered as mediating variables.

2- Hypothesis
Research hypotheses are designed as follows.
1- Cash management has a significant effect on the stock price crash risk by mediating the role of agency cost.
2-The board composition with the mediating role of agency cost has a significant effect on the stock price crash risk.
3-The quality of disclosure of information on the role of mediating agency cost has a significant effect on the stock price crash risk.
4-The financial disturbances with the mediating role of agency cost has a significant effect on the stock price crash risk.

3- Methods
The present study is applied in terms of purpose, practical research and in terms of data collection method, post - event research method, which is carried out using multivariate regression method and econometric models. The study population studied in this study comprises the companies listed in Tehran Stock Exchange from 1392 to 1396 and the selected sample of the research is companies that have the following set of conditions:
1-By the end of 1393, the company’s name is listed in the companies listed in Tehran Stock Exchange. 2-Their financial year ends in March and has not changed during the study. 3- The company did not perform any sorption, consolidation, analysis operations during the study period. 4- The corporate symbol is not off a month or so. 5-The company’s financial information is available during the period. 6-There are no insurance, bank and insurance companies.
The present research data were extracted from Tehran Stock Exchange (TSE) and other related bases. The final analysis of the collected data was done by Excel, Matlab, Eviews, smartpls.

4- Results
To reveal the latent variables of research, obvious variables were used. Cash management latent variable (cash adjustment speed, cash surplus), latent variable of the board composition (total number of members, members of duty and non - duty), the latent variable of disclosure of information (reliability, timeliness), the latent variable of the financial distress (loss, negative working capital, the simultaneous existence of negative working capital and loss in the previous year), the latent variable of agency cost (leverage ratio, the ratio of assets, the ratio of assets, and the latent variable   stock price crash risk variable (by three factors) was revealed. The results indicate that the composition of the board, cash management and disclosure quality have direct and significant effect on agency cost. This means that the agency cost decreases with increasing board composition, cash management and disclosure quality. But financial distress has no direct and significant effect on agency cost. Also agency cost has a positive and significant effect on stock price crash risk. This means that the higher the agency cost, the stock price crash risk also increases.

5- Conclusion
Optimal management of cash, transparent and proper disclosure of company information, corporate governance (board composition) are among the factors that prevent stock price crash risk. They risk sudden fluctuations in stock returns of companies' stock returns. Market activists and managers are suggested to pay special attention to these factors to witness sudden liquidity of liquidity from the stock market and provide a suitable environment for micro - investors. Market managers are able to reduce the stock price crash risk   by setting rules such as increasing transaction transparency, transparency of financial reporting and disclosure of corporate information. Corporate managers also keep the cash flow and optimal value of it at the point of equilibrium and direct their board to no duty- binding members. It also enhances disclosure of information in terms of disclosure quality and timely disclosure, which can control the cost of the agency and manage the stock price crash risk.

Keywords: Stock price crash risk, agency cost, cash management, disclosure quality.

Journal of Accounting Advances, (2020) 12(1): 1-27

کلیدواژه‌ها [English]

Keywords: Stock price crash risk
agency cost
cash management
disclosure quality

مراجع

منابع

الف. فارسی

اسدی، غلامحسن؛ شعبانی، کیوان و قربانی، محمود (1396). رابطه مدیریت سود و آشفتگی مالی در دوره بحران مالی جهانی در بورس اوراق بهادار تهران، تحقیقات حسابداری و حسابرسی، (35)9، 21-38.

اسدی، غلام‌حسین و کاظمی، کاظم (1397). بررسی رابطه سقوط قیمت سهام با استفاده از معیار چولگی منفی بازده سهام و سیاست تقسیم سود در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران، فصلنامه چشم‌انداز مدیریت مالی، (22)4، 9-28.

بشکوه، مهدی و کشاورز، فاطمه. (1397). بیش اطمینانی مدیران و ریسک سقوط قیمت سهام، مجله راهبرد مدیریت مالی، (2)6، 192-217.

پور حیدری، امید؛ سروستانی، امیر و هوشمند، رحمت‌الله (1391). تأثیر رقابتی بودن بازار محصول بر هزینه نمایندگی، دانش مالی تحلیل اوراق بهادار، (5)4، 13-28.

جرجرزاده، علیرضا و خرم پور، روح الله (1392). بررسی نظریه‌های پیرامون رابطه رقابت در بازار محصول و ساختار سرمایه شرکت‌ها، مجله بررسی‌های حسابداری و حسابرسی، (20)3، 47-58.

حاجیها، زهره و چناری، حسن (1398). قابلیت مقایسه صورتهای مالی و نگهداشت وجه نقد با تاکید بر ابعاد درون سازمانی در بازار سرمایه تهران، مجله پیشرفتهای حسابداری، (77)3، 83-116.

حیدری، مهدی؛ قادری، بهمن و عبدی، سهراب (1396). نظریه نمایندگی و ریسک سقوط قیمت سهام: شواهدی از بورس اوراق بهادار تهران، مجله بورس اوراق بهادار تهران، (10)37، 151-177.

خواجوی، شکرالله؛ رضایی، غلامرضا و باقری، مرتضی (1397). بررسی نقش واسطه‌ای قابلیت‌های مدیران بر رابطه بین اجتناب مالیاتی و ریسک سقوط قیمت سهام شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران، مجله راهبرد مدیریت مالی، (6)2، 11-34.

خواجوی، شکرالله؛ فتحه، محمدحسین و نجفی، زهرا (1393).بررسی رابطه بین کیفیت افشای اطلاعات و هزینه‌ها‌ی نمایندگی شرکت‌ها‌ی پذیرفته شده در بورس اوراق بهادار تهران، فصلنامه دانش حسابداری، (18)5، 67-89.

داوری، علی و رضازاده، آرش (1397). مدل‌سازی معادلات ساختاری با نرم‌افزار PLS، تهران: سازمان انتشارات جهاد دانشگاهی،2.

دریاباری، عباس؛ طالبنیا، قدرت الله؛ خداییولهزاقرد، محمد؛ احمدی، فائق و وکیلی فرد، حمیدرضا (1399). طراحی مدل و ارزیابی نقش تعدیلی ویژگی‌ها‌ی کمیته حسابرسی بر رابطه بین کیفیت گزارشگری مالی و ریسک سقوط قیمت سهام در شرکتهای پذیرفته شده بورس اوراق بهادار تهران،فصلنامه اقتصاد و مدیریت شهری،(31)8، 109-124.

دیانتی، زهرا؛ مراد زاده، مهدی و محمودی، سعید (1391). بررسی تأثیر سرمایه‌گذاران نهادی بر کاهش ریسک سقوط (ریزش ارزش سهام)، فصلنامه دانش سرمایه‌گذاری، (1)2، 34-57.

زهدی، محمدهادی؛ ولی پور،‌ ها‌شم و شهابی، علیرضا (1389). سیاست‌های سرمایه در گردش و ریسک شرکت، پژوهشنامه حسابداری مالی و حسابرسی، (8)2، 188-210.

سپاسی، سحر و کاظم پور، مرتضی(1395). عوامل اثرگذار بر هزینه نمایندگی و کیفیت افشای اطلاعات، پژوهش‌های کاربردی در گزارشگری مالی، (5)8، 7-24.

ظفری، سبحان (1395). تاثیروجه نقد مازاد بر مخارج سرمایهای با تاکید بر محدودیتهای مالی، فصلنامه بورس اوراق بهادار، (9)35، 8-24.

فخاری، حسین و اسدزاده، احمد (1396). بررسی تأثیر تعدیل‌کنندگی حاکمیت شرکتی بر روابط بین اهرم مالی و جریان وجه نقد آزاد با سرعت تعدیل نگهداشت وجه نقد، مجله بررسی‌های حسابداری، (4)16، 91-110.

فخاری، حسین؛ حسن نتاج کردی، محسن و محمدی، جواد (1396). بررسی اثر میانجی قدرت پیش بینی کنندگی سود بر رابطه بین رقابت در بازار محصول و بازده سهام، پژوهشهای حسابداری مالی، (9)4، 103-121.

نوروش، ایرج؛ کرمی، غلامرضا و وافی ثانی، جلال (1388). بررسی رابطه ساز و کار نظام راهبری شرکت و هزینههای نمایندگی شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، فصلنامه تحقیقات حسابداری و حسابرسی،(4)1،1-22.

نیکوکار، غلامحسین؛ جهانبیک لویی، علی؛ فرهادی، علی و علیدادی تلخستانی، یاسر (1393). رابطه ساز وکارهای حاکمیت شرکتی با هزینه نمایندگی متشکل از شرکت‌های ایرانی، فصلنامه مدیریت بازرگانی، (2)6، 401-416.

ب. انگلیسی

Agnes Cheng, C. S., Li, S., & Zhang, E. X. (2020). Operating cash flow opacity and stock price crash risk. Journal of Accounting and Public Policy, 39(3), 106717. doi:https://doi.org/10.1016/j.jaccpubpol.2020. 106717

An, H., & Zhang, T. (2013). Stock price synchronicity, crash risk, and institutional investors. Journal of Corporate Finance, 21, 1–15. doi:https://doi.org/10.1016/j.jcorpfin.2013.01.001

Asadi, Gh., & Kazemi, K. (2018). The relationship between dividend payments and stock price cash risk in the companies listed on the Tehran Stock Exchange, Journal of Financial Management Perspective, 22(4), 9-28. (In Persian)

Assadi, Gh. Shabani, K., Nabavian, M., & Ghorbani, M. (2017). The association of earning management and financial distress with in global financial crisis period in Tehran Stock Exchange, Accounting Research, 9 (35), 21-38. (In Persian)

Autukaite, R., & Molay, E. (2011). Cash Holdings, Working Capital and Firm Value: Evidence from France. In International Conference of the French Finance Association (AFFI). Retrieved from https://ssrn.com/ abstract=1836900

Beshko, M., & Keshavarz, F. (2018). The relationship between the managerial overconfidence and stock price crash risk in firms listed in Tehran Stock Exchange, Journal of Financial Management Strategy, 6(2).192-217. (In Persian)

Byoun, S. (2008). How and when do firms adjust their capital structures toward targets? The Journal of Finance, 63(6), 3069–3096. doi:https:// doi.org/10.1111/j.1540-6261.2008.01421.x

Yang, C., Chen, X., & Chen, X. (2020). Vertical interlock and stock price crash risk. Pacific-Basin Finance Journal, 101387. doi:https://doi.org/ 10.1016/j.pacfin.2020.101387

Daryabari, A., Talebnia, GH, Khodai, M., Ahmadi, F., & Vakilifar, H. (2019). Model design and evaluating the moderating role of audit committee characteristics on the relationship between financial reporting quality and stock price crash risk in Tehran Stock Exchange firms.. Journal of Urban Economics and Management, 8 (31), 109-124. (In Persian)

Davari, A. , & Arash, R. (2018). Structural equation modeling with the PLS software, Tehran, Academic Jihad Publishing Organization, 2. (In Persian)

Dianati, Z., Moradzade, M., & Mahmodi, S. (2012). Examining the effect of institutional investors on decreasing stock price crash risk, Journal of Investment Knowledge, 2(1), 34-57. (In Persian)

Fakhari, H., Hasannataj, M., & Mohammadi, j. (2018). Studying the mediating effect of earning predictability on the relationship between product market competition and stock returns, Journal of Financial Accounting Research, 4 (9),103-121. (In Persian)

Fakhari, H., & Asadzade, A. (2017). Studying the effect of corporate governance on the relationship among leverage and free cash flow and the cash holding adjustments, Journal of Accounting Investigations, 16(4), 91-110. (In Persian)

Hajiha, Z. & Chenari, H. (2017). Financial statements comparability and corporat cash holding emphasizing the internal aspects in Tehran Stock Exchange, Journal of Accounting Advances, 3 (77), 83-116. (In Persian)

Heydari, M., Ghaderi, B., & Abdi, S. (2017). Agency theory and stock price crash risk: Evidence from Tehran Stock Exchange, Journal of Stock Exchange, 37(10), 151-177. (In Persian)

Hong, H., & Stein, J. C. (2003). Differences of opinion, short-sales constraints, and market crashes. The Review of Financial Studies, 16(2), 487–525.

Hovakimian, G. (2011). Financial constraints and investment efficiency: Internal capital allocation across the business cycle. Journal of Financial Intermediation, 20(2), 264–283. doi:https://doi.org/10.1016/ j.jfi.2010.07.001.

Jiang, Z., & Lie, E. (2016). Cash holding adjustments and managerial entrenchment. Journal of Corporate Finance, 36, 190–205. doi:https:// doi.org/10.1016/j.jcorpfin.2015.12.008

Hu, J., Li, S., Taboada, A. G., & Zhang, F. (2020). Corporate board reforms around the world and stock price crash risk. Journal of Corporate Finance, 62, 101557. doi:https://doi.org/10.1016/j.jcorpfin.2020. 101557.

Ha, J. (2019). Agency costs of free cash flow and conditional conservatism. Advances in Accounting, 46, 100417. doi:https://doi.org/10.1016 /j.adiac.2019.04.002.

Jorjorzade, A. & KHorampor, R. (2013). Review of theories relationship between product market competition and capital structure of firms, journal of The Iranian Accounting and Auditing Review, 3(20), 47-58. (In Persian)

Khajavi, SH., Fathe, M., &, Najafi, Z. (2014). Relationship between disclosure quality and agency costs of companies listed in Tehran Stock Exchange, Journal of Accounting Knowledge, 5(18), 67-89. (In Persian)

Khajavi, sh., Rezai, Gh. & Bagheri, M. (2018). Investigating the mediating role of managerial quality on the relationship between tax avoidance and stock price crash risk of firms listed in Tehran Stock Exchange, Journal of Financial Management Strategy, 2(6): 11-34. (In Persian)

Jebran, K., Chen, S., & Zhang, R. (2020). Board diversity and stock price crash risk. Research in International Business and Finance, 51: 101122. doi:https://doi.org/10.1016/j.ribaf.2019.101122.

Kim, J., & Zhang, L. (2014). Financial reporting opacity and expected crash risk: Evidence from implied volatility smirks. Contemporary Accounting Research, 31(3), 851–875.

Lee, K.-W., & Lee, C.-F. (2009). Cash holdings, corporate governance structure and firm valuation. Review of Pacific Basin Financial Markets and Policies, 12(03), 475–508.

Leuz, C., Nanda, D., & Wysocki, P. D. (2003). Earnings management and investor protection: An international comparison. Journal of Financial Economics, 69(3), 505–527. doi:https://doi.org/10.1016/S0304-405X (03)00121-1

Mouselli, S., Jaafar, A., & Hussainey, K. (2012). Accruals quality vis-à-vis disclosure quality: Substitutes or complements? The British Accounting Review, 44(1), 36–46.

Namazi, M., & Namazi, N.-R. (2016). Conceptual analysis of moderator and mediator variables in business research. Procedia Economics and Finance, 36, 540–554. doi:https://doi.org/10.1016/S2212-5671(16) 30064-8.

Nikokar, G., Jahanbeiklo, A., Farhadi, A., & Alidadi, Y. (2014). The relationship of corporate governance mechanisms with costs of the agencies of Iranian companies, Journal of Business Management, 6(2), 401-416. (In Persian)

Noravesh, I., karami, GH, & Vafisani, J. (2009). Evaluation of corporate governance mechanisms and agency costs of companies accepted in Tehran Stock Exchange, Journal of Accounting Research, 1 (4),1-22. (In Persian)

Porheydari, A., Sarvestani, A., & Hosmand, R. (2012). The effects of product market competition on agency costs, Journal of Financial Knowledge of Securities Analysis, 4(5), 13-28. (In Persian)

Rhodes–Kropf, M., Robinson, D. T., & Viswanathan, S. (2005). Valuation waves and merger activity: The empirical evidence. Journal of Financial Economics, 77(3), 561–603. doi:https://doi.org/10.1016/ j.jfineco.2004.06.015.

Sepasi, S., & Kazempor, M. (2016). Forecast factors affecting the agency cost and quality of information disclosure, Journal of Appleid Research in Financial Reporting, 8(5), 7-24. (In Persian)

Li, T., Xiang, C., Liu, Z., & Cai, W. (2020). Annual report disclosure timing and stock price crash risk. Pacific-Basin Finance Journal, 62, 101392. doi:https://doi.org/10.1016/j.pacfin.2020.101392.

Tenenhaus, M., Amato, S., & Esposito Vinzi, V. (2004). A global goodness-of-fit index for PLS structural equation modelling. In Proceedings of the XLII SIS scientific meeting, 1: 739–742.

Yang, J., & Guariglia, A. (2012). Is investment inefficiency caused by financial constraints or agency costs? Evidence from chinese firms. In Evidence from Chinese firms (January 4, 2012). Midwest Finance Association 2012 Annual Meetings Paper.

Shahab, Y., Ntim, C. G., Ullah, F., Yugang, C., & Ye, Z. (2020). CEO power and stock price crash risk in China: Do female directors’ critical mass and ownership structure matter? International Review of Financial Analysis, 68, 101457. doi:https://doi.org/10.1016/j.irfa.2020.101457.

Yeung, W. H., & Lento, C. (2018). Ownership structure, audit quality, board structure, and stock price crash risk: Evidence from China. Global Finance Journal, 37, 1–24.

Zafari, S. (2017). The effect of excess cash holdings on capital investments by emphasis on financial constraints, Journal of Securities Exchange, 9(35), 8-24. (In Persian)

Zhao, X., Lynch Jr, J. G., & Chen, Q. (2010). Reconsidering baron and kenny: Myths and truths about mediation analysis. Journal of Consumer Research, 37(2), 197–206.

Zohdi, M., Valipor, H & Shahabi, A. (2010). The working capital policies and company's risk, Journal of Financial Accounting and Accounting, 2(8), 188-210. (In Persian)