Modeling and Identifying Hierarchy of the Effective Measures of Negative Criteria Skewness on Stock Returns and the Extra Sigma of Stock Price Crash Risk in the Tehran Stock Exchange with Panel Data Approach

The aim of this study Modeling and Identifying Hierarchy of the Effective Measures of Negative Criteria Skewness on Stock Returns and the Extra Sigma of Stock Price Crash Risk in the Tehran Stock Exchange with Panel Data Approach. For this purpose, the financial statements of 119 companies were collected during the period 1390-1396. 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, business strategy 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, business strategy and institutional ownership are the most important factors influencing stock prices crash risk.