Research on inquiry letter supervision and stock price crash risk based on fixed effects model

Purpose The purpose of this paper is to empirically analyze whether and how managerial overconfidence affects stock price crash risk. Design/methodology/approach Based on a large sample of Chinese non-state-owned firms from 2000 to 2012, this study employs methods including multiple linear regression model, Heckman two-stage treatment effect procedure, firm fixed effects model and event study to clarify the causality relationship between managerial overconfidence and crash risk. Findings The authors find that firms with overconfident managers (chief executive officer or board chairs) are more likely to experience future stock price crashes than firms with non-overconfident managers. The effect of overconfidence on crash risk is more pronounced for firms with low transparency, suggesting that firm opacity facilitates overconfident managers’ bad news hoarding activities, which, in turn, increases stock price crash risk. The authors also show evidence that overconfident managers tend to disclose good news in a timely manner. Originality/value The authors add to the growing literature on stock price crash risk. Specifically, the authors find that the cognitive bias of board chair plays an important role in the bad news hoarding activities, thereby increasing the likelihood of stock price crash. This study also contributes to the literature that addresses the effects of managerial overconfidence on corporate finance issues.

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Crash risk and debt maturity: evidence from Australia

International Journal of Managerial Finance ◽

10.1108/ijmf-12-2019-0467 ◽

2020 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Mostafa Hasan ◽

Dewan Rahman ◽

Grantley Taylor ◽

Barry Oliver

Keyword(s):

Stock Price ◽

Fixed Effects ◽

Positive Association ◽

Debt Maturity ◽

Crash Risk ◽

Content Type ◽

Panel Data Estimation ◽

Debt Maturity Structure ◽

Maturity Structure ◽

Data Estimation

PurposeThe purpose of this paper is to examine the association between debt maturity structure and stock price crash risk in Australia.Design/methodology/approachThe authors employ panel data estimation with industry and year fixed effects. The paper uses a sample of 1,548 publicly listed Australian firms (8,661 firm-year observations) covering the 2000–2015 period.FindingsStock price crash risk is positively and significantly associated with the long-term debt maturity structure of firms. In addition, this positive association is more pronounced for firms with a more opaque information environment.Originality/valueThis is the first study to examine stock price crash risk in Australia. The findings are value relevant as it uncovers how debt maturity structure affects shareholders' wealth protection.

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Firm Performance and Market Behavior during First Wave of COVID-19 in Egypt: Panel Data Analysis

Asian Journal of Finance & Accounting ◽

10.5296/ajfa.v13i2.18846 ◽

2021 ◽

Vol 13 (2) ◽

pp. 1

Author(s):

May Elewa

Keyword(s):

Data Analysis ◽

Panel Data ◽

Stock Price ◽

Fixed Effects ◽

Business Processes ◽

Panel Data Analysis ◽

Trade Volume ◽

Fixed Effects Model ◽

Net Profit ◽

The Impact

The purpose of this paper is to identify the impact of market capital MC and net profit NP on stock price SP and trade volume (TV) in the developing Egyptian business context. This study collects data from 29 non-financial organizations registered on the EGX 30 during the 6 month, 1/1/2020 to 30/6/2020, lockdown in Egypt due to the first wave of COVID-19. Data for the monthly confirmed cases and death cases of COVID-19 are collected for the 6 months of the study and compared to the monthly records of closing prices and trade volume in Egyptian poundsEGP. The study population represents 174 firm year observations. The firms studied operate in cash, have annual financial reports during the period 1/1 to 31/12, obtain complete financial data, and have not been eliminated all throughout the study. In this work the pooled model, the fixed effects model, and the random effects model are used.SPSSis applied to achieve the required statistical analysis. The study is a panel data analysis. Outcomes demonstrate existing substantial effects between market capital MC and stock price SP during the first wave of COVID-19. However, no significant effect is evident of the market capital MC and net profit NP with the trade volume TV during the first wave of this pandemic. This literature is advantageous for external and internal stakeholders and regulatory bodies. The study is a modest contribution that may help boost the business processes to reach better financial performance in times of unexpected catastrophes.

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The board effectiveness index and stock price crash risk

Managerial Finance ◽

10.1108/mf-04-2021-0150 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Woraphon Wattanatorn ◽

Chaiyuth Padungsaksawasdi

Keyword(s):

Stock Price ◽

Fixed Effects ◽

Regression Models ◽

Design Methodology ◽

Crash Risk ◽

Independent Directors ◽

Panel Regression ◽

Board Effectiveness ◽

Content Type ◽

Effectiveness Index

PurposeThe main purpose of this study is to use a new broad board effectiveness index, which has been created from several internal attributes of board of directors and to investigate the association of the overall index regarding stock price crash risk.Design/methodology/approachThe authors create a new board effectiveness index from a comprehensive set of board attributes, including the number of board meetings, the number of board attendances, the expertise of the directors, the size of the board and the number of independent directors, in order to test with the stock price crash risk by using panel regression models with fixed effects. The two-stage least squared regression ensures endogeneity issues.FindingsAn increase in board effectiveness index lowers firm-specific crash risk. Moreover, female directors enhance the board effectiveness.Originality/valueWith a new broad board effectiveness index, this paper is unique from other studies as the authors focus on the overall index rather than on a single dimension of board attributes.

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The Impact of Dividend Policy on the Relationship Between Institutional Ownership and Stock Price Volatility: Evidence from Pakistan

Lahore Journal of Business ◽

10.35536/ljb.2013.v2.i1.a5 ◽

2013 ◽

Vol 2 (1) ◽

pp. 111-132

Author(s):

Atif Hussain

Keyword(s):

Stock Price ◽

Fixed Effects ◽

Dividend Policy ◽

Stock Exchange ◽

Price Volatility ◽

Institutional Ownership ◽

Fixed Effects Model ◽

Stock Price Volatility ◽

The Impact ◽

The Relationship

This study aims to determine the effects of dividend policy on the relationship between institutional ownership and stock price volatility, based on a sample of 36 firms listed on the Karachi Stock Exchange over a seven-year period (2005–11). We use a fixed-effects model applied to panel data to investigate this relationship and find that institutional ownership has a negative relation with stock price volatility and a positive relation with the dividend payout ratio. The results also show that dividend payouts significantly affect the relationship between institutional ownership and stock price volatility. The mediating role of dividend policy between institutional ownership and stock price volatility reveals that institutional investors prefer to invest in low-volatility dividend-paying stock.

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Business Strategy, Market Power and Stock Price Crash Risk: Evidence from China

10.21203/rs.3.rs-292390/v1 ◽

2021 ◽

Author(s):

Adnan Safi ◽

Yingying Chen ◽

Abdul Qayyum ◽

Salman Wahab

Keyword(s):

Market Power ◽

Business Strategy ◽

Stock Price ◽

Fixed Effects ◽

Least Squares Method ◽

Vital Role ◽

Business Strategies ◽

Crash Risk ◽

Fixed Effects Regression ◽

The Impact

Abstract Business strategies play a vital role in a firm’s success but, if not properly executed, can lead to financial irregularities and mispricing, influencing the firm’s performance and leading to stock price crash risk. The present study examines the impact of a firm’s business strategy and market power on stock price crash risk. Following Miles and Snow’s (2003) model, we classify Chinese firms listed on the Shenzhen and Shanghai stock exchanges into defenders (conservative) and prospectors’ (aggressive) business strategies over a period of 2006–2019. We employed industry and year fixed effects regression to show that prospectors who follow aggressive strategies are more prone to stock price crash risk than defenders who follow conservative strategies. Additionally, we show that firms with high market power also contribute to increased stock price crash risk. Our results are also robust to alternative control variables and different statistical models like the two-stage least squares method.

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Dampak Kebijakan Moneter Pada Output Di Negara-Negara ASEAN Tahun 1980-2014

Jurnal Riset Manajemen Sekolah Tinggi Ilmu Ekonomi Widya Wiwaha Program Magister Manajemen ◽

10.32477/jrm.v4i1.191 ◽

2017 ◽

Vol 4 (1) ◽

pp. 58-70

Author(s):

Nur Widiastuti

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Fixed Effects ◽

Empirical Studies ◽

Negative Relationship ◽

Least Square ◽

Fixed Effects Model ◽

State Data ◽

Ordinary Least Square ◽

The Impact

The Impact of monetary Policy on Ouput is an ambiguous. The results of previous empirical studies indicate that the impact can be a positive or negative relationship. The purpose of this study is to investigate the impact of monetary policy on Output more detail. The variables to estimatate monetery poicy are used state and board interest rate andrate. This research is conducted by Ordinary Least Square or Instrumental Variabel, method for 5 countries ASEAN. The state data are estimated for the period of 1980 – 2014. Based on the results, it can be concluded that the impact of monetary policy on Output shown are varied.Keyword: Monetary Policy, Output, Panel Data, Fixed Effects Model

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