Causes of Stock Prices at Tehran Stock Exchange based on a Meta-Analysis Approach: Evidence from Internal Studies

Abstract

The main purpose of this study is to determine the factors affecting Stock Price Crash Risk in various domestic studies. The sample of this research is taken from the results of 57 internal studies based on meta-analysis approach. The results showed that the variables of conservatism, social trust, debt maturity, dividends, ownership concentration, auditor expertise in the industry and the effectiveness of internal controls had a negative and significant effect on Stock Price Crash based on the negative skewness of stock returns (NCSKEW). Also the variable of trading strategies is the only negative factor affecting Stock Price Crash based down-to-top volatility. Also, the ratio of M/B and size has a negative effect on the risk of falling stock prices based on the maximalist Sigma. On the other hand, information asymmetry, standard deviation of monthly return, investor heterogeneity, stock overvaluation and free cash flows are among the causes of exacerbating Stock Price Crash based on negative skewness of stock returns (NCSKEW). and growth opportunities and accrual items exacerbating Stock Price Crash based on maximalist Sigma.

Keywords

• stock price crash risk
• negative skewness of stock returns
• down-to-top volatility
• maximalist sigma