Investigating the Factors Affecting the Negative skewness of stock returns in Tehran Stock Exchange

The aim of this study investigating the factors affecting the negative skewness of stock returns in Tehran Stock Exchange. For this purpose, the financial statements of ۱۱۹ firms were collected during the period ۲۰۱۱-۲۰۱۷. 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, and institutional ownership are the most important factors influencing stock prices crash risk. The aim of this study investigating the factors affecting the negative skewness of stock returns in Tehran Stock Exchange. For this purpose, the financial statements of ۱۱۹ firms were collected during the period ۲۰۱۱-۲۰۱۷. 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, 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, and institutional ownership are the most important factors influencing stock prices crash risk.

Keywords:

Conservatism , Debt Maturity , Financial Constraint , stock liquidity