Najibeh Najafi Kangarloui - Ph.D. Candidate, Department of Economics, Faculty of Economics, University of Tehran, Tehran, Iran.
Farkhondeh Jebel Ameli - Associate prof., Department of Economics, Faculty of Economics, University of Tehran, Tehran, Iran.
Mohsen Mehrara - prof., Department of Economics, Faculty of Economics, University of Tehran, Tehran, Iran.
Mir Behnam Fatehi - Master of Industrial Engineering, Faculty of Industrial Engineering, Urmia University of technology, Urmia, Iran.

Sanctions increase managers' motivations to manage profits and the accumulation of bad news due to their negative impact on corporate profitability and cash flow. According to Jin and Myers (۲۰۰۶), this issue increases companies' stock price crash risk. The higher probability of stock price crashes indicates a stock price overvaluation. As a result, the expected return on such shares will be low. The current paper used the softmax model to calculate the probability of stock price crashes and the expected return calculated by the Fama-French three-factor model. The sample used in this paper includes ۸۰ import- and export-oriented exchange companies from ۲۰۰۸-۲۰۲۱. The results of this paper indicate a positive and significant relationship between the sanctions variables and the probability of stock crashes. So, sanctions cause an increase in the accumulation of bad news and information asymmetry between managers and investors. The second part of the paper's results indicates a negative relationship between the probability of stock crashes and the expected return on the stocks in the Iranian capital market. Therefore, investors have relatively good analytical skills in the Iranian capital market due to its shallow depth and infrastructure problems. The results of this paper can be used in portfolio management to select stocks with a lower probability of crash and higher return.

Crash risk, Expected Return, Sanction, Softmax