A STOCK PRICE CRASH RISK EXPERIENCE AND ITS EFFECTIVE FACTORS IN COMPANIES LISTED IN THE TEHRAN STOC

A stock market fall is frequently the result of asset mispricing. Identifying the effective components of mispricing may therefore aid in the forecasting of this phenomena and assist agents in more correctly predicting future stock returns and diagnosing the price bubble in their portfolio at the appropriate moment. They retain low-risk equities and limit the chance of a stock market fall in this way. The goal of this research is to look at the experience of stock price collapse risk in firms listed on the Tehran Stock Exchange from 2009 to 2020. The generalised method of moments (GMM) is employed for this. The study is based on monthly data. The findings show that stock price volatility, stock price crash risk, and future stock return all have a positive and substantial association.

Please see the link :- https://www.ikprress.org/index.php/JET/article/view/6412