The Impact of Firm Characteristics on Future Stock Price Crash Risk: Evidence from Egypt | ||
| المجلة العلمية للدراسات والبØوث المالية والإدارية‎ | ||
| Article 21, Volume 16, Issue 2, May 2024, Pages 740-770 PDF (1.31 M) | ||
| Document Type: المقالة الأصلية | ||
| DOI: 10.21608/masf.2024.356972 | ||
| Authors | ||
| د./ Ù…Øمد صابر Øموده السيد1; Dr. Alsayed Eid Mohamed Eid eid2; Eman Abd-Alstar Abd-Almgeed Abo-Hagar3 | ||
| 1, Assistant Professor of Accounting , Faculty of Commerce Menoufia University | ||
| 2, Lecturer of Accounting , Faculty of commerce Menoufia University | ||
| 3Demonstrator, Accounting Dept. Faculty of Commerce, Menoufia University | ||
| Abstract | ||
| Purpose: the objective of the study is to investigate the impact of firm characteristics on future stock price crash risk (FSPCR) by concentrating on six of these characteristics which are firm size (F-SIZE), return on assets (ROA), return on equity (ROE), firm leverage (LEV), audit quality, and board characteristics. FSPCR has been measured by Negative skewness of weekly returns (NCSKEW) and Down-to-up volatility (DUVOL). Design/methodology: The study was conducted on a sample consisting of 50 firms listed in the Egyptian Stock Exchange (ESE) belonging to four sectors which are basic resources, real state, travel & leisure, and food, beverages, & tobacco during the period from 2018 to 2021 with a total of (200) observations. In order to evaluate the study hypotheses, the study used the generalized least squares (GLS) method instead of the ordinary least square (OLS) method to overcome the problems of both heteroskedasticity and the normality of residuals. The study also conducted an additional analysis to determine the extent of differences among the sectors of the study sample with regard to the NCSKEW and DUVOL. Findings: The study concluded that there was an impact of some of the firm characteristics on FSPCR. In more detail, the results of the study indicated that there was a significant negative impact of F-SIZE, ROA, LEV, industrial specialization of the audit firm (SPEC), board size (B-SIZE), and the board independency (IND) on FSPCR. And a significant positive impact of CEO duality (DUAL). While an insignificant impact of ROE and BIG4 on FSPCR. Additional analysis indicated that there were no differences among ESE sectors of the study sample regarding (NCSKEW) and (DUVOL). Originality/value: The study makes a contribution to the existing literature and helps future researchers by combining some of the firm characteristics such as (F-SIZE, ROA, ROE, LEV, audit quality, and board characteristics) and analyzing their impact on FSPCR as a way to mitigate FSPCR, and assist investors such as creditors, suppliers, banks, and shareholders in better understanding FSPCR effects and modifying their investment behavior and helps auditors evaluate the company's ability to continue. | ||
| Keywords | ||
| future stock price crash risk; firm characteristics; corporate governance; audit quality; board characteristics | ||
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