دانلود مقاله انگلیسی رایگان:ریسک نزولی مبتنی بر حسابداری و خطر سقوط قیمت سهام: شواهدی از چین - 2021
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  • Accounting-based downside risk and stock price crash risk: Evidence from China Accounting-based downside risk and stock price crash risk: Evidence from China
    Accounting-based downside risk and stock price crash risk: Evidence from China

    سال انتشار:

    2021


    عنوان انگلیسی مقاله:

    Accounting-based downside risk and stock price crash risk: Evidence from China


    ترجمه فارسی عنوان مقاله:

    ریسک نزولی مبتنی بر حسابداری و خطر سقوط قیمت سهام: شواهدی از چین


    منبع:

    ScienceDirect- Elsevier- Finance Research Letters, Corrected proof, 102152: doi:10:1016/j:frl:2021:102152


    نویسنده:

    Wei Huang


    چکیده انگلیسی:

    In the past 15 years, an emerging literature has extensively studied individual stock price crash risk, which refers to the likelihood of an abrupt and large-scale drop in stock prices (e.g., Chen et al., 2001; Hutton et al., 2009; Jin and Myers 2006; Kim et al., 2011a, Li and Zhang 2011b; Kim and Zhang 2016). An important strand of this literature focuses on the Chinese emerging markets where, arguably, the extent of “bad news hoarding” is severer compared to developed markets due to China’s less effective corporate governance environment (Wang et al., 2020). In this paper, we examine the relationship between accounting-based downside risk and stock price crash risk using a large sample of Chinese listed firms. The contribution of this study lies in a recently developed indicator of earnings fundamentals that is, arguably, more consistent with “bad news hoarding”: accounting-based downside risk, hereafter denoted as ABDR. Studies have shown that investors care more about downside losses than upside gain potentials and are therefore more sensitive to losses than to gains (e.g., Gul 1991; Kahneman and Tversky 1979). Accordingly, Koonce et al. (2005) show that economic agents judge negative and positive expectations differently in risk management, placing more emphasis on potential loss outcomes. However, earnings volatility and other existing accounting-based downside risk measures consist of both downside and upside variabilities with equal weights and little research has examined the downside risk of accounting-based measures. Konchitchki et al. (2016) are the first to construct measures of accounting-based downside risk and examine its pricing implications in U.S. markets. In particular, this study uses the relative root lower partial moment as a mathematical foundation to capture exposure to downside risk rather than the overall volatility. Accounting-based downside risk measures focus on the below-expectation variability in firm performance measures, particularly return-on-assets (ROA). We extend Konchitchki et al. (2016) by performing an investigation in the Chinese markets. Furthermore, we examine the variation
    keywords: Accounting-based downside risk | Stock price crash risk | Bad-news hoarding, China | ریسک نزولی مبتنی بر حسابداری | ریسک سقوط قیمت سهام | احتکار اخبار بد، چین


    سطح: متوسط
    تعداد صفحات فایل pdf انگلیسی: 6
    حجم فایل: 374 کیلوبایت

    قیمت: رایگان


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