Investigating the effect of Management Characteristics on Stock Price Crash Risk; With Emphasis on Data Mining Methods

Document Type : Original Article

Authors

1 PhD in Financial Management, International Campus-Kish Island, Tehran University, Kish, Iran.

2 Professor, department of industrial management, faculty of management and accounting, Tehran University, Tehran, Iran.

Abstract

Managers to become effective and successful in position must adapt to their job in terms of personality characteristics. For this purpose, the data of 165 firms listed in Tehran Stock Exchange for the period of 2007 to 2017 were extracted, the method to test the hypothesis was a multiple regression model and has been used a combined data model and data mining methods including neural network algorithm and decision tree. The research findings show that based on neural networks only myopia and management stability there is a significant effect on stock price crash and effect of other characteristics was not significant. The biggest effect on stock price crash based on stock negative skewness criteria was respectively related to the variables of financial leverage, the ratio of market value to book value and competition in the product market and based on volatility of stock returns criteria was related to financial leverage, return on assets and risk of return on equity. Also based on decision tree management myopia only had a significant effect on stock price crash. Based on negative skewness of stocks; stock return risk variables, management myopia and the ratio of market value to book value are respectively the biggest effect and based on volatility of stock returns criteria, the variables of stock return risk, return on assets and market value to book value ratio respectively have the most impact. Further on suggested would be considered the effect of manager’s personality characteristics on decision making of capital market stakeholders and by enactment applicable laws, consider the merit of appointing managers.

Keywords

References

 
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Budget and Finance Strategic Research
Volume 1, Issue 1 - Serial Number 1
Spring Quarterly
May 2020
Pages 93-128

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History

  • Receive Date: 27 May 2019
  • Revise Date: 06 November 2019
  • Accept Date: 11 November 2019

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