Assessing the risk of falling stock prices and correlating it with price bubbles based on the rational stock pricing structure

Document Type : Original Article

Authors

1 Ph.D. Student of Accounting, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran.

2 Associate Professor of Accounting, Faculty of social sciences and economics, Shahid Chamran University of Ahvaz, Ahvaz, Iran. (Corresponding Author).

3 Assistant Professor of Accounting, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran. (e.mazaheri@scu.ac.ir).

4 Assistant Professor of Business Management , Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran.

10.22108/far.2023.138880.1992

Abstract

Because the risk of falling stock prices have a significant impact on investment decisions and the optimal allocation of resources, it is essential to understand the factors affecting this phenomenon and its underlying factors. Based on the rational stock pricing structure in the Iranian capital market, this study measures the risk of falling stock prices and their correlating with price bubbles. To analyze and test the research hypothesis, data related to 30 companies admitted to the Tehran Stock Exchange for the period 1390-1401 were extracted. For this study, the stock price fall measurement model was estimated for the sample companies, and then its efficiency was measured and evaluated with the Kupiec test, and it was confirmed at a 95% confidence level. After estimating the capital assets pricing models, this study used Bartlett, Lunn, and Brown-Forside tests to assess the alignment between falling stock prices and bubbles. The results showed that there is no alignment between the variance of the risk of falling stock prices and bubbles based on the rational stock pricing structure in our country's context. Therefore, in our country, falling stock prices in line with price bubbles are not based on rational stock pricing.

Main Subjects



Articles in Press, Accepted Manuscript
Available Online from 27 December 2023
  • Receive Date: 27 August 2023
  • Revise Date: 22 December 2023
  • Accept Date: 27 December 2023