بررسی رابطه بین توانایی مدیریت با کارایی سرمایه‌گذاری و ریسک کاهش قیمت سهام

ریسک ریزش قیمت سهام در بازار یکی از نگرانی‌های اصلی سرمایه‌گذاران است و پژوهش در این زمینه می‌تواند برای بازار سرمایه دارای اهمیت باشد. افزایش پدیده ریزش قیمت سهام، سبب بدبینی سرمایه‌گذاران در مورد سرمایه‌گذاری در بورس اوراق بهادار می‌شود؛ این مسئله درنهایت می‌تواند سبب شود که سرمایه‌گذاران منابع خود را از بورس اوراق بهادار خارج کنند. هدف این مقاله بررسی ارتباط بین توانایی‌های مدیریت و سرمایه‌گذاری کارا با سقوط قیمت سهام شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران است. در این مطالعه با استفاده از داده‌های 152 شرکت موجود در بورس اوراق بهادار تهران در دوره زمانی سال‌های 1385 تا 1394 به بررسی این موضوع پرداخته شد. برای اندازه‌گیری توانایی مدیریت از مدل دمرجیان و همکاران (2013) که مبتنی بر متغیرهای حسابداری است، استفاده شده است. داده‌ها به روش داده‌های تابلویی و رگرسیون چند متغیره تجزیه‌وتحلیل شده‌اند. نتایج پژوهش حاکی از آن است که بین توانایی مدیریت و کارایی سرمایه‌گذاری رابطه معناداری وجود ندارد؛ درحالی‌که بین توانایی مدیریت و ریسک سقوط قیمت سهام رابطه مثبت و معناداری وجود دارد.

A Study of the Relationship between Management Abilitywith Investment Efficiency and Stock Price Crash Risk

Introduction Stock price crash risk in the market is a key concern of investors, and research in this field is important for the capital markets. Increasing the phenomenon of stock price crash will result in investor’s pessimism about investing in the stock market, and this could finally force the investors to withdraw their investment. On the other hand, investment decisions are widely dependent on information asymmetry and agency problems. Therefore, the management ability which is a qualitative component that captures the intrinsic talent of managers by varying circumstances, can increase investment efficiency by reducing information asymmetry and agency costs, and thus provide the optimal use of resources, accountability, transparency, fairness and rights of all stakeholders companies.   Hypothesis The aim of this study is to investigate the relationship between efficient investment and management ability with stock price crash of listed companies on the Tehran Stock Exchange.   Methods Data of 152 listed companies on the Tehran Stock Exchange during the period of 2006 to 2015 is investigated. To measure the stock price crash risk from the regression model Hutton et al. (2009) and the investment efficiency from the extended version of Biddle et al. (2009) model and the management ability, Demerjian et al.(2013) model, based on accounting variables is used. Data are analyzed by using panel data approach and multiple regressions model.   Results The results show that there is not a significant relationship between management ability and the investment efficiency; there is a significant and positive relationship between management ability and stock price crash risk. One of the reasons that led to such results in the Iran capital market may refer to the inability to analyze managers from the current and future conditions of the company and industry, and to utilize their intelligence and talent to achieve personal returns, raising information asymmetry and agency costs between stokholders, creditors and managers, lack of voluntary disclosure of information in accounting reportings, ups and downs of the capital market in recent years and the existence of a dominant government structure over Iran's economic system   Conclusion There are two views regarding the impact of management ability on investment efficiency: An optimistic view, which states that a competent manager can use economic assets in order to increase shareholders' wealth in an appropriate time; and based on this view, there is a significant positive relationship between the ability of managers and investment efficiency. The pessimistic view argues that, in addition to the agency theory and conflict of interest between managers and owners, managers may use their talents in order to achieve their personal interests; or may act with high confidence and overestimate the return on investments because of their high intelligence, so that this fact will also cause losses. Our research results support pessimistic view. Therefore, the stock exchange should provide a mechanism to prevent opportunistic management practices for hoarding information and creating price bubbles and investors' uncertainty about such information.   Keywords: Management ability, Investment efficiency, Stock price crash risk, Tehran Stock Exchange.