This article conducts a thorough review and synthesis of the empirical research on the antecedents of stock price crash risk to ascertain the macro-, meso- and micro-level determinants contributing to stock price crashes.
The authors systematically reviewed 85 empirical papers published in ABS-ranked journals to assess the macro-, meso- and micro-level determinants causing stock price crashes.
The findings indicate that macroeconomic factors such as corporate governance, political and legal factors, socioeconomic indicators and religious beliefs have an effect on firm-level corporate behavior contributing to stock price crash risk. At a meso-level customer concentration, industry-level characteristics, media coverage, structural features of ownership and behavioral factors have a substantial effect on stock price crash risk. Finally, micro-level variables influencing stock market crash risk include CEO qualities and compensation, business policies, earnings management, financial transparency, managerial characteristics and firm-specific variables.
Based on our analysis we identify priority areas for future research.
This is a seminal work using a multilevel framework to categorize the determinants of stock price crashes into micro-, meso- and macro-level factors.
