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Provide a model for risk assessment and credit rating in the stock market
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Moslem Poor Hossein1   , Ali Asghar Mottaghi2 , Ahmad Mohammadi3 |
1- PhD Student in Accounting, Tabriz Branch, Islamic Azad University, East Azerbaijan, Iran
2- Assistant Professor, Department of Accounting, Tabriz Branch, Islamic Azad University, East Azerbaijan, Iran (Corresponding Author) , aliasghar.mottaghi@yahoo.com
3- Assistant Professor of Accounting, Tabriz Branch, Islamic Azad University, East Azerbaijan, Iran |
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Abstract: (2942 Views) |
| According to the efficient market hypothesis, stock prices should reflect all available company information such as stock returns and stock volatility, liquidity indicators also provide information about the value of the company and its future performance to the market. The present study examines the effect of stock liquidity in the market on credit risk and it is assumed that the companychr('39')s stock with low liquidity in the stock market is the cause of the companychr('39')s higher credit risk. This research uses experimental data of 158 listed companies during the period 2007-2018 to test this hypothesis. To measure credit risk from the Black-Scholes-Merton model and market-related data (stock volatility, stock returns, company value, profitability) and liquidity criteria (bid-ask difference, Amihod non-liquidity ratio criterion, The ratio of stock turnover ratio, turnover ratio to stock volatility criterion was used. And stock fluctuations of other variables have a significant relationship with the probability of default and the risk of default. |
Article number: 11 |
| Keywords: Credit risk, default probability, liquidity, stock market, structural models |
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Full-Text [PDF 951 kb]
(757 Downloads)
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Article type: Research |
Subject:
Special
Received: 2021/08/2 | Accepted: 2021/08/31 | Published: 2021/12/1
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