Micro-, meso- and macro-level determinants of stock price crash risk: a systematic survey of literature

Abstract

PurposeThis 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.Design/methodology/approach 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.FindingsThe 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.Research limitations/implicationsBased on our analysis we identify priority areas for future research.Originality/valueThis is a seminal work using a multilevel framework to categorize the determinants of stock price crashes into micro-, meso- and macro-level factors.

Empirical Analysis of Stock Price Crash Risk of RE Industry: Evidence from China Fortune Land Development Co., Ltd.

“…However, in 2020, the worldwide company is still suffering from the pandemic, which may also bring some negative effect for CFLD stock price. As much empirical research found that, besides macro factor effect on crash risk, there is also many other factors may attribute some positive effect on crash risk, for example: financial disclosure method, religious effect and even the manager behaviours [14,15]. I hope to consider more possible factors into the detection of CFLD SPCR to draw a more comprehensive understanding on it.…”

Multi-level analysis on determinants of sustainability disclosure: a survey of academic literature

“…In line with the previous review papers (see Ali et al, 2022b), we also use multi-level analysis framework to group the determinants into micro-, meso-and macro-level factors. Macro-level refers to the factors external to an organization including a firm's economic, social-cultural elements, and political and legal factors (Barbour, 2017;Frynas and Yamahaki, 2016;Ali et al, 2022b). Meso-level analysis stresses organization-stakeholder interaction (Barbour, 2017;Ali et al, 2022b).…”

“…Stakeholders include shareholders, investors, creditors, NGOs, customers, employees, media and local communities (Clarkson, 1995). Micro-level analysis focuses on Determinants of sustainability disclosure structures within an organization and individuals working within an organization (Jones et al, 2004;Frynas and Yamahaki, 2016;Ali et al, 2022b). Figure 2 presents a pictorial view of the research framework adopted in this study.…”

“…positive (+), negative (−) or insignificant (0). Finally, based on a multi-level framework adopted from Ali et al . (2022b), we grouped determinants of sustainability disclosure into micro-, meso- and macro-level factors.…”

“…Macro-level refers to the factors external to an organization including a firm's economic, social-cultural elements, and political and legal factors (Barbour, 2017; Frynas and Yamahaki, 2016; Ali et al ., 2022b). Meso-level analysis stresses organization–stakeholder interaction (Barbour, 2017; Ali et al ., 2022b). Stakeholders include shareholders, investors, creditors, NGOs, customers, employees, media and local communities (Clarkson, 1995).…”