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

Purpose 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. 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. Findings 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. Research limitations/implications Based on our analysis we identify priority areas for future research. Originality/value This is a seminal work using a multilevel framework to categorize the determinants of stock price crashes into micro-, meso- and macro-level factors.