saeid shikavand; saeid Fallahpour; Amirmahdi Sabaei
Abstract
This study examines the impact of information demand and supply in cyberspace on stock return and stock return variance. This research seeks to determine whether the information demand and supply can have a significant impact on stock return and stock return variance of companies listed on Tehran Securities ...
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This study examines the impact of information demand and supply in cyberspace on stock return and stock return variance. This research seeks to determine whether the information demand and supply can have a significant impact on stock return and stock return variance of companies listed on Tehran Securities Exchange. The study was conducted on a daily basis during the period 2012 to 2016 among 50 listed companies on TSE. In order to estimate the impacts, a Vector Auto-Regression (VAR) model is used in panel data. The predicted model is also estimated by the method of generalized moments. The estimated results show that information demand and supply have both been able to significantly affect the stock return of companies in the sample at a significant level of 5%. Furthermore, the results of the study indicate that the information supply and demand share on the stock return variance is increasing over time.
Seyed Kazem Ebrahimi; Bahraminasab Ali; mohaddeseh hamedi
Abstract
Investors need reliable information for decision making in order to make optimal economic decisions. This research investigates the effect of the modified auditor's opinion on the debt structure and excess stock returns of the companies admitted to the Tehran Stock Exchange. The type of auditor's opinion ...
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Investors need reliable information for decision making in order to make optimal economic decisions. This research investigates the effect of the modified auditor's opinion on the debt structure and excess stock returns of the companies admitted to the Tehran Stock Exchange. The type of auditor's opinion has been considered as independent variable and debt structure and excess stock returns as dependent variables. The statistical sample included 102 companies admitted to the Tehran Stock Exchange during the years 2012-2016. The required data have been collected from the Tehran Stock Exchange Library, Compact CD of Rah Avard Novin and the Codal site. Data analysis has been performed using Eviews 9 software. In the study, a multivariate regression model and panel data method were used. To study the relationship between the mentioned variables, two hypotheses were developed. The results show that there is a negative and significant relationship between the modified auditor's opinion and debt structure and excess stock returns
darioush foroughi; Hadi Amiri; Seyed Mohammad Alsharef
Abstract
The purpose of the study is to investigate the influence of accruals on future assets’ returns and future stocks returns. Due to their estimating nature, accruals are less stable relative to cash flows; therefore, they are more influential on returns; however, financial distress may increase or ...
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The purpose of the study is to investigate the influence of accruals on future assets’ returns and future stocks returns. Due to their estimating nature, accruals are less stable relative to cash flows; therefore, they are more influential on returns; however, financial distress may increase or decrease the influence of accruals on future returns. The study sample includes 117 companies incorporated in Tehran Stock Exchange between 2006 and 2015. The findings of this study reveal that the influence of accruals on the future returns of assets in the companies suffering financial distress is less which is owing to more persistency of the accruals (much real estimations) in the companies struggling with financial distress. Furthermore, the influence of accruals on the future returns of the stocks in the companies suffering financial distress is less which is due to less abnormality of accruals (less mispricing) in companies suffering financial distress compared to companies with non-financial distress. Key words: Financial Distress, Abnormality of Accruals, Persistence Argument, Assets Returns, Stock Returns.
Abstract
Considering the importance of discretionary accruals in reporting and its influenceon stock return, and also growth opportunities and information assymetry in highgrowth companies, it is expected that management of high growth companies haveincentives to use discretionary accruals for signaling positive ...
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Considering the importance of discretionary accruals in reporting and its influenceon stock return, and also growth opportunities and information assymetry in highgrowth companies, it is expected that management of high growth companies haveincentives to use discretionary accruals for signaling positive fiture performance ofthe firm. The purpose of this study is to investigate the impact of growth changes onstock return sensitivity to discretionary accruals, positive accruals and the quality ofaccruals. The study is performed in TSE listed companies and 192 companies databetween 1388 to 1394 were selected. The coefficient and multivariate regressionwere used for hypothesis testing. The results revealed that the sensitivity of stockreturn to discretionary and positive accruals and accruals quality is high for highgrowth companies compared to low growth ones.
Yahya Hassas Yeganeh; Matin Hassannejad
Abstract
In this research, the usefulness of balance sheet and income statement information have been considered in compare with income statement to explain stock returns of 104 sample companies which are accepted in Tehran security exchange since 1382 till 1390. The investors consider future value of stock returns ...
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In this research, the usefulness of balance sheet and income statement information have been considered in compare with income statement to explain stock returns of 104 sample companies which are accepted in Tehran security exchange since 1382 till 1390. The investors consider future value of stock returns at the time of investment in companies share. This research, tried to help the investors to choose a best finance and investment chance. The data utilized to test the research assumptions are generally compound data. To test the research assumptions, multi variable regressions have been applied. The descriptive and perceptive statistical methods, including adjusted multiple, are applied. The result of this research indicated more ability and profitability of stock return at the time of using information in the model of balance sheet and income statement together in compare with only income statement usage. Specially in Loss versus profit companies and Young versus mature companies or with Firms with uncertain future earnings
Bita Mashayekhi; Vahid Mennati
Volume 10, Issue 40 , January 2014, , Pages 101-124
Abstract
In this study we investigate the relationship between earnings volatility and earnings predictability (short and long-term), in addition we investigate information content of earnings volatility. Our framework is based on Dichev and Tang (2009). There is a belief that higher earnings volatility indicates ...
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In this study we investigate the relationship between earnings volatility and earnings predictability (short and long-term), in addition we investigate information content of earnings volatility. Our framework is based on Dichev and Tang (2009). There is a belief that higher earnings volatility indicates lower earnings predictability. So according to their framework, financial information of the 400 companies listed in the Tehran Stock Exchange (TSE) from 2002 to 2012 were investigated. Although the predictability trend is not to be strict lower, But the results of this section suggest that earning volatility reduces the predictability of earnings. Moreover, the strength of long-term predictability is reduced. Additionally the loss company (Based on the theoretical framework that losses causes earnings volatility.) excluded and the tests were repeated but similar results were obtained. In the second section of the paper the relationship between the market reaction and earnings volatility was examined. Evidence suggests that the market will demand a higher return for companies with high volatility (higher risk).
Seyed Abbas Hashemi; Hadi Amiri; Roya Moeein Ghafghazi
Volume 10, Issue 38 , July 2013, , Pages 91-117
Abstract
Because the accounting profit computation does not consider the cost of capital, it has always been criticized. One of the proxies of accounting earnings that recently were taken into consideration by accounting researchers is residual income. In this study, the relationship between accounting earnings ...
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Because the accounting profit computation does not consider the cost of capital, it has always been criticized. One of the proxies of accounting earnings that recently were taken into consideration by accounting researchers is residual income. In this study, the relationship between accounting earnings and stock returns and the effect of changes in the accounting earnings on this relationship has been studied. Then using the concept of residual income, the impact of changes in earnings components on this relationship has been investigated. To test the hypothesis, a sample of 67 Tehran Stock Exchange listed companies during the years 2004 to 2010 were selected. To analyze the data and hypothesis testing, a multiple regression model based on combined data was used. The results indicate that there is a direct significant relationship between accounting earnings and current stock returns and the independent variable, earnings changes, affect this relationship. Also, if using residual income, the earnings could be decomposable to components, these components will strengthen the relationship between accounting earnings and current stock returns. Also the results revealed no relationship between accounting earnings and future stock returns.
Ahmad Khodamipoor; Mostafa Deldar; Mohsen Choopani
Volume 10, Issue 38 , July 2013, , Pages 143-167
Abstract
If the information asymmetry exists، some investors have private and confidential information about companies more and better than other investors .Information asymmetry cause inefficient information flow which can influence company's future returns. This study investigates the impact of information ...
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If the information asymmetry exists، some investors have private and confidential information about companies more and better than other investors .Information asymmetry cause inefficient information flow which can influence company's future returns. This study investigates the impact of information asymmetry and the company's life cycle on future stock returns. With a sample of 670 firms - year regarding 67 companies listed in Tehran Stock Exchange during the period 1380-1389, we tested the hypothesis using multivariate linear regression model based on panel data. The findings of this study indicate that there is a significant negative relationship between information asymmetry and futures stock returns. In fact, with increasing asymmetry of information, future returns of stocks of companies decreased. Another result of study shows there is a significant positive relationship between year life cycle and future stock returns. In other words, with the increase in corporate life, the future stocks returns also increases.
M Ghaemi; M Moradipour; M Karim
Volume 9, Issue 35 , October 2012, , Pages 93-106
Abstract
Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French ...
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Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French three-factor model in this paper. To estimate the model, we use monthly data from 2006-2010. Also, sample concludes 90 listed companies in TSE. Income smoothing is measured by volatility ratio of operational income to cash flow from operation. Our findings show that income smoothing is another relevant factor in Fama-French three-factor model. In other words, income smoothing is relevant to stock return and the less volatility ratio, the less the expected return of shareholders.
V Khodadadi; M Arabi; F Taheri
Volume 9, Issue 34 , July 2012, , Pages 151-172
Abstract
The timing of an annual report announcement is a disclosure decision that managers must make. The users recognize timeliness as an important characteristic of usefulness of accounting information. In this research, we investigate relationship between a set of explanatory variables (such as returns on ...
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The timing of an annual report announcement is a disclosure decision that managers must make. The users recognize timeliness as an important characteristic of usefulness of accounting information. In this research, we investigate relationship between a set of explanatory variables (such as returns on equity, changs of stock return, financial risk and size) and timing of annual financial reporting. we have used the financial data of 88 firms listed at Tehran Stock Exchange (TSE), that have analyzed for during 2004 to 2010 by using of the Panel Data System and Ordinary Least Square Regressions (OLS) Model. The results of regression show that timeliness in reporting by TSE listed companies is influenced by their profitability. We find that returns on equity and changes in stock returns are positively associated with the annual financial reports earlier and financial risk and changes in financial risk are negatively associated with the annual financial reports earlier. In addition, the results indicate that the timing of annual report releases is significantly affected by company size.
D foroghi; S.A hashemi; H amiri; S zafari
Volume 9, Issue 36 , January 2012, , Pages 149-169
Abstract
The main purpose of this research is to compare the relative informational content of operating and financing cash flows of three and five section cash flow statement in explaining future stock return. The time range of research is companies cash flow statements between 1382-1388. The population of research ...
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The main purpose of this research is to compare the relative informational content of operating and financing cash flows of three and five section cash flow statement in explaining future stock return. The time range of research is companies cash flow statements between 1382-1388. The population of research is all companies Listed in Tehran Securities and exchange, from which, a sample of 80 Iranian listed firms was chosen. The type of data needed for hypotheses testing is Pooling-Data. Unrestricted and restricted regressions were utilized to test the hypotheses. The statistical methods used consist of adjusted- R² and Wald-test statistic. Findings indicate that both operating and financing cash flow of 3-section cash flow statement have more relative informational content than the operating and financing cash flow of 5-section cash flow statement in predicting future stock return.
O. Pourhaydari; A. Sadeghi
Volume 8, Issue 31 , October 2010, , Pages 1-31
Abstract
This paper investigates the relationship between stock returns and financial and non-financial information, such as operating income, net Income, dividends, cash flows, industry effects, price-earnings ratios, and earnings growth in companies listed in Tehran Stock Exchange (TSE). The testing period ...
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This paper investigates the relationship between stock returns and financial and non-financial information, such as operating income, net Income, dividends, cash flows, industry effects, price-earnings ratios, and earnings growth in companies listed in Tehran Stock Exchange (TSE). The testing period is from 1378 to 1387. We use cross sectional data for investigate trends and use pooled data for investigate the relationship between stock returns and financial and non-financial information. The results show that operating earnings, net income and earnings growth have the most explanatory power in determinant stock return. Similar to the findings of western studies, our study shows that earnings data is key information for investors. Also, our findings indicate that cash flows, industry effects, and price-earnings ratios are relatively less important information to the market.
Gholamhossein Asadi; Alireza Pourbagherian
Volume 8, Issue 29 , April 2010, , Pages 139-153
Abstract
One of the most important fields of management decision making that has important effect on the wealth of stockholders is financing methods of the firm. Companies need financial resources for their current operation & future growth. For financing, companies usually face some limitations; therefore ...
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One of the most important fields of management decision making that has important effect on the wealth of stockholders is financing methods of the firm. Companies need financial resources for their current operation & future growth. For financing, companies usually face some limitations; therefore company should use its current funds in a way that creates value for both investors & company.
This research intends to investigate whether companies financing methods have an impact on their future returns or not.
We examined 111 firms over the period 1381-1385 selected from Tehran stock exchange.
This research is an empirical study, which investigates the relation between accounting and financial variables by using regression method & Pearson’s correlation coefficient. The methodology of this research is post event study.
Results indicate that there is reverse relation between cash flows from financing activities (cash flows form borrowing) and future stock return. We also find that there is no significant relation between cash flows from issuing bonds and the future stock return.
Overall, the results show that companies were not successful in generating return for their stockholders by using different financing methods.
O. Pourheydari; M. Shahbazi
Volume 6, Issue 24 , January 2009, , Pages 35-51
Abstract
This paper investigated the relationship between market return, firm size and book-to-market value of equity with return of equity in Tehran Stock Exchange (TSE). For this purpose we use Fama-French three factor model (1993) to investigate the effects of market return, firm size and book-to-market value ...
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This paper investigated the relationship between market return, firm size and book-to-market value of equity with return of equity in Tehran Stock Exchange (TSE). For this purpose we use Fama-French three factor model (1993) to investigate the effects of market return, firm size and book-to-market value of equity on equity return. We use OLS regression to analyzing the collected of data during 1376 to
1383. Our results indicate a significant relationship between three mentioned variable with equity returns.
The relationship between market return, and firm size with return of equity was positive, and the relationship between book-to-market value of equity with return of equity was negative. Also, our findings indicate that investing in firms with big size and low book-to-market value of equity ratio in TSE has more return for investors.
M. Bozorg Asl; S.M. Razavi
Volume 6, Issue 22 , July 2008, , Pages 97-117
Abstract
This article aims at identifying effective variables of macroeconomic on Tehran Stock Exchange returns. Variables which have been used to do the hypothesis test are Interest Rates, Interest Rates growth, GOP, GOP growth, Oil Prices and growth of Oil Prices. These variables have been considered as independent ...
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This article aims at identifying effective variables of macroeconomic on Tehran Stock Exchange returns. Variables which have been used to do the hypothesis test are Interest Rates, Interest Rates growth, GOP, GOP growth, Oil Prices and growth of Oil Prices. These variables have been considered as independent variables. The stock market return has been used as dependent variable. The measurement scope is over the period 1376-1385. The research shows that stock market return is relative to only interest rate.
Mohsen Khoshtinat; Sbahpoor Esmaeeli
Volume 3, Issue 12 , January 2006, , Pages 27-56
Abstract
This research undertakes the relationship between earnings quality and stock return of the listed companies in the Tehran Stock Exchange.
The aim of this research is to assess whether the investors, analysts, and etc. have comprehend the quality of the accountancy information (earnings quality) and ...
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This research undertakes the relationship between earnings quality and stock return of the listed companies in the Tehran Stock Exchange.
The aim of this research is to assess whether the investors, analysts, and etc. have comprehend the quality of the accountancy information (earnings quality) and utilize it in their decision making process? In order to find the answer to this question we need to take in to account the market reaction.
We can assess and evaluate the market reaction with the use of the accumulated data published and in the following two ways:
1- Volume of transactions
2- Share price and subsequently the stock return
Therefore in this research stock return is an independent variable.
Within the earnings quality assessment criteria, two criteria, the ratio between cash flows resulted from operational activities with operational earning and accruals , are selected and their influence on stock return of listed companies in the Tehran Stock Exchange are examined.
This research considers four hypotheses. In these hypotheses earnings quality, accruals, discretionary and nondiscretionary accruals are considered as independent variables and stock return as dependent variable. The examination of the research hypotheses, with the help of regression analysis during the period of 1379-1383 (Iranian calendar year), shows that there is little influence between earnings quality and stock returns.
Omid Poorheidari; Mahmood Kohansal
Volume 3, Issue 9 , April 2005, , Pages 27-41
Abstract
The role of accounting information in setting security prices is one of the most fundamental issues in accounting. The purpose of this study is to extend the research on the value relevance of accounting numbers in two important directions. Firstly, we consider the Iran context and analyze if earnings ...
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The role of accounting information in setting security prices is one of the most fundamental issues in accounting. The purpose of this study is to extend the research on the value relevance of accounting numbers in two important directions. Firstly, we consider the Iran context and analyze if earnings and/or cash flows are relevant to explain stock returns. Secondly, we investigate how firm-specific attributes such as size, leverage and firm life-cycle influence the relative relevance of accounting measures (earnings and cash. flows). Our results support a linear relationship between stock returns and accounting variables. They indicate also that the relevance of earnings is conditional on size, debt level and life cycle of the firm. In contrast, the earning change reveals more information when the firms are small, mature and leverage firms. With regards to cash flows, we find that they do not reveal additional information beyond that contained in earnings.
Hamid Khaleghi moghaddam; M. Azad
Volume 2, Issue 7 , October 2004, , Pages 33-54
Abstract
Profit as the most important factor of measurement of an operation of an entity, is one of the topics of accounting which has secured its special place in the theoretical issue for a number of years. Accounting from the beginning of 20th century has started its activity in the scientific and classic ...
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Profit as the most important factor of measurement of an operation of an entity, is one of the topics of accounting which has secured its special place in the theoretical issue for a number of years. Accounting from the beginning of 20th century has started its activity in the scientific and classic form. In the last number of decades, especially from the year 1960 onward after efficient market hypothesis (EMH), with the start of experimental --evidential researches by Ball and Brown about the content of information pertaining accounting earning was able to stable its theoretic fundamentals on the basis of evidence. In this research, the content of information of predicted profit is studied. The results reported here indicate that Earning Forecast by companies possessing information and efficiency content and from this purpose the importance of prediction of accounting earning due to its role and effect in the decision takings of users especially investor's is considerable.
Mohsen Khoshtinat; Mohammad Reza Sarebanha
Volume 1, Issue 2 , July 2003, , Pages 107-139
Abstract
There are considerable debates on how dividend policy effects firm value. Some researchers believe that dividends increase shareholder wealth; others believe that dividends are irrelevant, and still others believe that dividends decrease shareholder wealth. The main purpose of this study was to investigate ...
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There are considerable debates on how dividend policy effects firm value. Some researchers believe that dividends increase shareholder wealth; others believe that dividends are irrelevant, and still others believe that dividends decrease shareholder wealth. The main purpose of this study was to investigate the effects of dividend on common stock prices. To test the research hypothesis, the study used the 1994-2002 financial data of a cross - sectional set of companies listed in the Tehran Stock Exchange. The financial data used in the study belonged to a total of 60 corporations who met certain predetermined research criteria. Regression was used to test the research hypothesis. The results show positive correlation between the dividend and common stock prices.
