Investigating the Efficiency of Tehran Stock Exchange in Reflecting the Accounting Earnings and Its Components' Information in Shares Prices: the Mishkin (1983) Test Approach

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ALIZADEH HASSAN; AFLATOONI ABBAS

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Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2018 | Volume:10 | Issue:39 Page(s): 133-148

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Title

Investigating the Efficiency of Tehran Stock Exchange in Reflecting the Accounting Earnings and Its Components' Information in Shares Prices: the Mishkin (1983) Test Approach

Author(s)

ALIZADEH HASSAN | AFLATOONI ABBAS | Issue Writer Certificate

Keywords

Rational PricingQ1

Market EfficiencyQ1

Accounting EarningsQ1

Mishkin (1983) TestQ1

Abstract

When investors apply the Accounting Earnings (and its components) to stock exchange and earn the abnormal returns, it is said that the pricing of stocks is irrational. On the other hand, in this condition it is said that the stock market is not efficient relative to earnings and its components' information. This paper investigates the Rational Pricing of stocks in firms listed in Tehran Stock exchange using earnings and its cash and accruals components from 2002 to 2012. To this end, the non-linear regression analysis using simultaneously equations system and Mishkin (1983) test, are applied. Overall, the results of data analysis show that the pricing of stocks using Accounting Earnings and its components is irrational. In other words, the Tehran capital market is not efficient relative to earnings and its components and do not reflect the mentioned information in stock prices.

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APA: Copy

ALIZADEH, HASSAN, & AFLATOONI, ABBAS. (2018). Investigating the Efficiency of Tehran Stock Exchange in Reflecting the Accounting Earnings and Its Components' Information in Shares Prices: the Mishkin (1983) Test Approach. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 10(39 ), 133-148. SID. https://sid.ir/paper/157349/en

Vancouver: Copy

ALIZADEH HASSAN, AFLATOONI ABBAS. Investigating the Efficiency of Tehran Stock Exchange in Reflecting the Accounting Earnings and Its Components' Information in Shares Prices: the Mishkin (1983) Test Approach. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2018;10(39 ):133-148. Available from: https://sid.ir/paper/157349/en

IEEE: Copy

HASSAN ALIZADEH, and ABBAS AFLATOONI, “Investigating the Efficiency of Tehran Stock Exchange in Reflecting the Accounting Earnings and Its Components' Information in Shares Prices: the Mishkin (1983) Test Approach,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 10, no. 39 , pp. 133–148, 2018, [Online]. Available: https://sid.ir/paper/157349/en

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