ACCOUNTING QUALITY, STOCK PRICE DELAY AND FUTURE STOCK RETURNS

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HASAS YEGANEH Y.; OMIDI E.

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Journal: JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL Year:2014 | Volume:11 | Issue:42 Page(s): 31-58

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Title

ACCOUNTING QUALITY, STOCK PRICE DELAY AND FUTURE STOCK RETURNS

Author(s)

HASAS YEGANEH Y. | OMIDI E. | Issue Writer Certificate

Keywords

STOCK PRICE DELAYQ2

FUTURE STOCK RETURNSQ1

ACCOUNTING QUALITYQ2

ACCRUAL QUALITYQ2

PERSISTENTQ2

VALUE RELEVANCEQ2

Abstract

In this paper, the relation between the quality indexes of accounting information and the STOCK PRICE DELAY and also the FUTURE STOCK RETURNS and the STOCK PRICE DELAY have been studied as a first and second groups of hypotheses respectively. In the most investigations which have been conducted on the relation between the accounting variable and the stock price, the market efficiency hypothesis has been accepted. Therefore, the most investigations of the economical environment of Iran have been conducted base on this hypothesis. Accordingly, on the one hand the effect of the quality indexes of accounting information on the STOCK PRICE DELAY and in the other hand the effect of the STOCK PRICE DELAY on the FUTURE STOCK RETURNS have been surveyed. In the first groups of hypotheses, the STOCK PRICE DELAY was considered as dependent variable and three ACCOUNTING QUALITY indexes which were included ACCRUAL QUALITY, VALUE RELEVANCE and PERSISTENT were considered as independent variables. In the second groups of hypotheses, the future stock return and the STOCK PRICE DELAY were considered as dependent and independent variable respectively. In this study, data of 66 accepted companies in Tehran Stock Exchange were collected in period of 2006-2011. Data has been analyzed by multiple variable regression models and correlation coefficient. Moreover, Hou and Moskowitz model has been applied for operating definition and measuring of the STOCK PRICE DELAY. Results show that the ACCRUAL QUALITY has direct relation whit the STOCK PRICE DELAY and the VALUE RELEVANCE has indirect relation whit the STOCK PRICE DELAY. There is not significant relation between the PERSISTENT and the STOCK PRICE DELAY. Furthermore, it has been observed that the STOCK PRICE DELAY cannot explain unusual FUTURE STOCK RETURNS for the second groups of hypotheses.

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APA: Copy

HASAS YEGANEH, Y., & OMIDI, E.. (2014). ACCOUNTING QUALITY, STOCK PRICE DELAY AND FUTURE STOCK RETURNS. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, 11(42), 31-58. SID. https://sid.ir/paper/242285/en

Vancouver: Copy

HASAS YEGANEH Y., OMIDI E.. ACCOUNTING QUALITY, STOCK PRICE DELAY AND FUTURE STOCK RETURNS. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL[Internet]. 2014;11(42):31-58. Available from: https://sid.ir/paper/242285/en

IEEE: Copy

Y. HASAS YEGANEH, and E. OMIDI, “ACCOUNTING QUALITY, STOCK PRICE DELAY AND FUTURE STOCK RETURNS,” JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, vol. 11, no. 42, pp. 31–58, 2014, [Online]. Available: https://sid.ir/paper/242285/en

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