INVESTIGATING THE RELATIONSHIP BETWEEN ACCOUNTING RATIOS AND SKEWNESS OF STOCK RETURN TO EXPLAIN THE GROWTH AND VALUE STOCKS ANOMALY

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KHAJAVI SHOKROLLAH; FAAL GHAUMI ALI

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Paper Information

Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2017 | Volume:23 | Issue:4 Page(s): 461-482

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Title

INVESTIGATING THE RELATIONSHIP BETWEEN ACCOUNTING RATIOS AND SKEWNESS OF STOCK RETURN TO EXPLAIN THE GROWTH AND VALUE STOCKS ANOMALY

Author(s)

KHAJAVI SHOKROLLAH | FAAL GHAUMI ALI | Issue Writer Certificate

Keywords

BOOK TO MARKET RATIOQ2

GROWTH AND VALUE STOCKS ANOMALYQ2

SKEWNESSQ2

STOCK RETURNQ2

Abstract

This research aims to explain the GROWTH AND VALUE STOCKS ANOMALY by the relationship between accounting ratios and SKEWNESS of STOCK RETURN distribution. Then, the data of 89 companies listed in the Tehran Stock Exchange are collected and analyzed for 2009 to 2013. Furthermore, the fixed effect panel data method is used to examine the hypothesis. The results show that there is a negative and significant relationship between SKEWNESS and BOOK TO MARKET RATIO.This reveals the information content of financial statement ratios in Tehran Stock Exchange. Moreover, the SKEWNESS affects on difference between growth and value STOCK RETURN. However, due to lack of GROWTH AND VALUE STOCKS ANOMALY in the research sample, results isn’t (is not) supported empirical model.

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APA: Copy

KHAJAVI, SHOKROLLAH, & FAAL GHAUMI, ALI. (2017). INVESTIGATING THE RELATIONSHIP BETWEEN ACCOUNTING RATIOS AND SKEWNESS OF STOCK RETURN TO EXPLAIN THE GROWTH AND VALUE STOCKS ANOMALY. THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 23(4 ), 461-482. SID. https://sid.ir/paper/8171/en

Vancouver: Copy

KHAJAVI SHOKROLLAH, FAAL GHAUMI ALI. INVESTIGATING THE RELATIONSHIP BETWEEN ACCOUNTING RATIOS AND SKEWNESS OF STOCK RETURN TO EXPLAIN THE GROWTH AND VALUE STOCKS ANOMALY. THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2017;23(4 ):461-482. Available from: https://sid.ir/paper/8171/en

IEEE: Copy

SHOKROLLAH KHAJAVI, and ALI FAAL GHAUMI, “INVESTIGATING THE RELATIONSHIP BETWEEN ACCOUNTING RATIOS AND SKEWNESS OF STOCK RETURN TO EXPLAIN THE GROWTH AND VALUE STOCKS ANOMALY,” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 23, no. 4 , pp. 461–482, 2017, [Online]. Available: https://sid.ir/paper/8171/en

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