This paper examines how commonly used earnings quality measures fulfill a key objective of financial reporting. We predict that Firms with higher earnings quality will be less mispriced than other firms. Mispricing is measured by the difference of the mean absolute excess returns of portfolios formed on high and low values of a measure. Our sample is consists of 110 companies of those listed in TSE between 2009 to 2013. The results showed that the debt ratio, company size and sales growth have no significant effect on earnings quality.While return on assets, profits and cash flows as a measure of profitability, have a direct impact on earnings quality. However, accruals, depending on the type used in various models have a direct effect, or no effect is reversed.

In this research relationship between earning quality and excess returns in the Tehran Stock Exchange (TSE) was investigated. Indeed, this research aimed to investigate “ whether earning quality have significant role in market response relative to mispricing and its result on excess returns or not. Therefore, foremost, 59 company for time period 2002-2015 was selected then, those companies earning quality was measured by using eight measures including: earning persistence, earning predictability, earning volatility, accruals relative to the volatility of operating cash flows, abnormal accruals, accruals quality, earning response coefficient and value relevance and in final relationship between earning quality and excess returns of companies with high earning quality and low earning quality was investigated. Result indicated that relationship between many measures of earning quality and excess returns are insignificant. Specifically, from measures of earning quality, only earning volatility and accruals related to the volatility of operating cash flows have significant relationship with excess returns.

Tehran Stock Exchange has not lived and somewhat inefficient. Mechanisms and rules governing this market is still not implemented in such a way that the quality of data and information provided by member companies to deliver optimal. and suffered not because of pricing errors. Probably the most attention of users of financial statements, the income statement is focused on the lowest row. In the eyes of most, profit accounting tool for making logical decisions In general indicates that measures the quality of earnings on excess stock returns based on Fama and French three-factor model, taking into account the trend of stock prices of listed companies on Tehran Stock Exchange, is impressive.In this study of four indicators to measure earnings quality, earnings stability, predictability of earnings, accruals quality and smoothing was used as the four hypothesis that the effect of these measures on additional efficiency gains from the difference between the real Return expected return achieved was measured and the results of the test showed that the hypothesis were accepted theories, the literature cited in the literature and theoretical framework also matched.

Abstract Capital market anomalies are caused by factors that have not been considered in capital asset pricing models. One of the arguments for explaining anomalies is the theory of extreme value. According to the theory of extreme value, tail risk is an adverse event that can have a negative impact on excess stock returns. Therefore, the aim of the present study was to investigate the effect of combining momentum anomalies and idiosyncratic risk with tail risk on excess stock returns. In the present study, two criteria of cumulative tail risk and combined covariance tail risk have been used to calculate tail risk. The sampling method in this study is systematic elimination and the time period of the research years from 2007 to 2019 has been selected. The number of sample companies includes 136 companies listed on the Tehran Stock Exchange (TSE) and the 5-factor regression of Fama and French was used to test the research hypotheses. The results indicate that the combination of idiosyncratic risk portfolio and tail risk has a positive and significant effect on excess stock returns. Therefore, by combining this portfolio, investors can gain returns in the Iranian capital market. Also, the results showed that the combination of momentum portfolio and tail risk does not lead to excess stock returns. In general, the results showed that tail risk can be used to explain the existence of idiosyncratic risk anomalies.

Tehran Stock Exchange has not lived and somewhat inefficient. Mechanisms and rules governing this market is still not implemented in such a way that the quality of data and information provided by member companies to deliver optimal. and suffered not because of pricing errors. Probably the most attention of users of financial statements, the income statement is focused on the lowest row. In the eyes of most, profit accounting tool for making logical decisions. The hypothesis of this study are as follows: First hypothesis: Earnings Persistence on the absolute value of the excess return a negative influence. The second hypothesis: Earnings Predictability on the absolute value of the excess return a negative influence. Hypothesis: smoothing on the absolute value of the excess return a negative influence. The fourth hypothesis: quality accruals on the absolute value of the excess return a negative influence. Finally, considering conditions and above limitations, among all companies accepted in Tehran Stock Exchange, 86 companies were selected during 2005 to 2015. Also, to analyze data and estimate research models, ordinary squares regression model of panel data in common effects method, permanent effects or random effects are used. In this regard, to analyze data and calculate research variables, excel software 2010, and perform statistical tests, and for final analyses, views software, version 7, were applied. In general indicates that measures the quality of earnings on excess stock returns based on Fama and French three-factor model, taking into account the trend of stock prices of listed companies on Tehran Stock Exchange, is impressive. In this study of four indicators to measure earnings quality, earnings stability, predictability of earnings, accruals quality and smoothing was used as the four hypothesis that the effect of these measures on additional efficiency gains from the difference between the real Return expected return achieved was measured and the results of the test showed that the hypothesis were accepted theories, the literature cited in the literature and theoretical framework also matched.

Objective: Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function. Although such events have a very low occurrence probability, they would cause significant losses in case of occurrence. This research aims at examining the cross-sectional effects of left-tailed risk on expected excess returns. The present research also examines the probability of the persistence of left-tiled risk in the future. Methods: In this research two proxies of value at risk and expected shortfall are used to measure left-tailed risk. For this purpose, a sample of 120 companies listed in the Tehran stock market in the period of the years 2010-2017 have been selected. Research hypotheses were examined with the use of Fama and Macbeth regression. Transition matrix was used to determine the probability of left-tailed risk persistence in the future. Results: According to the findings of the research, left-tailed risk has a significant and negative effect on the expected excess returns. The findings also suggested that the negative returns of the left tail will have a persistence probability of over 50% in the future. Conclusion: The findings of the present research illustrate a new anomaly in the financial area, which is the negative effect of left-tail risk on the expected excess returns, and persists in the future.

 AbstractPredicting stock returns is one of the main concerns of investors, because by this means they can get higher returns at a certain level of risk. Analyzing the information content in financial statements leads to increase the investor learning and changing the signaling of profit. This change can cause investors to change their perspective in using alternative measures of net income, such as gross profit and operating profit, and affect the acquisition of excess stock returns. Therefore, the purpose of this research is to compare the signaling of net income, gross profit and operating profit and compare the effect of profit on the excess returns in companies listed in the Tehran Stock Exchange. The research hypotheses are tested by regression analysis based on panel data, the five-factor model of Fama French (2015) and using the sample data includes 135 companies Listed in Tehran Stock Exchange. The results revealed that the net income signals are higher than the operating profit. The research result also indicates the net income signals are higher than the gross profit. Another result shows that net income has a greater ability to generate excess stock returns than gross profit and operating profit.

Recent behavioral asset pricing models and the popular press suggest that investors may follow similar strategies resulting in crowded equity positions to push prices further away. The purpose of this research is to investigate the effect of Individual Stock Crowded Trades and Individual Stock Investor Sentiment on Excess Returns. This paper develops a new approach to measure individual stock crowded trades, and further investigates the joint effects of individual stock crowded trades and individual stock investor sentiment on excess returns. To achieve this goal, two hypotheses were developed. The population consisted of all companies listed in Tehran Stock Exchange. To test the hypotheses, using a systematic method, 186 companies were selected during the years 2013-2017. Multiple regression and panel data have been used to analyze the data. The results of the research hypotheses show that changes in Individual stock investor sentiment in Tehran Stock Exchange market are effective on Excess stock. In Individual stock crowded trades changes in the swing in the stock market lead to a change in Excess stock.

The behavioral finance perspective shows that some changes in stock prices are dependent on the emotional reasons of investors. The emotional behavior of investors leads to returns in stocks. The purpose of this research is to investigate the mediating effect of conservatism on the relationship between investor sentiment and excess returns. The statistical population of the research included all the companies admitted to the Tehran Stock Exchange, based on the conditions considered (systematic elimination method), 2767 companies were selected during the period of 2010-2020. The results of the research hypotheses test showed that there is a negative relationship between investor sentiment and conservatism and between investor sentiment and abnormal returns, but the role of conservatism as a mediating variable between investor sentiment and excess returns has not been confirmed. Changes in investors' sentiments lead to the identification of risks and opportunities related to changes in the company's behavioral factors and provide conditions for improving the companies' performance. Keywords: conservatism, excess return, investor sentiment, information asymmetry.  Introduction: Return is the most important issue that is taken into account in making decisions,getting abnormal returns is one of the main concerns of investors. Since investors expect high returns, stock returns are the most important indicators for evaluating companies' performance. When this index decreases, It is a danger signal for the company and does not show the performance of the company at the appropriate level. If investors do not pay attention to abnormal returns, they will face problems, And they may turn away from the company. Shareholders consider conservatism as a monitoring method to reduce abnormal returns. Among the factors that can affect abnormal returns is investor sentiment, investor sentiment can be conceptualized as a belief about risk and return that is not justified by reality. This research seeks to answer the question of whether investor sentiment with the mediating role of conservatism has an effect on abnormal returns or not. By examining the backgrounds, this issue has not been worked on despite the mediating role of conservatism inside and outside, and considering the relevant limitations, 2767 companies, 377 companies from the Tehran Stock Exchange were examined as models. Therefore, the purpose of this research is to investigate the mediating effect of conservatism on the relationship between investor sentiment and abnormal returns.  Method and Data: In terms of dimension, this research is a developmental goal and the nature of original research, and the method of measuring the variables is as follows: from the 6-factor model of Fama and French (2018) to measure excess returns, and from the relative strength index (RSI), the psychologist's line index (PLI), trading volume index (VOL) and adjusted stock turnover rate (ATR) have been used to measure investor sentiment, as well as the Khan and Watts (2009) model for conservatism criteria. The information required for this research is taken from the financial statements of 2767 years-companies, companies listed on the Tehran Stock Exchange in the return 2010-2020. More than one method is used to collect information. In this research, part of the information was taken directly from codal, tsetmc, tse, financial statements and another part from the stock exchange library, and by transferring the information to Excel and Stata software, these data were analyzed and their results were presented. Findings: The dependent variable was investigated using two methods, cumulative average and arithmetic average, In the arithmetic mean method, its analysis is as follows, Investor sentiment has a negative and significant effect on abnormal returns, and in the cumulative average method, investor sentiment has a negative and significant effect on excess returns,And the first research hypothesis is confirmed. The results of the second hypothesis test indicate that investor sentiment has a negative and significant effect on conservatism, and the research hypothesis is confirmed. In the third hypothesis, investor sentiment has a negative and significant effect, But conservatism does not have a significant effect on the relationship between investor sentiment and excess returns, thus the mediation is rejected. The results of the additional test (Givoly and Hayn) are the result of the fact that in the first hypothesis, in both methods, investors' tendencies have a negative and significant effect on the excess return, the first hypothesis of the research is confirmed. In the second hypothesis, investor sentiment has a negative and significant effect on conservatism, and the second hypothesis of the research is confirmed. The third hypothesis, in the arithmetic mean method, investor sentiment has a negative and significant effect on excess returns, and conservatism does not have a significant effect on the relationship between investor sentiment and excess returns. In this method, the third hypothesis is rejected, But in the cumulative average method, the conservatism variable has a significant effect on the relationship between investors' willingness and excess returns, thus the mediation is rejected.  Conclusion and discussion: As stated, the purpose of this research is to investigate the mediating effect of conservatism on the relationship between investor sentiment and excess returns. The result of the test of the first hypothesis of this research is based on the negative relationship between investor sentiment and excess return, in such a way that with the increase of investor sentiment, the company's excess return decreases. The result of this research is contrary to the research of Jolanjad & et al (2021), Madnachi & et al (2018). The second hypothesis of the research indicates that there is a negative and significant relationship between investor sentiment and conservatism. This result is contrary to the research of Ge et al(2018). But in the test of the third hypothesis by adding conservatism (mediating variable) to the model, contrary to the theoretical foundations of the research, conservatism does not exist as a mediating variable between investor sentiment and excess returns. And the third research hypothesis is rejected

The nature of each investment is not something but to make more profit and more returns for investors. Accordingly, shareholders always seek to control the potential risks of investment through better market intelligence. Nevertheless, excess stock returns volatility caused by impairment in predicting expected returns do not allow investor perceptions in a market to be unified, and most decisions will be affected by emotions even at higher horizons. The purpose of this research is to investigate the effect of excess stock returns volatility on heterogeneous perceptions of investors with the mediating role of investment horizons. The statistical population of the research is the companies listed at the Tehran Stock Exchange. By systematic elimination sampling, 89 companies were selected as the sample that was studied during the period 2013 to 2017. In this research, due to the dummy nature of the dependent variable, logistic regression was used to test the research hypotheses. The results showed that the effect of excess stock returns volatility on investors’ heterogeneous perceptions is positive and significant. It was also found that investment horizons exacerbated the positive impact of excess stock returns volatility on investors’ heterogeneous perceptions.