نویسندگان
1 دانشگاه بین المللی امام خمینی
2 مرکز آموزش عالی رجاء
3 دانشگاه تهران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Capital markets react to various corporate announcements, and one such significant announcement is the accounting earnings announcement. If the market is efficient, stock price is near to fair value. Otherwise, the gap between value and price widens and investors could earn abnormal return. Market reaction to the firm news may be from the type (1) Rapid reaction (information predicted before announcement), (2) Efficient reaction (at time of announcement), and (3) Under-Reaction (after announcement) and (4) Over-Reaction (after announcement). If the market is efficient, stock price nears the fair value. When the market is not efficient, the incorrect investors’ decisions change the stock price less than or more than expected.
In this study, the under-reaction of investors is investigated using the stochastic frontier model. In the under-reaction hypothesis, the stocks that have had a strong performance in the past are purchased and the stocks that had a weak performance are sold. To conduct our study, the data of 90 firms that are listed in the Tehran Stock Exchange, during the period of 2001-2010, were analyzed, using the stochastic frontier model. Evidence shows that investors react to the news of accounting earnings less than expected.
کلیدواژهها [English]