چکیده:
The current study aims to investigate the relationship between stock liquidity risk and financial information quality criteria (i.e. the timely dividends announcement, accruals quality and the percentage of profitability prediction error) of companies listed on the Tehran Stock Exchange. For this purpose, 148 cases of data from listed companies, collected from 2007 to 2012, were employed in order to test the hypotheses during 2007-2012. The results of the study reveal that there is a significant relationship between liquidity risk (the dependent variable) with quality of accruals, percentage of profitability prediction error and timely dividends announcement (independent variables). High levels of accruals quality and timely dividends announcement, cause reduction in stock's liquidity risk, and high percentages of profitability prediction error increase the stocks' liquidity risk.
خلاصه ماشینی:
Department of accounting, Islamic Azad University of Mashad, Mashad, Iran (Received: 27 March, 2014; Revised: 13 March, 2015; Accepted: 21 March, 2015) Abstract The current study aims to investigate the relationship between stock liquidity risk and financial information quality criteria (i.
The results of the study reveal that there is a significant relationship between liquidity risk (the dependent variable) with quality of accruals, percentage of profitability prediction error and timely dividends announcement (independent variables).
Jeffrey (2011) states that the stocks' liquidity risk is defined as the sensitivity of stock returns to unexpected changes in stock market liquidity, and the criteria used for the quality of financial information include accruals quality, the percentage of profitability prediction and timely dividends announcement (dividends announcement is timely if released before July, the 22nd, 2007).
Measuring Research Variables Stock liquidity risk: Pastor and Stambaugh (2003) stated that it can be measured by estimating the co variation of a firm’s stock returns to unexpected changes in aggregate liquidity (i.
Finally, Ut in the above-mentioned model represents unexpected changes in market liquidity that weighted up through being divided by 100 and liquidity factor is thus obtained: (6) Independent variables (measures of data quality): Accruals Quality: To measure the accruals quality based on Dechow & Dichev (2002), hysteresis model is calculated as: (7) TCAi,t= Total accruals in year "t" for control firm "i".
The results indicate that there is a statistically significant relationship between the quality of accruals and stock liquidity risk.