چکیده:
Released information in stock markets plays an important role in making decisions by
agents like brokers, investors and other market activists. Rational decision-making in
these markets will be possible if relevant and significant information is being released
on-time. Otherwise, transparency and equality in the market is compromised. This study
aims to respond to the question of whether officially released information about major
increase in Predicted Earnings per Share (PEPS) in Tehran Stock Exchange (TSE) is
significant and affects the growth of shares prices. For this purpose, we selected 30
official announcements of significant increases in PEPS for 30 companies from early
2012 to early 2015. This sample gathered from a set of over 2000 announcements.
Findings of a Dynamic Panel Data model based on Arbitrage Pricing Theory (APT) and
Generalized Method of Moments (GMM) estimation method show that official release of
information has no significant effect on shares prices. It means that the information maybe
has affected the prices before its official publication, so, it is needed to prepare good
conditions for information to be released on time and effectively in TSE.
خلاصه ماشینی:
Among first and most important ones, is Roll and Ross (1980) that considered four factors as: Industrial products growth rate, inflation, deference between short and long term interest rate and difference between returns on different bonds to explain systematic risk in New York Stock Exchange (NYSE).
In this paper, based on data frequency we use two other main determinant factors among several factors in addition to official publication of information on EPS to explain returns on shares: Exchange rate as an explanatory factor for returns on substitute markets or opportunity cost for holding shares, and growth rate of Tehran Stock Exchange Price Index (TEPIX) as an explanatory factor for systematic risk.
Shehzad and Ismail (2014) considered the relationship between accounting information and share prices of banks in the Karachi stock market.
As mentioned before, based on daily data frequency, we use two other main determinant factors in addition to official publication of information on EPS to explain returns on shares: growth rate of Tehran Stock Exchange Price Index (TEPIX) as an explanatory factor for systematic risk and Exchange Rate as an explanatory factor for returns on substitute markets or opportunity cost for holding shares.
This paper studied the effect of official publications of major increases in PEPS on the growth of shares prices in Tehran Stock Exchange.
Findings of a Dynamic Panel Data model based on APT showed that official release of information about PEPS has no significant effect on the growth of shares prices.