تاثیر ریسک اطلاعات و هزینه های معاملات بر واکنش بازار به اعلان سود

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار حسابداری دانشگاه الزهرا

2 کارشناس ارشد حسابداری دانشگاه الزهرا

چکیده

هدف این تحقیق، بررسی تأثیر ریسک اطلاعات و هزینه‌های معاملات بر واکنش بازار به اعلان سود می‌باشد. نمونه مورد بررسی شامل 828 داده شش ماهه-شرکت مربوط به 69 شرکت پذیرفته شده در بورس اوراق بهادار در بازه زمانی شش ماهه اول سال 1387 تا شش ماهه دوم سال 1392 می‌باشد. فرضیات تحقیق با استفاده از روش گشتاورهای تعمیم یافته داده‌های تلفیقی پویا بررسی شدند. یافته‌های تحقیق نشان می‌دهند که در شش ماهه اول، ریسک اطلاعات رابطه معنادار و معکوسی با واکنش بازار به سود غیرمنتظره دارد، ولیکن در دوره سالانه، رابطه معناداری بین این دو متغیر برقرار نمی باشد. از طرفی، در دوره سالانه، هزینه‌های معاملات رابطه معنادار و مستقیمی با واکنش بازار به سود غیرمنتظره دارند، ولیکن در شش ماهه اول، رابطه معناداری بین این دو متغیر برقرار نمی باشد. به عبارت دیگر، یافته‌های این تحقیق نشان می‌دهند که سرمایه‌گذاران برای فاکتورهای مالی نظیر ریسک اطلاعات و هزینه‌های معاملات، کمتر از فاکتورهای غیرمالی، اهمیت قائلند.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Effects of Information Risk and Transaction Costs on Market Reaction to Earnings Announcement

نویسندگان [English]

  • Shahnaz Mashayekh 1
  • farzaneh akbari 2
2 komak hesabres-moasese tadvin va hamkaran
چکیده [English]

This research examines effects of information risk and transaction costs on market reaction to earnings announcement. The sample includes 828 earnings announcement of 69 firms listed in Tehran Stock Exchange in the period from the first half of the year 2008 to the second half of the year 2013.The research hypotheses are tested using GMM dynamic panel data method. The research findings show that in the first half of the year, information risk has a significant negative relation with the market reaction to unexpected earnings; however, in the whole year period, there is no significant relation between these two variables. On the other hand, in the whole year period, transaction costs have a significant positive relation with the market reaction to unexpected earnings, however; in the first six months, there is no significant relation between these two variables. In other words, findings indicate that investors pay more attention to non-financial factors such as political and economic factors than financial factors such as information risk and transaction costs.

کلیدواژه‌ها [English]

  • Information Risk
  • Transaction costs
  • market reaction to earnings announcement
  • GMM

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