The Study of the Effect of Fraction Resulted of Bad News on Stock Returns Emphasizing the Regulatory Power of Information Disclosure Policies
محورهای موضوعی : Financial Mathematics
Mahbobeh Eibakabadi
1
(Department of Economics & Accounting , South Tehran Branch, Islamic Azad University, Tehran, Iran)
کلید واژه: Stock Returns, Fraction of bad news, Regulatory power,
چکیده مقاله :
This study aimed to investigate the effect of fraction resulted of bad news on stock returns emphasizing the regulatory power of information disclosure policies that for this goal, the study population is consisted of the companies listed on the Tehran Stock Exchange during a five years' period (2010-2014). Data of selected statistical sample using systematic elimination method has been collected from 122 companies. This study objectively is a practical research. In terms of type of research design because of relying on historical data, is ex post facto and its inference method is inductive and in correlation type. This study includes six main hypotheses. In this study to assess the hypotheses, the linear regression has been used. To analyze the data and test hypotheses, the EVIEWS software is used. the results of this study suggest that the fraction resulted of bad news has an effect on stock returns, abnormal cumulative returns and the stock crash risk, as well as the fraction resulted of bad news has an effect on the interaction of regulatory power of information disclosure policies, stock crash risk, the abnormal cumulative returns and stock returns.
[1] Conrad, J., Cornell, B., Landsman, W.R., When is bad news really bad news? Journal of Finance, 2002, 57(6): P. 2507–2532.
[2] Cueto, D.C., Market Liquidity and Ownership Structure with weakprotection for minority shareholders: evidence from Brazil and Chile, 2009.
[3] Diamond, D., Verrecchia, R., Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics, 1987, 1(8), P. 277-311.
[4] Friedmann, R., Sanddorf-Köhle, W.G, Volatility Clustering and Nontrading Days in Chinese Stock Markets. Journal of Economics and Business, 2002, 5(4): P. 193–217.
[5] Healy, P., Palepu, K., Information Asymmetry, CorporateDisclosure, and the Capital Markets: A Review of the EmpiricalDisclosure Literature. Journal of Accounting & Economices, 2001, 3(1): P. 405-440.
[6] Henry, O., Modelling the Asymmetry of Stock Market Volatility. Applied Financial Economics, 1988, 8(2): P. 145-153.
[7] Hermalin, B., and Weisbach, M., Transparency and Corporate Governance. Unpublished paper, University of California at Berkeley, 2007.
[8] Hutton, A.P., Marcus, A. J. & Tehranian, H, Opaque financialreports, R2, and crash risk. Journal of Financial Economics, 2009, 9(4): P. 67- 86.
[9] Kasznik, R., Lev, B., To Warn or Not to Warn: Management Disclosures in the Face of an EarningsSurprise. The Accounting Review, 1995, 70(5): P. 113–34.
[10] Kothary, S.P., Shu, S., Wysocki, P., Do managers withhold badnews? Journal of Accounting Research, 2009, 47(1): P. 241-276.
[11] LaFond, R. Watts, R., The Information Role of Conservatism, The Accounting Review (forthcoming), 2008.
[12] Leuz, C., Schrand, C., Disclosure and the cost of capital: Evidence from firms’ response to the Enron shock. SSRN eLibrary, 2009.
[13] Mehrani, C., Nonahal, A., Assessment less than expected investors response in the Tehran Stock Exchange, Accounting and auditing Reviews, 2005, 15(54): P. 117-136.
[14] Mehrara, M., Abduli Q., The role of good and bad news in the Iran stock returns volatilities, Iranian Economic Researches, 2008, 8(26): P. 25-40.
[15] Nelson, D.B., Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 1991, 59(3): P. 347–370.
[16] Pagan, A.R., Schwert, G.W., Alternative Models for Conditional Stock Volatility. Journal of Econometrics, 1990, 45(6): P. 267–290.
[17] Rezazadeh, J., Azad, A., The relationship between information asymmetry and conservatism in financial reporting, Accounting and auditing Reviews, 2009, 15(54): P. 63-80.
[18] Rubin A., Ownership level, ownership concentration and liquidity. Journal of Financial Markets ,2007, 10(3): P.219–248.
[19] Shah Alizadh, B., The difference between the buy and sell bid price and stock flow velocity, market returns and transactions size, The third national conference and the third international conference of management and accounting of Iran, Hamadan, 2010.
[20] Skinner, D., Why Firms Voluntarily Disclose Bad News? Journal of Accounting Research, 2009, 32(8): P. 38–61.
[21] Subasi, M., Asymmetric stock price reaction to good vs. bad newsdisclosure: Manager’s incentives to withhold bad news. FMA Annual Meeting, University of Missouri at Columbia, 2011.
[22] Suijs, J., Voluntary Disclosure of Bad News. Journal of Business Finance & Accounting, 2005, 32(7): P.306-686.
[23] Verrecchia, R.E., Information quality and discretionary disclosure, Journal of Accounting and Economics, 1990,1(2): P.365-380.
[24] Yermack, D., Good Timing: CEO Stock Option Awards and Company News Announcements. Journal of Finance, 1997, 52(9): P.449–746.
