The Study of the Effect of Fraction Resulted of Bad News on Stock Returns Emphasizing the Regulatory Power of Information Disclosure Policies

Subject Areas : Financial Mathematics

Mahbobeh  Eibakabadi ¹ (Department of Economics & Accounting , South Tehran Branch, Islamic Azad University, Tehran, Iran)

Received: 2017-02-12 Accepted : 2017-03-20 Published : 2017-06-01

Keywords: Stock Returns, Fraction of bad news, Regulatory power,

Abstract :

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.

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