Efficiency of Tehran Stock Exchange in Accounting Earnings and Stock Prices with Product Market Competition: A Mishkin Test Analysis
Subject Areas : Mathematical Methods in Financial, Physical, Biological, Social, and Behavioral Sciences.
Asghar Karimi Khorrami
1
,
Fatemeh Mir
2
,
Shekoufeh Nekoueizadeh
3
1 - Department of Accounting, Abarkooh Branch, Islamic Azad University, Abarkooh, Iran
2 - Department of Accounting, Abarkooh Branch, Islamic Azad University, Abarkooh, Iran
3 - گروه حسابداری، دانشگاه آزاد اسلامی واحد فیروز آباد، فیروز آباد، ایران.
Keywords: Earnings Components, Product Market Competition, Market Efficiency, Mishkin Test ,
Abstract :
Accounting earnings and their components play a crucial role in stock pricing, making them the most significant accounting items. When investors are unable to achieve abnormal returns by utilizing this information, it indicates that the capital market has efficiently incorporated accounting earnings information into stock pricing, thus rendering stock pricing rational. This research aims to examine the market's response to accounting earnings components in stock pricing while considering the moderating impact of product market competition. The statistical population of this study comprises companies listed on the Tehran Stock Exchange from 2012 to 2020, with a sample of 111 companies selected through systematic elimination. Hypothesis testing involved the use of non-linear regression analysis, simultaneous equations system, and the Mishkin test. The research findings demonstrate the rationality of stock pricing through the utilization of accounting earnings components and the moderating influence of product market competition. In essence, the capital market exhibits efficiency in assessing the effect of product market competition on the predictive ability of cash and accrual components for one-year-ahead earnings.
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