Analysing Investors’ overreaction to the Accruals (Accrulas Anomoly) in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Seyyed Ali  Hosseini ¹ (Assistant professor, Al-Zahra University)
Hojjat  Esmaeilzadeh ² (Ph.D. Student of Accounting, University of Tehran)
MohammadSadegh  Ghaznavi ³ (MSc. Student of Accounting, University of Tehran)

Received: 2015-01-13 Accepted : 2015-05-09 Published : 2015-05-09

Keywords: Market inefficiency, Accrual anomaly, abnormal return,

Abstract :

In the following research, investors’ overreaction to accruals is investigated in Tehran Stock Exchange through the years of 1384 to 1390. In order to analyze investors’ overreaction, we use the relation between current year accruals and the successive year abnormal returns. In measurement of accruals, Sloan model for working capital have been used. Abnormal return is calculated by the difference between actual return of each year and average of two past years return. Results of this study show that in Tehran stock exchange, investors overreact to accrulas and this betoken as accruals anomaly. Accruals anomaly is categorized in market inefficiency studies, because it shows the ability of gaining abnormal return if someone gobble up information.