A Model Explaining the Informational Efficiency of Stock Price Based on Various Stock Price Adjustment Speed Approaches
Mohammad Naghizadeh
1
(
phd student, accounting department, Tabriz branch, Islamic Azad University, Tabriz, Iran.
)
Younes Badavar Nahandi
2
(
Associate Professor, Department of Accounting, Tabriz Branch, Islamic Azad University, Tabriz, Iran.
)
Rasoul Baradaran Hassanzadeh
3
(
Associate Professor, Department of Accounting,Tabriz Branch, Islamic Azad University, Tabriz, Iran.
)
Ali Asghar Mottaghi
4
(
Assistant Professor. Department of Accounting, Tabriz Branch, Islamic Azad University, Tabriz, Iran.
)
Keywords: Stock price synchronicity, Information Efficiency of Stock Price, Speed of Stock Price Adjustment, Stock Intrinsic Value, Firm Specific Information,
Abstract :
Knowing the information efficiency in stock markets and the speed with which stock markets incorporate information flow into asset prices is very important for stakeholders. The present study tried identifying and explaining the factors affecting the information efficiency of stock prices, investigating the efficiency of stock prices and providing an explanatory model for it in the Tehran Stock Exchange since 2011 to 2021. So, by investigating the literature reviews and analyzing experts’ perspectives, 65 variables were identified, and classified into 12 groups (economic variables, industry, quality of financial information, risk, market, corporate governance, regulatory, political, managerial, functional, financial limitation and company strategies). To measure the information efficiency of the stock price, the speed of the stock price adjustment in reaching the intrinsic value, the reaction to the general market information and the specific company information have been used. To identify the influential variables and provide a model explaining the efficiency of stock price information, the path analysis method was used in M_PLUS software. The models based on the stock price adjustment speed approach in reaching the intrinsic value had the explanatory power of 64 and 52 percent. The model based on the adjustment speed approach in response to general market information and the model based on the adjustment speed approach to company-specific information have an explanatory power of 74 and 64 percent. The current research, is considered an important step to help improve the level of efficiency of the country's stock market.