Assessment of informational efficiency performance trend of Iranian Capital market with regard to reaction of investors to the information included in financial statements.
Subject Areas : Financial Knowledge of Securities Analysis
Keywords: Informational Efficiency, capital market, Price Movements, Dividend
, 
, per share, Distributed Profit per share, Tobin’s Q, Market efficiency,
Abstract :
Investment as a main element of economic growth and capital marketplays a very important role in allocation of national resources and capitals.The main role of stock exchange is absorption and direction of wanderingresources in economic towards its optimum paths. However this is subject toefficiency of financial markets. In order to achieve mentioned goals, it isnecessary that capital market to be the asset of locative, operational andinformation efficiencies. Market has locative efficiency when it can putavailable capitals in projects and/or companies having relative advantage incountry’s economy in the best manner. Markets with more operationalefficiency have more velocity, accuracy and exchange facilities andtransaction cost is in lowest level. Such type of efficiency will lead toincrease in velocity of realization of assets (negotiable instruments).Informational efficiency means that the public is provided with theinformation. In labor market, share price in stock exchange is determinedwith regard to supply and demand and there is no specific rule that expressthe behavior of share price. This research was conducted to assess the trendof informational efficiency performance of Iranian capital market withregard to reaction of investors to the information included in financialstatements. As different measures have been taken in recent years inoperational environment of Iran Stock Exchange for improvement ofinformational efficiency, it is expected that such measures can improveinformational efficiency in Iranian capital market. In order to examine thishypothesis, the correlation of price movements as reaction index ofinvestors to information included in basic financial statement includingdividend per share, cash dividend per share, going concern value, return oninvestment per share and return on holder of each share, within a six-year period were examined by using the data of 102 companies admitted to IranStock Exchange. The results indicated that correlation among independentvariables with changes in share value during the entire studying years ismeaningless and correlation among variables has not improved with thepassage of time. Therefore, according to theoretical basis, Iranian capitalmarket is appraised inefficient.