Investigating the Market reaction to Disclosure of Important Information

According to article #13 of information disclosure instruction for the firms listed in Tehran Stock Exchange, publishers are charged to disclose the important information immediately. This research investigates the market reactions to disclosure of the important information as mentioned article. Research method is event-study using content analysis. In this regard 213 announcements which published during 2010-2016 was investigated and categorized into 3 categories: Positive, Negative and Clarifier. In this research, Cumulative Abnormal Returns was measured for short-term windows of weekly (-1, ), 5-days (-1, ), 3-days (-1, ), one day (announce day), 2-days (0 , -1) and weekly (-5, ). The results show that the investors had a significant positive reaction to negative announcements before announce and no significant reaction after announce. Also, investors had a significant positive reaction to positive and clarifier announces.