The effect of Earning Response Coefficient on the Relationship between Stock Returns Synchronicity with firms Abnormal Return and Abnormal Volume
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
Earning Response Coefficient (ERC) indicates the ability of earnings to explain changes in stock returns. Stock returns synchronicity shows the extent to which market and industry returns can explain changes in stock returns.
In this study, we investigated the effect of Earning Response Coefficient (ERC) on the relationship between stock returns synchronicity with the abnormal return and abnormal volume of stock trading The statistical population of this study consisted of all accepted companies in the securities exchange of Tehran and statistical sample consisted of one 118companies. The data of this study is related to a ten-years period from 1385 to 1394. The data is sorted by year and company and is estimated through using Multivariate Regression Analysis of models and hypotheses of the study were assessed. The results corroborated a negative relationship between the stock returns synchronicity and ERC with abnormal return. There was no significant relationship between stock returns synchronicity and ERC with abnormal volume of stock trading.
In this study, we investigated the effect of Earning Response Coefficient (ERC) on the relationship between stock returns synchronicity with the abnormal return and abnormal volume of stock trading The statistical population of this study consisted of all accepted companies in the securities exchange of Tehran and statistical sample consisted of one 118companies. The data of this study is related to a ten-years period from 1385 to 1394. The data is sorted by year and company and is estimated through using Multivariate Regression Analysis of models and hypotheses of the study were assessed. The results corroborated a negative relationship between the stock returns synchronicity and ERC with abnormal return. There was no significant relationship between stock returns synchronicity and ERC with abnormal volume of stock trading.
Keywords:
Language:
Persian
Published:
Iranian Management Accounting Association, Volume:7 Issue: 26, 2018
Pages:
43 to 56
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