Investigating Investors' Reaction to firms’ Annual Earnings Announcement with considering the market uncertainty and information uncertainty

Under uncertainty, there is an ambiguity about future state of the firms and capital market. In this situation, the arrival of any information signals such as earnings announcements may reduce uncertainty and leads to a revision of the previous beliefs of investors. However, more accurate information signals have a stronger effect on investors' beliefs. The purpose of this study is investigating investors’ reaction to earnings announcement with considering market and information uncertainty. Required data collected from a sample of 162 companies listed in the Tehran Stock Exchange during 1384 to 1394. Hypotheses were examined by using panel data and regression method. Results showed the higher market uncertainty, the more investors' response to firms’ earnings announcements. Results show, the higher information uncertainty, the less investors' response to firms’ earnings announcements. Moreover simultaneous analysis of the "market and information" uncertainty on the investors' reactions to earnings announcements showed although investors' responses to earnings announcements decreases on the high information uncertainty situation, but unexpectedly, the coefficient of unexpected earnings in the high market uncertainty is less than its coefficient in the low market uncertainty.