An Investigation on the Usefulness of Accounting Variables in Measuring Abnormal Return of stock in event Studies

This paper investigates the application of accounting variables in measuring abnormal return of stock in event studies. In order to calculate the expected return three type of measures are employed including measures based on accounting variables، market variables and firm size. For evaluation of usefulness of these measures in measuring abnormal return and comparing them together، three test statistics are applied including test statistic of Patell، Boehmer et al. and cross-sectional. The research sample is consisted of 183 firms in which the time period of (Iranian calendar) 1385:1389 is selected to measure the variables. Also، the abnormal return is calculated by selecting 250 portfolios including 50 elements. The results of simulation denotes that the power of statistics based on accounting variables in measuring abnormal return is similar to market variables. The power of all statistics for rejecting the zero hypotheses in lumped return procedure is greater than uniform procedure.