The Effect of Accruals Quality on Stock Risk Premium of Listed Companies in Tehran Stock Exchange

In this research the effect of accruals quality on stock risk premium of listed companies in Tehran Stock Exchange has been studied. for this purpose، and based on the three factors model of Fama and French (1993)، the difference of average return made by the strategy of choosing the companies with high accruals quality and low accruals quality between the years 1997-2008، has been used. the accruals quality of each company is calculated on the basis of Fransis et al model (2005). the survey results indicate that accruals quality do not have the ability to interpret the stock risk premium of the companies. Then، by forming 25، 50 and 64 mimicking portfolios separately، and running the two-stage cross sectional test on Fama and French model (1993) the effect of accrual quality on risk premium of companies has been examined again. The results of this test for all mimicking portfolios confirmed the inefficiency of accrual quality in determining the behavior of companies’ risk premium.