Market Reaction to Quarterly Earning Anouncment in Tehran Stock Exchange

This paper uses the traditional event study method to examine the information content of quartrerly earnings announcements in the Tehran stock exchange as a small and thin trading stock market from year 1384 until end of 1390. The contribution of this paper is the use of three method (uniform، lump and Trade to trade) for missing data. The paper finds that earnings announcements contain relevant information for the stock market. When actual earning was exceed from expected earning (good news)، the paper finds significant positive abnormal returns accompanying the announcements. The abnormal return persists several days after the announcement، suggesting that the information environment of this small stock market works to decrease the speed of adjustment. In addition when actual earning was less than the expected earning (bad news)، there is no abnormal return around the announcement. Perhaps Tehran stock exchange can discover bad news rather than good news. the paper finds a positive correlation between the information content and predisclosure information. This result is similar with larg stock market.