The Relationship between Stock Price Delay and Expected Return

If the capital market is not so efficient as market hypothesis propose، then the process of reviewing and adjusting stock prices by investors as a result of reacting to new information، does not take place immediately and occur with delay، which is called «Stock Price Delay». This delay is consists of accounting and non-accounting parts. This study focuses on the accounting information quality as one of the main factors affecting the stock price delay and investigates whether stock price delay affects expected return? For this purpose، two measures of accruals quality and earnings surprise are used as accounting information quality for measuring the stock price delay. Then the stock price delay is decomposed in two parts including، accounting and non-accounting parts to investigate the effect of stock price delay on expected return. The sample of this study consists of 57 companies listed in Tehran Stock Exchange for the period from 2009 to 2012 (1387 to 1390 Iranian calendar). The results show that accruals quality has a significant and negative effect on stock price delay. Also the non accounting part of stock price delay has a significant and positive effect on expected return. But accounting part of stock price delay has no effect on expected return.