Investigating Relationship between both of Accruals Quality and Earnings Persistence and Reflection Speed of Information in Stock Prices

In this research, the relationship between the earnings quality, measured by accruals quality and earnings persistence, and the reflection speed of information in stock prices in 112 firms listed in the Tehran Stock Exchange in the period of 2003 to 2012wereinvestigated. Also, the relationship between risk factors of the reflection speed of accounting and non-accounting information and risk premium were examined. To model the relationships, a panel data framework and two stage regression method of Fama- Macbeth (1973) were applied.The results showed that higher accruals quality and more accounting earnings persistence give rise to higher reflection speed of information in stock prices. Also, the results indicated that there exists a significantly positive relationship between the reflection speed of accounting and non-accounting information for risk factors and the risk premium. This means a decrease in the earnings quality causes reduction in the reflection speed of information in share prices and increase in the shareholders claimed return.