Accounting Information Proxies and Absolute Excess Returns

This research investigates the relationship between accounting information quality proxies including persistency, predictability, smoothness, value relevance, informativeness, timeliness, conservatism and transparency from precision aspect (Earnings quality) and absolute excess returns as one of the information quality consequences. Information quality proxies, backed by research literatures, are measured by the most common models. Thus, data of 67 firms (1139 year- firm) listed on Tehran stock exchange during 1996 to 2011 have been collected and studied with due consideration for certain characteristics. Ols and correlation method (time series and pooled data) for measuring independent variables and hedging portfolio and paired samples t-test for testing research hypotheses have been applied. The Result reveal that absolute excess returns can evaluate the usefulness of accounting information quality proxies (persistency, predictability, smoothness, value relevance, informativeness, timeliness, conservatism and transparency). Additionally, informativeness proxy can earns significant more absolute excess returns (positive) in comparison with the other proxies. The Result doesnt change with controlling abnormal factors which affect on dependent variable and making adjustment for business model, risk and operational environment.