Investigating the Integration beetween Asymmetric Decrease in Liquidity Trading before Earnings Announcements, The Announcement Return Premium and Profitability News Announcements Using a Simultaneous Equations System

Because of high information asymmetry, in the days before earnings announcements, stock trading is decreased. After checking it was found that the decrease in trading is asymmetric (imbalancing) and the decrease in purchases of shares in these days is more than of the sales decline the decision of traders to sell will lead to positive returns after the earnings announcement. Among the factors affecting the selling of shares, is increasing the cost of transactions. The contribution of this study was to define the new assumptions and investigating of profitability news and return variables in the form of simultaneous equations, that it was not any other reason. After reviewing data from 147 firms in Tehran Stock Exchange during the period of 2009-2014 was marked that profit news, investor attention and sell pressure variables have direct affect on return variable. As well as the relationship between investor attention and returns variables with profit news is direct, but the impact of selling pressure on profitability news is reversed.