Earnings Quarterly Announcement and Stock Liquidity

Earnings quarterly announcements in Tehran Stock Exchange has increased during the past years. We examine the relation between quarterly earnings surprises and stock liquidity. We used effective relative bid ask spread as a proxy for stock liquidity. Based on the market model, this study compared abnormal effective relative bid ask spread and average abnormal effective relative bid ask spread in the period of 20 and 10 days before and after announcement. For a sample of 555 earnings quarterly announcement during 1384-1387 years, we show that stock liquidity has not increased around the earnings quarterly announcements.