The Effects of Quarterly and Annual Earnings Announcements on Market Depth

The current study aims to investigate the effect of quarterly and annual earnings announcements on the abnormal market depth (representing information asymmetry). The dependent variable is the excess-depth and the independent variables are the excess-spread، abnormal trading volume and excess-volatility. To test the hypotheses، data of 97 listed companies on the Tehran Stock Exchange during 2009 - 2012 is used. Further، in order to testing of hypotheses a regression analysis employed. The results show that before the announcement، the Tehran Stock Exchange had a low depth and this is not only for the prior announcement period، so that after the announcement the low-depth is also observed. On the other hand، in the Tehran Stock Exchange، because of the more controls on annual reports، they are attracted by more investors and therefore a higher level of depth is visible during annual earnings announcement rather than quarterly. Also، the results show a significant correlation between the depth and the other independent variables around the earnings announcements.