Accounting Information & Semi- Strong Stock Market Efficiency

The purpose of this paper is to evaluate semi-strong market efficiency through studying the relationship between increase or decrease of stock return and financial statement information. Using sixty six rolling panel-logit models & accounting variables, we estimated increase or decrease of each firms’stock return as a Pr summary amount & hedged portfolios have made via zero investment strategy. The firms with Pr values equal or higher than 0.6 considered as buy positions & the ones with Pr values equal or less than 0.4 considered as short-sell positions. The hedged portfolios’ returns that are the judjment basis about market efficiency could be computed as the difference of these groups’ returns. Significant abnormal returns resulted through rolling-logit models considering three return measurement method, among a sample of 58 firms listed in TSE during 2006 to 2018, show several documents not confirming the semi-strong market efficiency even after size & market risk adjustments. Also among all 17 accounting ratios used in order to predict changes in return, the change in total assets ratio, the financial expenses to sales ratio, the change in EPS, the change in sale to total assets ratio, the gross income to sale ratio, and the earnings before tax to sale ratio have oftenly been documented statistically-significant in the models.