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جستجوی مقالات مرتبط با کلیدواژه "speed of price adjustment" در نشریات گروه "حسابداری"

تکرار جستجوی کلیدواژه «speed of price adjustment» در نشریات گروه «علوم انسانی»
جستجوی speed of price adjustment در مقالات مجلات علمی
  • Mostafa Bakhtiari *, Hashem Nikoomaram, Fereydon Rahnamay Roodposhti, Taghi Torabi
    In Recent Decades, The Financial Sphere has entered a New Era of Contempt for Some of the Assumptions of Modern Economics and Finance. One of These Assumptions is the Rationale of the Investors, which has been Seriously Challenged and Is Now Being Strengthened by the Fact That Prices are Determined more by Attitudes and Psychological Factors than for Fundamental Variables and Therefore the Study of Market Psychology has Become More Important. The Purpose of This Research is to assess the Reaction of Investors to Price Changes by Measuring the Speed of Price Adjustment Compared to the General Information in Tehran Stock Exchange and a Model for Yielding Additional Returns in Futures. The five-year Research Period is from 2011 to 2016. The Statistical Population of the Study is the Companies listed in Tehran Stock Exchange and the Results Show that the Rate of Adjustment of Prices is Different from Each other Based on Specific Company Variables, and the Difference in the Rate of Price Adjustment can Cause Make Extra Returns.
    Keywords: Speed of Price Adjustment, Excess Return, Over Reaction, Under Reaction
  • احمد خدامی پور، محمد امیدی، وحید محمدرضاخانی
    هدف این تحقیق سعی این است که وجود رفتار نامتقارن در فرآیند تعدیل قیمت سهام نسبت به اخبار جدید و رابطه آن با کیفیت سود بررسی شود. در این راستا از روش رگرسیون خطی چند متغیره و داده های پانلی و نیز از آماره ناپارامتریک رتبه ای – نشانه ای ویلکاکسون بهره گرفته شده است. نتایج نشان می دهد که رابطه میان تغییرات کیفیت سود و تغییرات سرعت تعدیل قیمت معنادار نمی باشد. همچنین، اختلاف معناداری در میانگین سرعت تعدیل قیمت سهام نسبت به اخبار خوب و اخبار بد وجود نداشته و سرعت تعدیل قیمت سهام نسبت به اخبار خوب و بد دارای الگوی رفتاری متقارن می باشد. نوسان پذیری بازده سهام و قیمت سهام نیز دارای رابطه معناداری با سرعت تعدیل قیمت سهام هم نسبت به اخبار خوب و هم نسبت به اخبار بد می باشند.
    کلید واژگان: کارایی بازار, تغییرات کیفیت سود, سرعت تعدیل قیمت سهام, تعدیلات نامتقارن قیمت
    Ahmad Khodamipour, Mohammad Omidi, Vahid Mohammadrezakhani
    Introduction
    Earnings can be divided into two components: cash flow and discretional accrual. As earnings with more accrual components are easily manipulated than those with more cash flow, earnings with less discretionary accrual are regarded as having better earnings quality. The reaction of investors to trading information is directly reflected in price adjustments, which is an important aspect of market efficiency. The empirical results show that the asymmetric price adjustment does indeed exist, with the speed of price adjustment to good news being faster than that to bad news. In this paper we examine whether the speed of price adjustment exhibits an asymmetric reaction to good and bad news, and further examine whether such an association will accelerate following the changes of earning quality using Tehran Stock Exchange (TSE) Corporation data. Research hypotheses: To achieve the purpose of this study, five research hypotheses are chosen. These hypotheses are as follow: 1. There is a significant and positive relationship between Earnings Quality (Dechow & Dichev model) and the speed of price adjustment to good news changes. 2. There is a significant and positive relationship between Earnings Quality (Ball and Shivakumar model) and the speed of price adjustment to good news changes. 3. There is a significant and positive relationship between Earnings Quality (Dechow & Dichev model) and the speed of price adjustment to bad news changes. 4. There is a significant and positive relationship between Earnings Quality (Ball and Shivakumar model) and the speed of price adjustment to bad news changes. 5. The speed of price adjustment to bad news is faster than to good news. Methods & Variables: Firms in the statistical population of this study are the companies accepted in Tehran Stock Exchange from 1385 to 1389; 68 companies are selected by applying systematic sampling to select the sample population. In this study, we used multiple regression models to examine the first to fourth hypotheses. In order to test the fifth hypotheses, we examine whether or not the asymmetric price adjustment to news exists using the Wilcoxon signed-rank test. In the present research, three kinds of variables were employed: Independent variables, dependent variables and control variables. Independent variables of this research are changes in Earnings quality based on Dechow & Dichev model and Ball and Shivakumar model. Dependent variables of this research are the changes in the speed of price adjustment to good news and the changes in the speed of price adjustment to bad news. The control variables of this study are as follows: Number of trades (NT), Market Capitalization (MV), Stock Return Volatility () and Stock Price (P), to be included into the regression analyses to ascertain robust results.
    Results
    The results of estimating the first and second hypotheses indicate that there is a positive relationship between Earnings Quality (Dechow & Dichev and Ball and Shivakumar models) and the speed of price adjustment to good news changes, but this relationship is not significant. The obtained results from estimating the third and fourth hypotheses shows that there is a positive relationship between Earnings Quality (Dechow & Dichev and Ball and Shivakumar models) and the speed of price adjustment to bad news changes, but this relationship isn’t significant. The results of estimating the fifth hypothesis indicate that the speed of price adjustment to bad news isn’t faster than that to good news in the Tehran Stock Exchange (TSE). Also the result shows that there is a significant and positive relationship between firm size and the speed of price adjustment to bad and good news changes. There is a significant and positive relationship between Stock Return Volatility and the speed of price adjustment to good news changes, also there is a significant and negative relationship between Stock Return Volatility and the speed of price adjustment to bad news changes. Discussion and
    Conclusion
    According to the results, we find that the speed of price adjustment to bad news isn’t faster than to good news in the Tehran Stock Exchange (TSE). Further, the speed of price adjustment to news is not significantly affected by the Earning quality, and does not further accelerate with the changes of earning quality; however, the relationship between them is positive. The results show that earnings quality and its changes cannot lead to changes in reaction speed for investors; in other words, changes in earnings quality is not understood by the Iranian capital market investors.
    Keywords: Market Efficiency, Earnings Quality, Speed of Price Adjustment, Asymmetric Price Adjustment
نکته
  • نتایج بر اساس تاریخ انتشار مرتب شده‌اند.
  • کلیدواژه مورد نظر شما تنها در فیلد کلیدواژگان مقالات جستجو شده‌است. به منظور حذف نتایج غیر مرتبط، جستجو تنها در مقالات مجلاتی انجام شده که با مجله ماخذ هم موضوع هستند.
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