Stock Returns and Earnings Surprises: Market Level Vs. Firm Level

Analysis of behavioral reaction of investors to seasonal earnings news at market level is purpose of this research. Using 2877 firm-season from 2nd quarter of 1384 to 2nd quarter of 1390،behavioral reaction of stock market overall index to seasonal earnings changes has been investigated. Studies on stock market reaction to seasonal earnings at market level shows that there is no relationship between seasonal market return & aggregate earnings news & seasonal announcements by firms does not cause significant change in overall index. Contrary to market level results،analysis of stock price behavior at firm level shows the significantly positive relationship between seasonal stock return & earnings news. In other words the reaction of firms'' stock price to seasonal earnings is significantly positive،and also stock price underreacts to seasonal earnings announcements. this behavior was not observed at market level.