Investigating the relationship between accounting and non-accounting stock price delay risk factors with future risk premium in Tehran Stock Exchange

This paper investigates the relationship between disclosure quality, its components (timeliness and reliability) and stock price delay in firms listed in Tehran Stock Exchange from 2003 to 2011. Furthermore, this paper investigates the association between the accounting and non-accounting components of stock price delay with future stock premium. To this end, the panel data approach and Fama-Macbeth (1973) model is applied. The research results show that the increase in total disclosure quality and timeliness of financial reports decreases the stock price delay. On the other hand, in firms those have higher disclosure quality and financial information issue in timely manner, the reaction speed of stock prices to issued information is higher than that of other firms. Also, the results indicate that there is a positive and significant association between the accounting and non-accounting components of stock price delay with future stock premium. This means that, to investment in firms with higher stock price delay, the stock holders claim the higher rate of return.