The Effect of Return Dispersion on the Accrual and Investment Anomalies in Companies Listed in Tehran Stock Exchange

The accrual anomaly as the phenomenon in the capital market has attracted the attention of many experts to its underlying causes. The purpose of this study is to investigate the role of the cross-sectional dispersion of stock returns in the accrual anomaly and investment anomaly in the companies listed in Tehran Stock Exchange. The research sample that was selected using the systematic elimination method includes 147 companies listed in Tehran Stock Exchange in the period of 2007-2014. The Fama and French (1993) model with return dispersion is used in order to test the research hypotheses. For analyzing the role of return dispersion in the accrual anomaly, Fama - French model was fitted by sorting the companies with high and low accruals and for analyzing the role of return dispersion in the investment anomaly, this model was fitted by sorting the companies with high and low investments. Research models were fitted using the combined data and then by using the time series method and sorting the given portfolios. The results show that the stock return dispersion does not affect accrual and investment anomalies.