Investigating the persistence of earnings components and pricing test of abnormal changes in cash

Abstract

This paper investigates the persistence of earnings components and pricing test of abnormal changes in cash for selected firms listed on Tehran Stock Exchange (TSE). The proposed study gathers the necessary data from 166 firms over the period 2004-2012 from firms whose shares were actively traded on TSE market. The study uses Panel data and with the implementation of linear regression technique examines four hypotheses. The results indicate that abnormal negative changes in cash are more persistence than positive abnormal changes. In addition, both positive and negative abnormal changes are more persistence than accruals. Market also has a good perception on abnormal positive and negative changes in cash.

The effects of efficiency on abnormal return: Evidence from banking industry

“…Using regression analysis, the study determined a meaningful relationship between abnormal return and spread. Ahmadi and Makarani (2013) studied the persistence of earnings components and pricing test of abnormal changes in cash for selected compaies listed on Tehran Stock Exchange. The study collected the necessary data from 166 firms from 2004 to 2012 from firms whose shares were actively traded on this exchange.…”