Past studies show increasing of disclosure quality is effective factor in reducing abnormal return volatility around earnings announcements. This study investigates the impact of disclosure quality on abnormal return for listed companies on the Tehran Stock Exchange around earnings announcements. In contrast to past studies, first we use event study methodology in order to investigate abnormal return behavior. Second this study analyze the statistical distribution of corporate disclosure quality scores, so first portfolios are created based on disclosure quality scores, and then their abnormal returns are studied. After the test of 268 earnings announcements during the 2009-2014 the results show that portfolios with higher disclosure quality have lower level of abnormal return. The literature also describes some of firm features such as size, institutional ownership, and growth opportunity as effective factors on abnormal returns. Thus the impact of disclosure quality on abnormal returns is studied with the presence of these variables. The results show no significant effect of firm characteristics on the relationship between disclosure quality and abnormal returns around earnings announcements.
Eskini S, Sadeghisharif S J, Zarrini M, safari A. Impact of Disclosure Quality on the Behavior of Abnormal Returns: An Event Study. fa 2016; 8 (29) :55-78 URL: http://qfaj.mobarakeh.iau.ir/article-1-495-en.html