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Paper Information

Journal:   JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)   WINTER 2017 , Volume 10 , Number 37; Page(s) 111 To 125.
 
Paper: 

INVESTIGATING THE DETERMINANTS OF EARNINGS RESPONSE COEFFICIENT (A CASE STUDY OF TEHRAN STOCK EXCHANGE)

 
 
Author(s):  HAKIMIPOOR NADER*
 
* STATISTICAL RESEARCH AND TRAINING CENTER, STATISTICAL CENTER OF IRAN. TEHRAN, IRAN
 
Abstract: 

Investors make their investments by considering available information, including the information provided in financial statements. Good news result in positive reactions by the investors and bad news result in their negative reaction. The concern for finding the relationship between ROE and the unexpected portion of companies’ earnings announcements lead to the introduction of the concept of earnings response coefficient, or ERC. The main goal of the present survey is to study the determinants of the ERC in the Tehran Stock Exchange. To perform this, the data for 158 corporations present in the Tehran Sock Exchange during 2006 to 2011 have been collected. Then the determinants of ERC have been studied. These determinants are: interest rate, systematic risk, growth opportunities and the financial leverage. The methods used for the study and the test of hypothesis are the econometric methods based on the panel data.
The results of the study show that the financial leverage and the systematic risk have a negative and significant effect on the ERC, while the growth opportunity determinant has a positive and significant effect on the ERC. No significant relationships were found for the interest rate determinant.

 
Keyword(s): EARNING RESPONSE COEFFICIENT, UNEXPECTED EARNINGS, RATE OF RETURN, STOCK EXCHANGE
 
References: 
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