The impact of Tedan system analytical reports on the informational efficiency of Tehran Stock Exchange

Document Type : Original Article

Authors

1 MA in Accounting, Department of Accounting, Ferdowsi University of Mashhad, Razavi Khorasan, Iran.

2 Associate Prof, Department of Accounting, Ferdowsi University of Mashhad, Razavi Khorasan, Iran.

Abstract

Informational efficiency is an influential variable in financial markets that affects the flow of capital and the optimal allocation of resources. There is extensive literature on the factors affecting information efficiency and our aim in this study is to examine the reports of analysts as one of the factors affecting this variable. For this purpose, the effect of analysts' reports in the Tedan system in general and also in a classified way on the information efficiency of 291 companies listed on the Tehran Stock Exchange during the years 2015 to 2020 was studied using multivariate regression. The information efficiency in this study has been calculated by two methods of variance ratio and Fama and French three-factor model and the results indicate that the Tedan system reports do not affect the information efficiency of Tehran Stock Exchange companies.

Keywords


1.Abbasian, E., & Zolfaghari, M. (2013). Dynamic analysis of weak efficiency in the Tehran Stock Exchange, using the kalman filter. (In Persian)
2.Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.
3.Badavar Nahandi, Y., Zeynali, M., Nikooyan, E. (2016). The Impact of Corporate Governance Mechanisms on Informational Efficiency of Listed Companies in Tehran Stock Exchange. Journal of Management Accounting and Auditing Knowledge, 5(19), 1-16. (In Persian)
4.Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
5Barnea, A. (1974). Performance evaluation of New York stock exchange specialists. Journal of Financial and Quantitative Analysis, 511-535.
6.Beaver, W. H. (1981). Market efficiency. The Accounting Review, 56(1), 23.
7.Boehmer, E., & Kelley, E. K. (2009). Institutional investors and the informational efficiency of prices. The Review of Financial Studies, 22(9), 3563-3594.
8.Boehmer, E., Chava, S., & Tookes, H. E. (2015). Related securities and equity market quality: The case of CDS. Journal of Financial and Quantitative Analysis, 509-541.
9.Bushee, B. J., & Noe, C. F. (1999). Disclosure quality, institutional investors, and stock return volatility. Institutional Investors, and Stock Return Volatility (October 1999).
10.Cai, C. X., Keasey, K., & Short, H. (2006). Corporate governance and information efficiency in security markets. European Financial Management, 12(5), 763-787.
11.Chen, C., Jiang, D., Li, W., & Song, Z. (2020). Does analyst coverage curb executives’ excess perks? Evidence from Chinese listed firms. Asia-Pacific Journal of Accounting & Economics, 1-15.
12.Chen, T., Xie, L., & Zhang, Y. (2017). How does analysts' forecast quality relate to corporate investment efficiency?. Journal of corporate finance, 43, 217-240.
13.Dang, T. L., Doan, N. T. P., Nguyen, T. M. H., Tran, T. T., & Vo, X. V. (2019). Analysts and stock liquidity–Global evidence. Cogent Economics & Finance, 7(1), 1625480.
14.Davies, P. L., & Canes, M. (1978). Stock prices and the publication of second-hand information. Journal of Business, 43-56.
15.Dávila, E., & Parlatore, C. (2019). Trading costs and informational efficiency (No. w25662). National Bureau of Economic Research.
16.Du, D., & Osmonbekov, T. (2020). Direct effect of advertising spending on firm value: Moderating role of financial analyst coverage. International Journal of Research in Marketing, 37(1), 196-212.
17.Engelberg, J., McLean, R. D., & Pontiff, J. (2019). Analysts and anomalies. Available at SSRN 2939174.
18.Engelberg, J., Ozoguz, A., & Wang, S. (2018). Know thy neighbor: Industry clusters, information spillovers, and market efficiency. Journal of Financial and Quantitative Analysis, 53(5), 1937-1961.
19.Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business,38(1), 34-105.
20.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
21.Fattahi, S., Ahmadi, A., & Torkaman Ahmadi, M. (2012). Analysis of the Random Walk Hypothesis in Tehran Stock Exchange using Variance Ratio Test. Accounting and Auditing Review, 19(3), 79-98. (In Persian)
22.foroughnejad, H., Sharifi, M., Talebi, A. (2016). The Impact of Information Asymmetry on the Future Stock Price Crash Risk of Listed Companies in the Tehran Stock Exchange. Journal of Asset Management and Financing, 4(3), 39-58. doi: 22108/10/amf.20646/2016. (In Persian)
23.Gentry, R. J., & Shen, W. (2013). The impacts of performance relative to analyst forecasts and analyst coverage on firm R&D intensity. Strategic Management Journal,34(1), 121-130.
24.Glosten, L., Nallareddy, S., & Zou, Y. (2020). ETF activity and informational efficiency of underlying securities. Management Science.
25.Gomes, A. R., Gopalan, R., Leary, M. T., & Marcet, F. (2017). Analyst Coverage Networks and Corporate Financial Policies. Available at SSRN 2708935.
26.Gomez, E., Heflin, F., Moon, J., & Warren, J. (2018). Crowdsourced financial analysis and information asymmetry at earnings announcements. Georgia Tech Scheller College of Business Research Paper, (18-45).
27.Guay, W., Samuels, D., & Taylor, D. (2016). Guiding through the fog: Financial statement complexity and voluntary disclosure. Journal of Accounting and Economics,62(2-3), 234-269.
28.Guo, B., Pérez-Castrillo, D., & Toldrà-Simats, A. (2019). Firms’ innovation strategy under the shadow of analyst coverage. Journal of Financial Economics, 131(2), 456-483.
29.He, G., Bai, L., & Ren, H. M. (2019). Analyst coverage and future stock price crash risk. Journal of Applied Accounting Research.
30.Hekmat, H., Rahmani, A., Molanazari, M., Mousavi, M., Ghalibaf Asl, H. (2020). Accounting Information & Semi- Strong Stock Market Efficiency. Empirical Research in Accounting, 10(2), 23-50. doi: 22051/10/jera.28008/2020.2526. (In Persian)
31.Ho, T. S., & Michaely, R. (1988). Information quality and market efficiency. Journal of Financial and Quantitative Analysis, 23(1), 53-70.
32.Hutton, A. P., Lee, L. F., & Shu, S. Z. (2012). Do managers always know better? The relative accuracy of management and analyst forecasts. Journal of Accounting Research, 50(5), 1217-1244.
33.Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of financial economics, 6(2/3), 95-101.
34.Kacperczyk, M., Nosal, J., & Sundaresan, S. (2017). Market Power and Informational Efficiency. Working Paper.
35.Kacperczyk, M., Sundaresan, S., & Wang, T. (2018). Do Foreign Investors Improve Market Efficiency? (No. w24765). National Bureau of Economic Research.
36.Kadapakkam, P. R., Krause, T., & Tse, Y. (2015). Exchange traded funds, size-based portfolios, and market efficiency. Review of Quantitative Finance and Accounting, 45(1), 89-110.
37.Keller, J., & Pastusiak, R. (2016). The psychology of investing: Stock market recommendations and their impact on investors’ decisions (the example of the Polish stock market). Acta Oeconomica, 66(3), 419-437.
38.Lee, C., Chung, K. H., & Yang, S. (2016). Corporate governance and the informational efficiency of prices. Financial Management, 45(1), 239-260.
39.Lehmann, N. (2019). Do corporate governance analysts matter? Evidence from the expansion of governance analyst coverage. Journal of Accounting Research, 57(3), 721-761.
40.Leuz, C., Nanda, D., & Wysocki, P. D. (2003). Earnings management and investor protection: an international comparison. Journal of financial economics, 69(3),505-527
41.Li, S., Ding, F., Liu, Q., Qiao, Z., & Chen, Z. (2021). Can financial analysts constrain real earnings management in emerging markets? Evidence from China. Asia-Pacific Journal of Accounting & Economics, 1-19.
42.Li, Y., Lu, M., & Lo, Y. L. (2019). The impact of analyst coverage on partial acquisitions: Evidence from M&A premium and firm performance in China. International Review of Economics & Finance, 63, 37-60.
43.Luo, X., Wang, H., Raithel, S., & Zheng, Q. (2015). Corporate social performance, analyst stock recommendations, and firm future returns. Strategic Management Journal,36(1), 123-136.
44.Lys, T., & Sohn, S. (1990). The association between revisions of financial analysts' earnings forecasts and security-price changes. Journal of Accounting and Economics,13(4), 341-363.
45.Mehrabanpour, M., Faraji, O., Sajadpour, R. (2020). The Mediating Role of Financial Reporting Quality on the Relationship between Financial Statement Comparability and Cash Holdings. Accounting and Auditing Review, 27(1), 132-153. doi: 22059/10/acctgrev.280295/2020.1008169. (In Persian)
46.Nakazono, Y., Koga, M., & Sugo, T. (2020). Private information and analyst coverage: Evidence from firm survey data. Journal of Economic Behavior & Organization, 174, 284-298.
47.O'Hara, M., & Ye, M. (2011). Is market fragmentation harming market quality?. Journal of Financial Economics, 100(3), 459-474.
48.Patell, J. M. (1976). Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of accounting research, 246-276.
49.Perotti, P., & Windisch, D. (2017). Managerial discretion in accruals and informational efficiency. Journal of Business Finance & Accounting, 44(3-4), 375-416.
50.Salimifar, M., Shirzour, Z. (2011). Investigation Of Informative Efficiency Of Stock Market Using Variance Ratio Test Method. Monetary & Financial Economics, 17(31), -. doi: 22067/10/pm.v17i27247/31. (In Persian)
51.Solnik, B. H. (1974). Why not diversify internationally rather than domestically?. Financial analysts journal, 30(4), 48-54.
52.Spence, M. (2002). Signaling in retrospect and the informational structure of markets. American Economic Review, 92(3), 434-459.
53.Sun, Q., Cheng, X., Gao, S., & Yang, M. (2020). Are SEO investors misled by analyst optimism bias? Evidence from investor bids in SEO auctions. International Review of Economics & Finance.
54.Talebzadeh, F., Sadeghi, S. (2020). The Effect of Financial Liberalization on Informational Efficiency in Developing Economies: Evidence from State Space and GMM Models. Financial Research Journal, 22(2), 249-265. (In Persian)
55.Thaker, H. M. T., Mohamad, A., Kamil, N. K. M., & Duasa, J. (2018). Information content and informativeness of analysts’ report: evidence from Malaysia. Journal of Financial Reporting and Accounting.
56.Zhang, Y., & Wiersema, M. F. (2009). Stock market reaction to CEO certification: The signaling role of CEO background. Strategic Management Journal, 30(7), 693-710.