بررسی قدرت پیش‌بینی محتوای اطلاعاتی اعلان سود حسابداری توسط سیگنال‌های تحلیل تکنیکال

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشگاه خوارزمی

2 دانشگاه شهید بهشتی

چکیده

در سال­های اخیر، مطالعاتی در رابطه با کاربرد برخی روش­های تحلیلی برای کشف بازده غیرعادی پیرامون تاریخ اعلان سود حسابداری انجام شده است؛ دو رویکرد از مهم­ترین رویکردهای تحلیلی که در این رابطه مورد توجه هستند تحلیل تکنیکال و تحلیل فاندامنتال می­باشد. هدف پژوهش حاضر، بررسی قدرت پیش­بینی محتوای اطلاعاتی اعلان سود حسابداری، توسط سیگنال­های تحلیل تکنیکال در بورس اوراق بهادار تهران بوده که در این راستا از معیارهای میانگین متحرک و اندیکاتور حجم معاملات به عنوان استراتژی معامله در تحلیل تکنیکال استفاده می­شود. این پژوهش در حوزه پژوهش­های کاربری و توصیفی قرار دارد که با مطالعه 50 شرکت فعال­تر بورس اوراق بهادار تهران بین سال های 1390 تا 1394 انجام شده است. نتایج پژوهش حاکی از آن است که معیارهای معاملاتی انتخاب شده در تحلیل تکنیکال می­تواند بازده تعدیل شده بر اساس هزینه معاملات و بازده غیرعادی مثبت ایجاد کند. بنابراین استراتژی تحلیل تکنیکال در بورس اوراق بهادار تهران، قادر به پیش­بینی محتوای اطلاعاتی اعلان سود  شرکت­ها می­باشد. 

عنوان مقاله [English]

Investigating the prediction power of the information content of the earnings announcement by technical analysis

چکیده [English]

In recent years, studies have been conducted about the performance of some analytical methods to detect the abnormal return on the earnings announcement date. Two of the most important approaches that always are bold in the intellectual literature of capital market are technical and fundamental analysis. the purpose of this research is investigating the prediction power of the information content of the earnings announcement by technical analysis signals in Tehran Stock Exchange. Type of Technical strategy used is simple moving average with volume confirmation.
The results indicate that during the period 1390-1394, Technical analysis strategy able to predict information content of earnings announcement, because this strategy could produce abnormal return and positive adjusted return before earnings announcements date.

کلیدواژه‌ها [English]

  • Technical analysis- Earning announcement- Abnormal return-Adjusted return

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