Comparing Relationship between Quality of Earning and Stock Return of Companies Listed in Tehran Stock Exchange

In this research, role of accruals in description of earning quality of the companies listed in Tehran Stock Exchange has been studied and relationship between quality of earning, through accruals and its constituents, and normal stock return has been studied. Correlation analysis and historical information of the companies used as the research method. The statistical sample includes 109 companies in Tehran Stock Exchange during 2009-2013. For data analysis and hypothesis testing, Multiple Linear Regression Model based on panel data has been used with Estimated Generalized Least Square (EGLS) by applying Eviews and Stata softwares. Three hypotheses were developed to determine relationship between earning quality and stock return. Results of the research indicated that there is a direct and significant relationship between accruals and normal stock return in Tehran Stock Exchange. No significant relationship was found between non-discretionary accruals and normal return.

Keywords:

Quality of earning , abnormal stock return , accruals , discretionary accruals and non-discretionary accruals