امكان كسب بازدهي غيرعادي با توجه به رانش قيمت سهام پس از اطلاعيه هاي غيرمنتظره تعديل سود

Possibility of Earning Abnormal Return Based on Post Earnings Announcements Drift

اﻋﻼن ﺗﻌﺪﯾﻞ ﻏﯿﺮﻣﻨﺘﻈﺮه ﺳﻮد ﭘﯿﺶ ﺑﯿﻨﯽ ﺷﺪه ﻫﺮ ﺳﻬﻢ ﺗﻮﺳﻂ ﺷﺮﮐﺖ ﻫﺎ، از اﻃﻼﻋﺎت ﻣﻬﻢ در ارزﯾﺎﺑﯽ ﺳﺮﻣﺎﯾﻪ ﮔﺬاران از وﺿﻌﯿﺖ آﺗﯽ ﺷﺮﮐﺖ ﻫﺎ و در ﻧﺘﯿﺠﻪ ﺗﻌﯿﯿﻦ ﻗﯿﻤﺖ آن ﻣﯽ ﺑﺎﺷﺪ. ﺗﺤﻘﯿﻘﺎت ﺑﺴﯿﺎري در ﺟﻬﺎن ﭘﯿﺮاﻣﻮن راﻧﺶ ﻗﯿﻤﺖ ﺳﻬﺎم ﭘﺲ از اﻃﻼﻋﯿﻪ ﻫﺎي ﺗﻌﺪﯾﻞ ﺳﻮد ﺻﻮرت ﭘﺬﯾﺮﻓﺘﻪ اﺳﺖ و ﯾﺎﻓﺘﻪ ﻫﺎي اﮐﺜﺮ آن ﻫﺎ ﺣﺎﮐﯽ از وﺟﻮد ﺑﺎزدﻫﯽ ﻏﯿﺮﻋﺎدي اﺿﺎﻓﯽ در ﺻﻮرت اﻋﻤﺎل اﺳﺘﺮاﺗﮋي ﻣﻌﺎﻣﻼﺗﯽ ﺑﺮ اﺳﺎس وﺟﻮد راﻧﺶ ﻗﯿﻤﺖ ﺳﻬﺎم ﭘﺲ از اﻃﻼﻋﯿﻪ ﻫﺎي ﺗﻌﺪﯾﻞ ﻣﯽ ﺑﺎﺷﺪ. در اﯾﻦ ﺗﺤﻘﯿﻖ، ﺑﺮ اﺳﺎس ﻧﻤﻮﻧﻪ ﺷﺮﮐﺖ ﻫﺎي ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺮاي ﺳﺎل ﻫﺎي 1388 ﺗﺎ 1398 ﺑﻪ ﺻﻮرت ﺧﺎص ﺑﻪ ﺑﺮرﺳﯽ اﻣﮑﺎن ﮐﺴﺐ ﺑﺎزدﻫﯽ ﻏﯿﺮﻋﺎدي ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ راﻧﺶ ﻗﯿﻤﺖ ﺳﻬﺎم ﭘﺲ از اﻃﻼﻋﯿﻪ ﻫﺎي ﺗﻌﺪﯾﻞ ﺳﻮد ﭘﺮداﺧﺘﻪ ﺷﺪه اﺳﺖ. ﮔﺮوه ﻫﺎي ﺗﻌﺪﯾﻞ ﺳﻮد ﺑﻪ 6 ﮔﺮوه ﺗﻘﺴﯿﻢ ﮔﺮدﯾﺪﻧﺪ، ﺳﻪ ﮔﺮوه اول ﻣﺮﺑﻮط ﺑﻪ ﺗﻌﺪﯾﻞ ﺳﻮد ﻣﻨﻔﯽ و ﺳﻪ ﮔﺮوه ﺑﻌﺪي ﻣﺮﺑﻮط ﺑﻪ ﺗﻌﺪﯾﻞ ﺳﻮد ﻣﺜﺒﺖ؛ ﮐﻪ ﮔﺮوه 1 ﺑﯿﺎﻧﮕﺮ ﺑﯿﺸﺘﺮﯾﻦ ﺗﻌﺪﯾﻞ ﺳﻮد ﻣﻨﻔﯽ و ﮔﺮوه 6 ﺑﯿﺎﻧﮕﺮ ﺑﯿﺸﺘﺮﯾﻦ ﺗﻌﺪﯾﻞ ﺳﻮد ﻣﺜﺒﺖ اﺳﺖ. ﻣﻌﻨﯽ داري ﻧﺘﺎﯾﺞ ﺑﺎ اﺳﺘﻔﺎده از آزﻣﻮن 𝑡 ﻧﯿﻮﯾﯽ-وﺳﺖ ﺑﺮرﺳﯽ ﮔﺮدﯾﺪ ﮐﻪ ﻧﺘﺎﯾﺞ ﺑﻪ اﯾﻦ ﺻﻮرت اﺳﺖ: اﻣﮑﺎن ﮐﺴﺐ ﺑﺎزدﻫﯽ ﻏﯿﺮﻋﺎدي ﭘﺲ از اﻃﻼﻋﯿﻪ ﻫﺎي ﺗﻌﺪﯾﻞ ﺳﻮد در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺮاي ﺗﻌﺪﯾﻞ ﻫﺎي ﻣﺜﺒﺖ در دوره ﻫﺎي ﮐﻮﺗﺎه ﻣﺪت و ﺑﻠﻨﺪﻣﺪت، ﻣﺨﺼﻮﺻﺎً ﺑﺮاي ﮔﺮوه ﺗﻌﺪﯾﻞ ﺑﯿﻦ 10 ﺗﺎ 40 درﺻﺪ وﺟﻮد دارد و ﺑﺮاي ﺗﻌﺪﯾﻞ ﻫﺎي ﻣﻨﻔﯽ ﺮاي دوره ﮐﻮﺗﺎه ﻣﺪت ﻣﺨﺼﻮﺻﺎً ﺑﺮاي ﺗﻌﺪﯾﻞ ﻫﺎي ﺑﯿﻦ 10 ﺗﺎ 40 درﺻﺪ ﻣﻨﻔﯽ وﺟﻮد دارد

The announcement of the unexpected adjustment of earnings per share by corporations is important news and information in evaluating investors' future earnings and thus determining their price. There has been a lot of research around the world on post earnings announcements drift of stock price and most of these findings suggest additional abnormal returns if post earnings announcements trading strategies are applied. In this study, based on the sample of Tehran Stock Exchange companies for the years 2009 to 2018, we specifically examine possibility of earning abnormal return based of post earnings announcements drift. We divide the EPS adjustment groups into six groups, the first three groups are related to negative earnings adjustment and the next three groups are to positive earnings adjustment; Group 1 represents the most negative earnings adjustment and Group 6 represents the largest positive earnings adjustment. Significance of the results was evaluated using by the Newy-West t-test. Results show that: abnormal return can be earned on the Tehran Stock Exchange based on post earnings announcements for positive adjustments in the short and long term, especially for the adjustment group between 10% and 40%. an‎d can be earned are for negative adjustments for the short term, especially for adjustments between 10 and 40 percent