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:: Volume 11, Issue 2 (Spring 2016) ::
jme 2016, 11(2): 193-205 Back to browse issues page
The Impact of Official Publication of Information in Tehran Stock Exchange on Shares Prices: A GMM Approach
Ebrahim Eltejaei * 1, Meysam Ghasemzadeh 2
1- Faculty of Economics and Management, Institute for Humanities and Cultural Studies, Tehran, Iran
2- Institute for Humanities and Cultural Studies, Tehran, Iran
Abstract:   (393 Views)

Released information in stock markets plays an important role in making decisions by agents like brokers, investors and other market activists. Rational decision-making in these markets will be possible if relevant and significant information is being released on-time. Otherwise, transparency and equality in the market is compromised. This study aims to respond to the question of whether officially released information about major increase in Predicted Earnings per Share (PEPS) in Tehran Stock Exchange (TSE) is significant and affects the growth of shares prices. For this purpose, we selected 30 official announcements of significant increases in PEPS for 30 companies from early 2012 to early 2015. This sample gathered from a set of over 2000 announcements. Findings of a Dynamic Panel Data model based on Arbitrage Pricing Theory (APT) and Generalized Method of Moments (GMM) estimation method show that official release of information has no significant effect on shares prices. It means that the information maybe has affected the prices before its official publication, so, it is needed to prepare good conditions for information to be released on time and effectively in TSE.

JEL Classification: C23, G14

Keywords: Official Publication of Information, Tehran Stock Exchange, APT, Dynamic Panel Data Model, GMM
Full-Text [PDF 200 kb]   (174 Downloads)    
Type of Study: Research | Subject: Economics
Received: 2018/06/12 | Accepted: 2018/06/12 | Published: 2018/06/12
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Eltejaei E, Ghasemzadeh M. The Impact of Official Publication of Information in Tehran Stock Exchange on Shares Prices: A GMM Approach. jme. 2016; 11 (2) :193-205
URL: http://jme.mbri.ac.ir/article-1-275-en.html


Volume 11, Issue 2 (Spring 2016) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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