Analyzing the Relationship between Earnings Transparency and Excess Return of the Companies in Tehran Stock Exchange

Transcription

1 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 Analyzing he Relaionship beween Earnings Transparency and Excess Reurn of he Companies in Tehran Sock Exchange Samira Pahlavan#, Ghodraollah Talebnia* *Deparmen of Accouning, Science and Research branch, Islamic Azad Universiy, Tehran, Iran # Deparmen of Accouning, Science and Research branch, Islamic Azad Universiy, Tehran, Iran Absrac - The purpose of his sudy is o evaluae he impac of earnings ransparency on excess reurn in he companies lised in Tehran Sock Exchange. Therefore, hisorical daa of 108 companies lised on he Sock Exchange wihin he period were colleced and hen analyzed using descripive saisics and panel daa model. The resuls showed ha increase in he earnings ransparency will lead o excess reurns. This means ha here is a direc relaionship beween earnings ransparency and excess reurns. Then he resuls indicaed ha here is an inverse and significan relaionship beween he company value and excess reurns and a direc and significan relaionship beween he sysemic risk, firm size and growh rae wih earned excess reurns. Also he relaionship beween growh opporuniies, negaive sock reurns, relaive changes in operaing cash flows, liquidiy and he volailiy of p/e raio wih earned excess reurns is no saisically significan. Key words: earnings ransparency, excess reurn, Tehran Sock Exchange 1. INTRODUCTION Nowadays, he capial markes have developed more han ever and gaining srucured economic power beyond geographical boundaries has dominaed capial markes. Ineviably, he capial markes are more suscepible o collusion, fraud and corrupion by he rusees of he economy marke. Corrupion and fraud in he capial marke occur in various forms, bu wha is more imporan and has he objecive and subjecive effecs on he capial marke are corrupions relaed o financial reporing. Fraudulen financial reporing is wha caused he bankrupcy of Enron and WorldCom companies a he beginning of he 21s cenury and caused a severe shock o he US capial markes. The governors of world capial markes oday have consensus on his issue ha ransparency is he mos imporan way o preven his problem (Kolzik, 2004). Among he daa released by he companies, reurn is of high imporance and is considered by many users. The ransparency of informaion relaed o earnings in decision making can reduce he informaion asymmery. Informaion asymmery in capial markes increases he risk for invesors and shareholders and a huge par of his informaion asymmery is because of exisence of inside informaion. Inside informaion ha indicaes a lack of ransparency has led o he concern of he poenial shareholders, however, he holder of his daa can achieve more reurn han he ordinary reurns and excess reurns will be possible when here isn clear and accurae informaion abou he company's performance. In oher words, ambiguiy and uncerainy of informaion abou he earnings leads o excess reurns. Thus, one would expec ha a negaive relaionship beween ransparency of informaion, paricularly he company's earnings and obained excess reurns (Bara e al., 2013). 2. THEORETICAL BASES THE RELATIONSHIP BETWEEN EARNINGS TRANSPARENCY AND EXCESS RETURNS Financial reporing is one of he main oucomes of accouning sysem ha one of he main purpose of i is o provide informaion necessary for he economic ISSN: Page 1

2 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 decisions regarding he assessmen of he performance and profiabiliy of he enerprise (Baress e al, 2005). The prerequisie for achieving his goal is measuring and presening informaion in a way ha makes i possible o evaluae he pas performance and becomes effecive in assessing he profiabiliy and predicing he fuure aciviies of he enerprise (Francis e al., 2004). In oher words, he number and frequency of financial repors regarding he deails of he company's earnings, increase he awareness of he minor sockholders who have less access o informaion and increases ransparency (Bara e, 2013). One of he main facors in he righ decision making of he sockholders is he correc informaion relaed o subjec of decision ha if hey are no properly processed, hey will have negaive consequences for he person or eniy making he decisions. On he oher hand, he ype and mean of accessing o he informaion is imporan oo (Hill and Leves, 2006). If he required informaion is asymmerically disribued among he shareholders (unfair reporing o sockholders) i could have resul differenly in one paricular siuaion. So he ransparency of disribuion of informaion should be carefully evaluaed before even providing he informaion o invesors and sakeholders (Sone, 2004). So when he informaion asymmery regarding he gained earnings of a company increases, he inrinsic value of a company's sock will be differen han he value ha he invesors in he capial marke ake o heir shares. As a resul, he real value of he sock will be differen from he value expeced by he shareholders (Mohenem and Rajibal, 2009). Kohingy (2011) concluded ha he ransparency of he informaion regarding he earnings will reduce asymmeric informaion and is effec on reducing asymmeric informaion over ime will increase. As menioned above providing more ransparen informaion reduces informaion asymmery beween he employer and he agen. This will resul by reducing he informaion risk derived from miigaed informaion asymmery o shareholders and i will considerably influence he expecaions of shareholders. However, as menioned before he excess reurn affeced by various risks and correlaed wih hem. Now i is expeced ha wih greaer ransparency and less informaion risk excess reurn would effeced. 3. RESEARCH BACKGROUND Hu e al. (2011), in a sudy eniled "forecased cash flows, cos of capial and expeced reurn analyzed he relaionship beween he hree variables. According o he company's earnings forecass based on models and indicaors relaed o forecased cash flow, concenrae made o cos of capial and large sample of companies wihin were analyzed. They found ha he earnings forecass are based on oher forecass relaed o Cash flow and based on facors relaing o earnings. Also regarding he cos of capial and is relaionship wih he expeced reurn hey found ha he index associaed wih expeced reurn is he predicion of sock reurns. They also found evidences confirming he significan relaionship beween he expeced reurn properies and he forecased cash flows and modified i based on he base model of capial cos. Barva (2006) in his sudy has analyzed earnings qualiy merics, using qualiaive characerisics of financial informaion conained in he framework of he Financial Accouning Sandards Board. The resuls of analyzing he componens of each dimensions of earnings qualiy indicaed ha he companies wih high relevance and reliabiliy of earnings compared o companies wih less relevance had lower reliabiliy of earnings have higher reurn reacion coefficien and regression explanaory power/ higher earnings. Hanlon (2005) examined he relaionship beween axes and earnings qualiy and concluded ha he sabiliy of accruals and cash flows is lower for he companies wih higher differences beween he books and ax accouns. Logy (2004) esed qualiy of earnings according o he concepual framework of he Financial Accouning Sandards Board and came o he conclusion ha he qualiy of corporae earnings will improve when hey rise he level of insiuional ownership. In his case he consiuen iems of earnings will have higher relevance and reliabiliy. Chan e al (2004) analyzed he relaionship beween he informaion conen of earnings qualiy wih fuure sock reurns and concluded ha he accruals and fuure sock reurns have a negaive relaionship. Skaper and Vincen (2003), in heir sudy analyzed he qualiy crieria o assess he qualiy of earnings and ISSN: Page 2

3 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 indicaed ha he earnings qualiy in addiion o convenional measures, depends on he ype and amoun of conracs based on accouning daa. Richardson (2003) analyzed he relaionship beween shor-selling of shares and he earnings qualiy. He concluded ha hose who conduc he shor-selling of shares won use he accruals informaion abou fuure reurns. Moreover, shor-selling shares in firms wih high accruals are expensive. Khoshina and Ismaili (2006) in a sudy analyzed he relaionship beween earnings qualiy and sock reurns lised companies in Tehran Sock Exchange" during In his sudy, he qualiy of earnings, he amoun of accruals, discreionary and non-discreionary componen of accruals are he independen variable and he reurn is he dependen variable. Research hypohesis regression analysis shows ha here is a weak relaionship beween sock reurns and earnings qualiy. Mashayekh and Ismaili (2006) examined he relaionship beween earnings qualiy and oher corporae governance aspecs including he percenage of ownership of members of he Board of Direcors and number of non-execuive direcors in Tehran Sock Exchange. The resuls indicaed a non-linear relaion beween accruals and he percenage ownership of board members. Khajavi and Nazemi (2005) analyzed he relaionship beween he qualiy of earnings and sock reurns wih emphasis on he role of accruals. According o research he average sock reurns are no affeced by he amoun of accruals and relaed componens. Saqafi and Kordesani (2004) invesigaed he relaionship beween earnings qualiy and he marke reacion o changes in cash dividends. The resuls showed ha invesors in he Tehran Sock Exchange in response o changes in dividends do no consider he earnings qualiy of companies. 4. RESEARCH OBJECTIVES In recen years, corporae abuse and fraud, incorrec financial reporing and poor managemen of he company ha were imporan facors in recen decade s scandals have been gradually spread (Ellio e al., 2010). In Iran he lack of reasonable relaionship beween profiabiliy, price, and sock reurns and excess reurns for socks in differen secions indicae he lack of ransparency in financial reporing firms, and his has led o repariaion of capial from he socks. Alhough in recen years many effor has been made o increase he financial ransparency and financial publishers by approving he rules especially he capial marke Ac in 2005 and he esablishmen of regulaory bodies, such as managing rusee overseeing audiors and financial reporing and Financial Insiuions Supervisory Board of he Sock Exchange, however his issue is sill a he beginning of is journey. So conducing research in he field of earnings ransparency and gaining excess reurn can improve he framework and enrich he lieraure of he subjec. Hypohesis: There is a significan relaionship beween earnings ransparency and he excess reurn of he companies. 5. THE POPULATION AND SAMPLE The populaion of his research is all he companies lised in Tehran Sock Exchange during he period Sampling mehod in his sudy is he eliminaion mehods according o predeermined crieria afer applying hese crieria108 companies were seleced. Companies who had he following crieria were seleced as he sample. 1. Based on he required daa of 2007, companies ha have been acceped up o March 2006 in Tehran Sock Exchange and hey were no omied from he lis by he end of During he period in quesion heir shares are acively raded on he exchange. 3. To enhance he comparabiliy of companies surveyed, heir financial period mus be ended on March 29h and do no have financial year changes during he period. 4. They should no be among he financial inermediaion firms (invesmen, holding, leasing and banking and insurance) because hey have differen funcions. 5. The required informaion should be available. The samples of his sudy are presened in Table 1 based on he indusry. ISSN: Page 3

4 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 TABLE 1 THE SAMPLES BASED ON THE INDUSTRY 6. METHOD OF RESEARCH This research is an applied research based on is purpose and is a correlaion analysis. Considering his maer ha daa being used are real and hisorical i can be classified among he pos even and PAT researches. In his sudy, muliple regressions were used o es he hypoheses. THE RESEARCH MODEL AND THE VARIABLES TESTING THE HYPOTHESIS To es he firs hypohesis of he sudy he following model is applied. In his model, if coefficiens (coefficiens of he independen variables) are significan a he 95% confidence level, he hypohesis will be confirmed. According o a sudy conduced Bara e al (2013), he saisical model is esimaed as follows: RET R TRANS DBTA MVE BM Bea NEG F, M OCF SMB HML FFMOM E / P ε The sudy variables were classified ino hree groups: 1. The dependen variables 1.1. Excess reurn. 2. Independen variables: 2.1. Earnings ransparency. 3. The conrol variables 3.1. Deb raio Enerprise value 3.3. Growh opporuniies 3.4. Sysemic risk 3.5. Dummy variable of negaive sock reurns 3.6. Changes in operaing cash flow raio 3.7. Company Size 3.8. Liquidiy 3.9. Company growh rae The raio of Reurns Changes of each share o he price of each share OPERATIONAL DEFINITIONS OF DEPENDENT VARIABLE: RET i, Sock reurns ( ): A sock reurn of he financial year is calculaed as follows: ( Pi Pi 1) DPS ( Pi 1000) A PiB Ri *100 Pi 1 Where: Pi = price of he sock a he end of year Pi-1 = price of he sock a he end of year -1 DPS = dividend per share based on he number of shares a he beginning of period A = he percenage of he capial increase from earned cash B = increase percenage of he capial increase from he Reained earnings OPERATIONAL DEFINITIONS OF INDEPENDENT VARIABLES: Earnings ransparency According o Bara e al (2013) earnings ransparency is he dummy variable ha if i is higher han 25% i is equal o 1 and oherwise i is equal o 0 and i can be calculaed as follows: TRANS TRANSI TRANSIN j, p, Where: TRANS i, = equals he earnings ransparency TRANSI j, = equals he revenue ransparency TRANSIN TRANSIN TRANSIN p, p, p, = equals he ne reurn = Firm revenue in he curren year Book value of oal asses = Ne reurn in he curren year Revenue in curren year Descripive saisics of he variables are presened in Table 2. TABLE 2 DESCRIPTIVE STATISTICS OF THE VARIABLES According o Table 2 he excess reurn in he sample firms equals and he minimum and maximum values equal and 4/4962. Evaluaion of ISSN: Page 4

5 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 skewness and kurosis of he variables ha mus be 0 and 3 respecively o normalize he disribued variables, his indicaes ha his variable is no normally disribued. According o he descripive saisics presened in Table 2, he average earnings ransparency of he sample firms during he period of invesigaion has been posiive and equal o Also he posiive average raio of he deb, enerprise value, growh opporuniies, sysemic risk and negaive sock reurns o he dummy variable equal o , , , and , respecively. The raio of changes in cash flow, company size, liquidiy, company growh rae and he raio of price per share changes compared o he earnings per share according o he descripive saisics presened in Table 2 equal he mean value of , , , and INFERENTIAL STATISTICS The purpose of esing he hypohesis is o analyze ha wheher here is a significan relaionship beween earnings ransparency and excess reurn. The saisical hypohesis is expressed as follows: H0= There is no significan relaionship beween earnings ransparency and excess reurn. H1: There is a significan relaionship beween earnings ransparency and excess reurn. This hypohesis is esimaed using he panel daa model and if coefficien is significan a 95%, he hypohesis will be approved. RET 7 R OCF H H 0 1 F, M 1 : 0 1 : 0 1 TRANS SMB 9 HML DBTA 2 10 MVE FFMOM In order o deermine wheher a given model esimaed using panel daa is effecive or no, he Chow es or he bound F is used o deermine which mehod is more appropriae (fixed and random effecs) for esimaion (fixed diagnosis or random variaion of he secional unis) he Hausman es is used. The resuls of hese ess are presened in Table 3. TABLE 3: THE TEST RESULTS OF CHOW AND HAUSMAN TEST According o he resuls of he Chow es and P-Value (0000/0), he hypohesis was rejeced a 95% and indicaes ha he panel daa mehod may be used. Also according o he resuls of he Hausman es and P- Value which is less han 0.05 he es hypohesis is rejeced and he hypohesis is confirmed. The model is needed o be assessed using he fixed effecs. In classical regression assumpions analysis he resuls of (J-B) es resuls indicae ha he residuals of he esimaion model for research have normal disribuion a 95% as he probabiliy of he es (0.0596) is greaer han Also, due o he imporance of Borsch- Pagan es which is lower han 0.05 (0.0000) he null hypohesis is rejeced and i could be said ha he model has variance lack of homogeneiy. In his hypohesis he generalized leas squares esimaion mehod (GLS) is used. In Auocorrelaion es he model remains associaed wih he use of Durbin Wason saisic (DW) he DW saisic is beween 1.5 and 2.5 and i can be concluded ha he residuals are independen. Moreover, since he level of he encoded es is greaer han 0.05 (0.1147) hus he null hypohesis of his es based on he linear model is verified and he model does no have he specified error. The summary of he above resuls are given in able (4). 3 TABLE (4): TEST RESULTS OF THE BM 11 4 E STATISTICAL ASSUMPTIONS / P Bea 1 5 ε NEG According o he resuls of Chow and Hausman ess and es resuls of he saisical assumpions of he classical regression he research model is esimaed as consan effecs using panel daa. The resuls are presened in able 5. The esimaed figure using he 7 Eviews sofware will be as follows: TABLE (5): FIRST HYPOTHESIS TEST RESULTS USING FIXED EFFECTS Considering he significance of he model since he value of he F saisics is smaller han 0.05 (0.0000) he significance of he model is confirmed a 95%. The deermining facor also suggess ha 87.17% of he 6 ISSN: Page 5

6 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 excess reurn is confirmed by he variables in he model. Considering he significance of he coefficiens based on he resuls indicaed i able 5, since he probabiliy of he saisic for he earnings ransparency variable coefficien is less han 0.05 (0.0244) herefore a significan relaionship beween he earnings ransparency and excess reurn is confirmed a 95%. Thus he second research hypohesis is acceped and i can be said wih 95% confidence ha here is a significan relaionship beween earnings ransparency and excess reurn. The posiive coefficien of his variable (0.0051) suggess a direc relaionship beween earnings ransparency and excess reurn so ha by 1 uni increase in ransparency he reurn is increased So based on he analyses abou he second hypohesis i can be concluded ha here is a direc significan relaionship beween earnings ransparency and excess reurn. Conclusion Considering he significance of he model since he probabiliy of F saisics is smaller han 0.05 (0.0000) he significance is approved a 95%. Deermining facor of model also suggess ha 87.17% of he excess reurn is defined by he variables in he model. Analyzing he significance of he coefficiens based on he since he probabiliy of he saisic for he earnings ransparency variable coefficien is less han 0.05 (0.0244) herefore a significan relaionship beween he earnings ransparency and excess reurn is confirmed a 95%. So he research hypohesis is acceped and i can be said wih 95% confidence ha here is a significan relaionship beween earnings ransparency and excess reurn. The posiive coefficien of his variable (0.0051) suggess a direc relaionship beween earnings ransparency and excess reurn so ha by 1 uni increase in ransparency he reurn is increased So based on he analyses abou he second hypohesis i can be concluded ha here is a direc significan relaionship beween earnings ransparency and excess reurn. I can be concluded ha he higher repored reurn provides gaining higher reurn. This can be inerpreed ha in Iran sock exchange he deailed analysis of he company's financial saemens may lead o gain more reurn his is more significan in case of higher ransparency. Earnings ransparency faciliaes more deailed analysis in order o achieve greaer reurn in his way here will be higher incenives o buy he socks and cheaper financing will be provided. REFERENCES: 1. ABEL, A., AND J. EBERLY. A Unified Model of Invesmen Under Uncerainy. American Economic Review 84 (1994): Anderson, M., R. Banker, and S. Janakiraman Are selling, general, and adminisraive coss sicky? Journal of Accouning Research 41: Ang, A., Liu, J., How o discoun cash flows wih ime-varying expeced reurns. The Journal of Finance 59, Balsam, S., Krishnan, J., Yang, J.S., (2001). "Audior indusry specializaion and he earnings response coefficien". Working paper, Temple Universiy. 5. Barh, M.E., Hodder, L.D., Subben, Sephen R., Fair value accouning for liabiliies and own credi risk. The Accouning Review 83, BARTOV, E., AND D. COHEN. The Numbers Game in he Pre- and Pos-Sarbanes-Oxley Eras. Journal of Accouning, Audiing & Finance 24 (2009): Bhaacharya, U., Daouk, H., Welker, M., The world price of earnings opaciy. The Accouning Review 78, Braua, A.(2004)."using he FASB qualiaive characerisics in earning qualiy measures", pro Ques informaion and learning company,umi number BUSHEE, B. T. The Influence of Insiuional Invesors on Myopic R&D Invesmen Behavior. The Accouning Review 73 (1998): CHEN, C. L.; H. LU; AND T. SOUGIANNIS. The Agency Problem, Corporae Governance, and he Asymmerical Behavior of Selling, General, and Adminisraive Coss. Conemporary Accouning Research 29 (2012): chiper, K.Vincen, L.(2003)." earnings qualiy ", accouning horizons, supplemen 2003,pp COHEN, D. A.; A. DEY; AND T. Z. LYS. Real and Accrual-Based Earnings Managemen in he ISSN: Page 6

7 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 Pre- and Pos-Sarbanes-Oxley Periods. The Accouning Review 83 (2008): Dan Weiss " Cos Behavior and Analyss Earnings Forecass " THE ACCOUNTING REVIEW American Accouning Associaion,Vol. 85, No. 4 DOI: /accr , pp DECHOW, P., AND R. G. SLOAN. Execuive Incenives and he Horizon Problem: An Empirical Invesigaion. Journal of Accouning and Economics 14 (1991): Eason, P.D., PE raios, PEG raios, and esimaing he implied expeced rae of reurn on equiy capial. The Accouning Review 79, FAMA, E. F., AND J. MACBETH. Risk, Reurn, and Equilibrium: Empirical Tess. Journal of Poliical Economy 81 (1973): Fama, E.F., French., K.R., Common risk facors in he reurns of socks and bonds. Journal of Financial Economics 33, Fama, E.F., French., K.R., The equiy premium. The Journal of Finance 57, Francis, J., LaFond, R., Olsson, P., Schipper, K., Coss of equiy and earnings aribues. The Accouning Review 79, GRAHAM, J. R.; C. R. HARVEY; AND S. RAJGOPAL. The Economic Implicaions of Corporae Financial Reporing. Journal of Accouning & Economics 40 (2005): GRAHAM, J. R.; C. R. HARVEY; AND S. RAJGOPAL. The Economic Implicaions of Corporae Financial Reporing. Journal of Accouning & Economics 40 (2005): Hail, L., Leuz, C., Inernaional differences in he cos of equiy capial: do legal insiuions and securiies regulaion maer? Journal of Accouning Research 44, Hanlon,M.(2005)."he persisence and pricing of earnings,accruals and cash flows when firms have large book-ax differences ", he accouning review, Vol80, No.1, pp Hou, K., Zhang, Y., Zhuang, Z., Undersanding he Variaion in he Value Relevance of Earnings: A Reurn Decomposiion Analysis. Working Paper. Ohio Sae Universiy. 25. KEUNG, E.; Z. LIN; AND M. SHIA. Does he Sock Marke See a Zero or Small Posiive Earnings Surprise as a Red Flag? Journal of Accouning Research 48 (2010): Khajav Sh., Nazem A. Examining he relaionship beween earnings qualiy and reurns wih consideraion of accruals. The Iranian Accouning and Audiing Review (2005). No Konchichk Y., Inflaion and nominal financial reporing: implicaions for performance and sock prices. The Accouning Review 86, Konchichk Y., Inflaion and nominal financial reporing: implicaions for performance and sock prices. The Accouning Review 86, Koshina, M., Esmail S,. Examining relaionship beween Earnings qualiy and Sock reurns. Accouning and audiing sudies (2006). No. 12, Lugee,B.Marquard,C.(2004)."earnings informaiveness and sraegic disclosure : and empirical analyss of pro forma earnings ", he accouning review, Vol.79,No.3, pp Mashayekh, Sh., Esmail M. Examining he relaionship beween insiuional invesors and firm value. The Iranian Accouning and Audiing Review (2006). No Massa, M., Peyer, U., Tong, Z., Limis of Arbirage and Corporae Financial Policy. Working Paper. 33. Mohanram, P., Rajgopal, S., Is PIN priced? Journal of Accouning and Economics 47, Peersen, M.A., Esimaing sandard errors in finance panel daa ses: comparing approaches. Review of Financial Sudies 22, Richardson,S.Sloan,R.Soliman,M. Tuna, I.(2001). " informaion in accruals abou he qualiy of earnings",working paper universiy of Michigan business school, ann arbor, p ROYCHOWDHURY, S. Earnings Managemen Through Real Aciviies Manipulaion. Journal of Accouning and Economics 42 (2006): Saghaf A., Kordesan Gh. Examining he relaion beween earnings qualiy and marke reacion o cash earnings changes. The Iranian Accouning and Audiing Review (2004). No Zhang, L., The value premium. The Journal of Finance 60, ISSN: Page 7

8 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 TABLES: TABLE 1 THE SAMPLES BASED ON THE INDUSTRY Code 1 he indusry Sample 10 Mining of coal 1 13 Mining of meal ores 5 14 Mining oher maerials 1 15 kinds of food and beverage producs 7 17 Texile 1 23 coke, refined peroleum and nuclear fuel 2 24 Chemical maerials and producs 2 25 Rubber and plasic 2 26 Oher non-meallic mineral producs Basic meals Machinery and equipmen 7 31 Elecrical machinery and equipmen 4 32 Manufacure of radio, elevision and communicaion equipmen 1 34 Auomoive and pars manufacuring Indusrial Conracing 1 60 Transpor, Sorage and Communicaion 2 63 Suppor aciviies for ransporaion 1 72 Compuer and relaed aciviies 1 74 Technical Services 1 Toal The code of he indusries are aken from he library of The Securiies and Exchange Organizaion ISSN: Page 8

9 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 Variable Excess reurn Earnings ransparency Deb The value of company Growh opporuniies Sysemic risk Negaive sock reurns Dummy variable Changes in operaing cash flow Number of observaions Company Size Liquidiy Company growh rae The raio of price per share changes compared o he earnings per share TABLE 2 DESCRIPTIVE STATISTICS OF THE VARIABLES Mean SD Minimum value Maximum, value Skewness Kurosis 0 / / / / / / / / / / / / / / / / / / / / / / / 281-0/ / / / / / / / / / / / / / / / / / 193-1/ / / / / / / / / / / / / / / / / / / / / / / / / / / / / / 050-0/ 424 TABLE 3: THE TEST RESULTS OF CHOW AND HAUSMAN TEST MODEL (1) Tes Saisics saisic DF P-Value value Chow ) ( F Hausman TABLE (4): TEST RESULTS OF THE STATISTICAL ASSUMPTIONS 2 Jarque-Bera saisic Breusch-Pagan saisic Durbin- Wason saisic P Value F P Value D F Ramsey saisic P Value 1 / / / / / / / 1147 ISSN: Page 9

10 SSRG Inernaional Journal of Economics and Managemen Sudies (SSRG-IJEMS) volume2 issue9 Sep 2015 TABLE (5): FIRST HYPOTHESIS TEST RESULTS USING FIXED EFFECTS Dependen variable excess reurns Views: 648 years - he company Variable coefficien P-Value Relaionship Fixed componen - 0/ / / 0141 Negaive Earnings ransparency 0 / / / 0244 Posiive Deb - 0/ / / 8671 Negaive The company value - 0/ / / 0033 Posiive Growh opporuniies - 0/ / / 3626 Negaive Sysemic risk 1 / / / 0000 Posiive Negaive sock reurns Dummy variable - 0/0041-0/ / 6649 Insignifican Changes in operaing cash flow - 0/ / / 3254 Insignifican Company Size 0 / / / 0021 Posiive Liquidiy - 0/ / / 7022 Insignifican Company growh rae 0 / / / 0146 Posiive The raio of price per share changes compared o he earnings per share - 0/0211-1/ / 1447 Insignifican Deermining facor 0 / 8717 F P Value 30 /4648 ) 0/0000( ISSN: Page 10