Assessment of Abnormal Changes in Cash Effect on Earnings Persistence and Efficiency of Tehran Stock Exchange in Distinguishing Earnings Components Persistence Characteristics

Document Type : Research Paper



In this paper the persistence of abnormal changes in cash has been evaluated and then the persistence of changes in cash and abnormal accruals has been compared. In addition, stock market efficiency with respect to characteristics of earnings components persistence has been investigated. To perform the research, first, the required data have been calculated, using cross- sectional multi-variable regression method. Then, final models have been estimated by pooled method. To estimate the models, we use financial information of 111 sample companies in the period of 2001 to 2010. The results indicate that there is not any difference between persistence of negative abnormal changes and positive abnormal changes. Also abnormal accruals have greater persistence than negative and positive abnormal changes. Another result indicates that the stock exchange market is inefficient to impound the persistence of earnings components.