Abstract

This study investigates the effect of quarterly and annual earnings announcements on the abnormal market depth (representing information asymmetry). The dependent variable is the excess-depth and the independent variables are the excess-spread, abnormal trading volume and excess-volatility. To test the hypothesizes, the historical data of 97 firms accepted in Tehran's Stock Exchange from 2009 to 2012 and a regression analysis were used. The result showed that before the announcement, the Tehran's Stock Exchange had a low depth and this is not only for the prior announcement period, so that after the announcement the low-depth is also observed. On the other hand, in the Tehran's Stock Exchange, annual reports are attracted by more investors because of the more controls on them and therefore a higher level of depth is visible during annual earnings announcement rather than quarterly. Also, the results showed a significant correlation between the depth and the other independent variables around the earnings announcements.