M.A. Thesis:

Stock turnover٫ stock traded features and delays in stock price adjustment

Considering the importance of the issue of the reaction rate of the capital market in adjusting the company's stock price and its impact on investor decisions, in this research, the effect of stock turnover and stock traded characteristics on the delay in stock price adjustment. To measure the delay variable in the stock price adjustment used by Ho and Maskowitz (2005) and the characteristics of the exchanged stock include the stock liquidity (measured by the number of trading days and the relative price gap), the quality of financial reporting (quality of earnings and accrual quality) and ownership structure (institutional ownership index). Using a sample of 135 companies from listed companies in Tehran Stock Exchange over the period of 2010-2016 using the regression model, the results of this study indicate that with the increase in the volume of the stock exchanged, the delay in the stock price adjustment was reduced However, the increase in liquidity (measured by indicators of the number of trading days and relative price gap) and the increase in the dispersion of profits as well as the proportion of institutional shareholders increases the delay in stock price adjustment, while the effect of the quality of accruals on the delay in stock price adjustment It was not statistically significant

Keywords: Delay in stock price adjustment, ownership structure, financial reporting quality, stock liquidity