بررسي تحليل‌هاي بنيادي در بورس اوراق بهادار تهران‌

Fundamental Information Analysis in Tehran Stock Exchange (TSE)

This paper investigates the relationship between Fundamental analysis and abnormal rate of returns at Tehran Stock Exchange (TSE) during 2001-2004. Using a collection of signals that reflect traditional rules of Fundamental analysis related to contemporaneous changes in inventories, accounts receivables, gross margins, capital expenditures, selling and administrative expenses, effective tax rates, labor force productivity, audit qualification, and interest expenses. Also, this study extends the search for value-relevant fundamentals both by using a guided choice of candidate variables and by conditioning the returns-fundamentals relation on macroeconomic variables. To examine the incremental value-relevance of 9 candidate fundamentals, we use cross-sectional regression. We find that fundamental signals do not provide significant information about future returns. These findings are inconsistent with the underlying focus of undamental analysis on the prediction of earnings. Also, our finding indicates that the reaction of investors to fundamental signals in different economic conditions is different.