Univrsity Of Tehran Press Accounting and Auditing Review 2645-8020 23 2 2016 08 22 Studying the effect of information risk and transaction costs on stock market reaction to earnings news Studying the effect of information risk and transaction costs on stock market reaction to earnings news 235 252 58468 10.22059/acctgrev.2016.58468 FA Mohammad Hosein Ghaemi Mostafa Taghizadeh Journal Article 2015 07 06 Abstract: The role of information environment in price discovery of firms' stocks can be studied through information risk and transaction costs factors. Firms with higher information risk are those with less public information and more privately informed investors. This research focuses on studying the effect of information risk and transaction costs arose from information environment of the firm on investors’ reaction; so 2050 quarter-firm data has been analyzed quarterly in a 9 year period between 1384 to 1392. Zhang et al, (2013) model is used for hypothesis testing that includes factor analysis for determining information risk variables and, analyzing the multivariable linear regression for hypothesis testing. The results of hypothesis testing demonstrate that higher information risk causes initial reaction of most of the investors to quarterly earnings announcements, but is not effective in subsequent reactions; also transaction costs have not effect on stock market reaction. Abstract: The role of information environment in price discovery of firms' stocks can be studied through information risk and transaction costs factors. Firms with higher information risk are those with less public information and more privately informed investors. This research focuses on studying the effect of information risk and transaction costs arose from information environment of the firm on investors’ reaction; so 2050 quarter-firm data has been analyzed quarterly in a 9 year period between 1384 to 1392. Zhang et al, (2013) model is used for hypothesis testing that includes factor analysis for determining information risk variables and, analyzing the multivariable linear regression for hypothesis testing. The results of hypothesis testing demonstrate that higher information risk causes initial reaction of most of the investors to quarterly earnings announcements, but is not effective in subsequent reactions; also transaction costs have not effect on stock market reaction. https://acctgrev.ut.ac.ir/article_58468_37b57ef0f8d0042c34d26ea86c340690.pdf