University of Isfahan Financial Accounting Research 2322-3405 5 1 2013 03 21 The Effect of Accruals Quality on Stock Risk Premium of Listed Companies in Tehran Stock Exchange The Effect of Accruals Quality on Stock Risk Premium of Listed Companies in Tehran Stock Exchange 13 28 16971 FA Daruosh Foroghi Assistant professor of Accounting, university of Isfahan, Iran 0000-0002-7164-6728 Hadi Amiri Assistant professor of Economic, university of Isfahan, Iran Hadi Sheikhi Lecturer of Accounting, Islamic Azad university, Abdanan, Ilam, Iran Journal Article 2016 06 14 In this research the effect of accruals quality on stock risk premium of listed companies in Tehran Stock Exchange has been studied. for this purpose,  and based on the three factors model of Fama and French (1993), the difference of average return made by the  strategy of choosing the companies with high accruals quality and low accruals quality between the years 1997-2008, has been used. The accruals quality of each company is calculated on the basis of Fransis et al model (2005). The survey results indicate that accruals quality do not have the ability to interpret the stock risk premium of the companies. Then, by forming 25, 50 and 64 mimicking portfolios separately, and running the two-stage cross sectional test on Fama and French model (1993) the effect of accrual quality on risk premium of companies has been examined again. The results of this test for all mimicking portfolios confirmed the inefficiency of accrual quality in determining the companies’ risk premium behavior.     In this research the effect of accruals quality on stock risk premium of listed companies in Tehran Stock Exchange has been studied. for this purpose,  and based on the three factors model of Fama and French (1993), the difference of average return made by the  strategy of choosing the companies with high accruals quality and low accruals quality between the years 1997-2008, has been used. The accruals quality of each company is calculated on the basis of Fransis et al model (2005). The survey results indicate that accruals quality do not have the ability to interpret the stock risk premium of the companies. Then, by forming 25, 50 and 64 mimicking portfolios separately, and running the two-stage cross sectional test on Fama and French model (1993) the effect of accrual quality on risk premium of companies has been examined again. The results of this test for all mimicking portfolios confirmed the inefficiency of accrual quality in determining the companies’ risk premium behavior.     https://far.ui.ac.ir/article_16971_4251e7de78c9acee0ca192fe46c6e890.pdf