Abstract
Financial anomalies are related to investors' ability to analyze financial statements and expected firms’ prices. A firm’s size is one of the main characteristics of each firm. This study shows investors of large firms respond quickly on the event day, while investors of smaller ones delay to response to new information. This study tests the effect of a firm’s size on the short-term reaction of investors exposed to earnings announcements surprises in the Tehran stock Exchange (TSE) of Islamic Republic of Iran from 2003 to 2012. This study examines whether the observed patterns in stock returns after earnings announcements surprising are related to a firm’s size in the short-term. The findings show market reaction to earnings announcements surprising for large capital stocks portfolio (LCSP) is consistent with the efficient market hypothesis on the event day, and there are no abnormal returns for LCSP in the short-term, while findings indicate under reaction and abnormal returns for small capital stocks portfolio (SCSP) in the short-term.

Keywords
Market efficiency; Earnings announcements surprising; Abnormal returns

Cite this paper
Mahmoud Salari, The effect of a firm’s size on investors’ responses in short-term: Evidence from the Tehran stock exchange (TSE) , SCIREA Journal of Economics. Volume 1, Issue 2, December 2016 | PP. 61-75.

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