Impacts of corporate announcements on stock returns during the global pandemic: evidence from the Indian stock market

Dharen Pandey, Vineeta Kumari and Brajesh Kumar Tiwari

Asian Journal of Accounting Research, 2022, vol. 7, issue 2, 208-226

Abstract: Purpose - The authors examine the impacts of corporate announcements on stock returns during the pandemic stress. Design/methodology/approach - The authors employ the event study methodology with the market model on a sample of 90 events (announcement and ex-date). Findings - The authors find that all the corporate announcements do not impact the stock returns in a similar pattern. While the bonus announcement, ex-bonus and ex-split events led to positive significant abnormal returns on the event date, the rights issue and stock-split announcements failed to influence the stock returns. The findings suggest that before making such announcements, the corporates should wait until the market recovers because even the positively impacting events result in negative market responses during pandemic stress. Practical implications - This study will guide the policymakers to stimulate share prices during such pandemics with the help of various corporate announcements. The investors will be assisted in understanding the stock market mechanism and making wise decisions before reacting to corporate actions during a pandemic or emergency period. While the policymakers are concerned with influencing the share prices, the investors are concerned with the composition of the risk-return parameters in their portfolio. This study will act as an essential investment tool for both. Originality/value - To the best of the authors’ knowledge, the authors conduct the first-ever study to examine the impacts of corporate announcements during a pandemic stress period that significantly contributes to the literature. The authors examine the announcement effects in India and accurately anticipate that this study will be a pioneer in this field. This study also paves the way for future researches in this area.

Keywords: Announcement effects; Event study; Global pandemic; Market model; COVID-19; G01; G12; G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:ajarpp:ajar-06-2021-0097

DOI: 10.1108/AJAR-06-2021-0097

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