Stock Price Reactions to Earnings Announcements: Evidence from India

Sanjay Sehgal and Kumar Bijoy

Vision, 2015, vol. 19, issue 1, 25-36

Abstract: In this study we examine the stock price reaction around earnings announcement for India. The data are used for 469 companies and the study period spans from December 2002 to December 2011 covering 37 quarterly periods. Significant pre-event abnormal returns are observed for 32 out of 37 quarters which may be an outcome of superior analysis coupled with information asymmetry. Significant post-event abnormal returns are observed for 35 out of 37 quarters implying strong rejection of semi strong efficiency with regards to earning announcements. There are strong continuation patterns in earnings suggesting that investors are able to anticipate the informational contents of earnings. Post-event abnormal returns are higher for financial vis-Ã -vis non-financial closing quarters. A large part of abnormal returns is observed over an elongated event window rather than very close to event date. Lower post-event abnormal returns are reported for periods of high aggregate earnings and vice versa. The findings shall be useful for market regulator, investment managers, companies as well as researchers. The study contributes to stock market efficiency and behavioural finance literature for an emerging market.

Keywords: Cumulative Average Abnormal Return; Earning Announcement; Event Study Methodology; Market Model; Stock Price Reaction (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972262914564042 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:19:y:2015:i:1:p:25-36

DOI: 10.1177/0972262914564042

Access Statistics for this article

More articles in Vision
Bibliographic data for series maintained by SAGE Publications ().