Behaviour of Excess Stock Return Around Earnings Announcement Day: A Test of the Efficiency of Kuala Lumpur Stock Exchange

Gupta G S, Jili Ang and Sanda Ahmadu U

No WP1998-11-03, IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

Abstract: This study is concerned with analyzing stock returns around periods of earnings announcements. Three hundred and sixty-four earnings announcement dates (events) were obtained from the annual earnings announcements of 91 stocks listed on the main board of KLSE for the years 1993 to 1996. For each event market model parameters were estimated and adjusted for thin trading using daily return data for the period six months before the event. The estimated parameters were then used to estimate the residuals for the period 29 days before and 30 days after the announcements. The cumulative average residuals. CAR was found to exhibit a significantly negative trend for more than a month after the announcement. Thus with respect to stocks in the sample the KLSE does not adjust instantaneously to the release of earnings information and hence the KLSE is semi-strong inefficient.

Date: 1998-11-03
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:iim:iimawp:wp01562

Access Statistics for this paper

More papers in IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department Contact information at EDIRC.
Bibliographic data for series maintained by ().