Market Reaction to Earnings Information: An Empirical Study

Iqbal and T. Mallikarjunappa (2007). 'Market Reaction to Earnings Information: An Empirical Study' AIMS International Journal of Management, Vol. 2, No.1, May, pp.153-167

Posted: 3 Jan 2020

Date Written: May 3, 2007

Abstract

This paper examines semi-strong form of efficient market hypothesis by taking September 2001 quarter earnings announcement as an event. The study is based on 146 companies having minimum 20 percent foreign holdings. We have used event study methodology, t test, Runs test and sign test to test the semi-strong form of efficient market hypothesis. We have used both raw returns and log returns. The behaviour of AARs and CAARs are examined for 30 days before and 31 days after the announcement of quarterly earnings. The results of the study revealed that Indian stock market is not efficient in semi-strong form of efficient market hypothesis.

Efficient market hypothesis, stock price reactions to earnings announcements, average abnormal returns, cumulative average abnormal returns, semi-strong form of EMH.

Keywords: efficient market hypothesis, stock market reactions to earnings announcements, stock market reactions to earnings information, stock market responses to earnings announcement, average abnormal returns, cumulative average abnormal returns, semi-strong form of EMH

JEL Classification: G13, G14, G 15, G18, C32, F30

Suggested Citation

Hawaldar, Iqbal Thonse and Mallikarjunappa, T., Market Reaction to Earnings Information: An Empirical Study (May 3, 2007). Iqbal and T. Mallikarjunappa (2007). 'Market Reaction to Earnings Information: An Empirical Study' AIMS International Journal of Management, Vol. 2, No.1, May, pp.153-167, Available at SSRN: https://ssrn.com/abstract=3513355

Iqbal Thonse Hawaldar (Contact Author)

Kingdom University ( email )

Sanad
Bahrain

T. Mallikarjunappa

Mangalore University ( email )

Mangalagangotri
Mangalore - Dakshina Kannada
Mangalagangothri - 574 119, D.K. Karnataka 574199
India

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