Impacts of Corporate Announcements on Stock Returns during the Global Pandemic: Evidence from the Indian Stock Market

Abstract

With a sample of ninety events (announcement and ex-date) using the event study methodology with the market model, we provide evidence for the impacts of the corporate announcements on stock returns during the pandemic stress. We 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 response during pandemic stress. We conduct the first-ever study to examine the impacts of corporate announcements during a pandemic stress period that significantly contributes to the literature.

Keywords: Announcement effects, event study, global pandemic, market model

JEL Classification: G01, G12, G14