Predictability of earnings and its impact on stock returns: Evidence from India

References

• Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders’ returns: An empirical analysis. The Journal of Finance, 35(1), 1–24. https://doi.org/10.1111/j.1540-6261.1980.tb03466.x
   Web of Science ®Google Scholar
• Ahmad, K. M., Ashraf, S., & Ahmed, S. (2006). Testing weak form efficiency for Indian stock markets. Economic and Political Weekly, 41(1), 49–56. http://www.jstor.org/stable/4417642
   Google Scholar
• Ahmed, R. R., Vveinhardt, J., Streimikiene, D., & Channar, Z. A. (2018). Mean reversion in international markets: Evidence from GARCH and half-life volatility models. Economic research-Ekonomska Istraživanja, 31(1), 1198–1217. https://doi.org/10.1080/1331677X.2018.1456358
   Web of Science ®Google Scholar
• Balakrishnan, K., Billings, M. B., Kelly, B., & Ljungqvist, A. (2014). Shaping liquidity: On the causal effects of voluntary disclosure. The Journal of Finance, 69(5), 2237–2278. https://doi.org/10.1111/jofi.12180
   Web of Science ®Google Scholar
• Ball, R., & Kothari, S. P. (1991). Security returns around earnings announcements. Accounting Review, 66(4), 718–738. https://www.jstor.org/stable/248152
   Web of Science ®Google Scholar
• Ball, R., & Shivakumar, L. (2008). How much new information is there in earnings? Journal of Accounting Research, 46(5), 975–1016. https://doi.org/10.1111/j.1475-679X.2008.00299.x
   Web of Science ®Google Scholar
• Barber, B. M., De George, E. T., Lehavy, R., & Trueman, B. (2013). The earnings announcement premium around the globe. Journal of Financial Economics, 108(1), 118–138. https://doi.org/10.1016/j.jfineco.2012.10.006
   Web of Science ®Google Scholar
• Beaver, W. H., McNichols, M. F., & Wang, Z. Z. (2018). The information content of earnings announcements: New insights from intertemporal and cross-sectional behavior. Review of Accounting Studies, 23(1), 95–135. https://doi.org/10.1007/s11142-017-9417-z
   Web of Science ®Google Scholar
• Brown, L. D., & Caylor, M. L. (2005). A temporal analysis of quarterly earnings thresholds: Propensities and valuation consequences. The Accounting Review, 80(2), 423–440. https://doi.org/10.2308/accr.2005.80.2.423
   Web of Science ®Google Scholar
• Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205–258. https://doi.org/10.1016/0304-405X(80)90002-1
   Web of Science ®Google Scholar
• Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/10.1016/0304-405X(85)90042-X
   Web of Science ®Google Scholar
• Bruno, B., Onali, E., & Schaeck, K. (2018). Market reaction to bank liquidity regulation. Journal of Financial and Quantitative Analysis, 53(2), 899–935. https://doi.org/10.1017/S0022109017001089
   Web of Science ®Google Scholar
• Chandra, R., & Balachandran, B. V. (1992). More powerful portfolio approaches to regressing abnormal returns on firm‐specific variables for cross‐sectional studies. The Journal of Finance, 47(5), 2055–2070. https://doi.org/10.1111/j.1540-6261.1992.tb04697.x
   Web of Science ®Google Scholar
• Chauhan, Y., Kumar, K. K., & Chaturvedula, C. (2016). Information asymmetry and the information content of insider trades: Evidence from the Indian stock market. Journal of Multinational Financial Management, 34, 65–79. https://doi.org/10.1016/j.mulfin.2015.12.003
   Web of Science ®Google Scholar
• Collins, D. W., Li, O. Z., & Xie, H. (2009). What drives the increased informativeness of earnings announcements over time? Review of Accounting Studies, 14(1), 1–30. https://doi.org/10.1007/s11142-007-9055-y
   Web of Science ®Google Scholar
• Cready, W. M., & Gurun, U. G. (2010). Aggregate market reaction to earnings announcements. Journal of Accounting Research, 48(2), 289–334. https://doi.org/10.1111/j.1475-679X.2010.00368.x
   Web of Science ®Google Scholar
• Das, S., Kanta Pattanayak, J., & Pathak, P. (2014). Effect of quarterly earnings announcement under different market conditions: An empirical study of companies constituting SENSEX. Journal of Indian Business Research, 6(2), 128–154. https://doi.org/10.1108/JIBR-09-2013-0087
   Google Scholar
• DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. The Journal of Finance, 64(2), 709–749. https://doi.org/10.1111/j.1540-6261.2009.01447.x
   Web of Science ®Google Scholar
• Deshpande, S., & Svetina, M. (2011). Does local news matter to investors? Managerial Finance, 37(12), 1190–1212. https://doi.org/10.1108/03074351111175092
   Web of Science ®Google Scholar
• Dicle, M. F., Beyhan, A., & Yao, L. J. (2010). Market efficiency and international diversification: Evidence from India. International Review of Economics & Finance, 19(2), 313–339. https://doi.org/10.1016/j.iref.2009.09.003
   Web of Science ®Google Scholar
• Engelberg, J., Ozoguz, A., & Wang, S. (2018). Know thy neighbor: Industry clusters, information spillovers, and market efficiency. Journal of Financial and Quantitative Analysis, 53(5), 1937–1961. https://doi.org/10.1017/S0022109018000261
   Web of Science ®Google Scholar
• Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1–21. https://doi.org/10.2307/2525569
   Google Scholar
• Fan, Y., Barua, A., Cready, W. M., & Thomas, W. B. (2010). Managing earnings using classification shifting: Evidence from quarterly special items. The Accounting Review, 85(4), 1303–1323. https://doi.org/10.2308/accr.2010.85.4.1303
   Web of Science ®Google Scholar
• Gonedes, N. J. (1973). Evidence on the information content of accounting numbers: Accounting-based and market-based estimates of systematic risk. Journal of Financial and Quantitative Analysis, 8(3), 407–443. https://doi.org/10.2307/2329643
   Web of Science ®Google Scholar
• Greene, W. H. (2018). Econometrics Analysis. New York, NY.
   Google Scholar
• Gupta, A. (2006). Impact of earnings announcements on stock prices: Some empirical evidences from India. The ICFAI Journal of Applied Finance, 12(3), 5–13. https://www.iupindia.in/306/IJAF_Impact_of_Earnings_Announcements_on_Stock_Prices_5.html
   Google Scholar
• Hausman, J. A. (1978). Specification tests in econometrics. Econometrica: Journal of the Econometric Society, 46(6), 1251–1271. https://doi.org/10.2307/1913827
   Web of Science ®Google Scholar
• Iqbal, M., & Santhakumar, S. (2018). Information asymmetry and insider trade profitability in India. Journal of Indian Business Research, 10(1), 53–69. https://doi.org/10.1108/JIBR-05-2017-0059
   Web of Science ®Google Scholar
• Jain, P., & Sunderman, M. A. (2014). Stock price movement around the merger announcements: Insider trading or market anticipation? Managerial Finance, 40(8), 821–843. https://doi.org/10.1108/MF-09-2013-0256
   Web of Science ®Google Scholar
• Johnson, T. L., & So, E. C. (2018). Asymmetric trading costs prior to earnings announcements: Implications for price discovery and returns. Journal of Accounting Research, 56(1), 217–263. https://doi.org/10.1111/1475-679X.12189
   Web of Science ®Google Scholar
• Kirilenko, A., Kyle, A. S., Samadi, M., & Tuzun, T. (2017). The flash crash: High‐frequency trading in an electronic market. The Journal of Finance, 72(3), 967–998. https://doi.org/10.1111/jofi.12498
   Web of Science ®Google Scholar
• Krinsky, I., & Lee, J. (1996). Earnings announcements and the components of the bid-ask spread. The Journal of Finance, 51(4), 1523–1535. https://doi.org/10.1111/j.1540-6261.1996.tb04078.x
   Web of Science ®Google Scholar
• Lakhal, F. (2008). Stock market liquidity and information asymmetry around voluntary earnings disclosures: New evidence from France. International Journal of Managerial Finance, 4(1), 60–75. https://doi.org/10.1108/17439130810837384
   Google Scholar
• Landsman, W. R., & Maydew, E. L. (2002). Has the information content of quarterly earnings announcements declined in the past three decades? Journal of Accounting Research, 40(3), 797–808. https://doi.org/10.1111/1475-679X.00071
   Web of Science ®Google Scholar
• Mandelker, G. (1974). Risk and return: The case of merging firms. Journal of Financial Economics, 1(4), 303–335. https://doi.org/10.1016/0304-405X(74)90012-9
   Google Scholar
• McVay, S. E. (2006). Earnings management using classification shifting: An examination of core earnings and special items. The Accounting Review, 81(3), 501–531. https://doi.org/10.2308/accr.2006.81.3.501
   Web of Science ®Google Scholar
• Mishra, A., Mishra, V., & Smyth, R. (2015). The random-walk hypothesis on the Indian stock market. Emerging Markets Finance and Trade, 51(5), 879–892. https://doi.org/10.1080/1540496X.2015.1061380
   Web of Science ®Google Scholar
• Mobarek, A., & Fiorante, A. (2014). The prospects of BRIC countries: Testing weak-form market efficiency. Research in International Business and Finance, 30, 217–232. https://doi.org/10.1016/j.ribaf.2013.06.004
   Google Scholar
• Racicot, F. E., & Rentz, W. F. (2017). A panel data robust instruments approach: A test of the new fama-french five factor model. Applied Economics Letters, 24(6), 410–416. https://doi.org/10.1080/13504851.2016.1197361
   Web of Science ®Google Scholar
• Ramiah, V., Pham, H. N., & Moosa, I. (2017). The sectoral effects of Brexit on the British economy: Early evidence from the reaction of the stock market. Applied Economics, 49(26), 2508–2514. https://doi.org/10.1080/00036846.2016.1240352
   Web of Science ®Google Scholar
• Savor, P., & Wilson, M. (2016). Earnings announcements and systematic risk. The Journal of Finance, 71(1), 83–138. https://doi.org/10.1111/jofi.12361
   Web of Science ®Google Scholar