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1Mr. Santu Das is an Assistant Manager at the AICI (set up by the Government of India to implement its Crop-insurance Schemes). He can be reached at santud.ism@gmail.com
2Dr. J.K. Pattanaya is a Professor and HOD of the Department of Management Studies at ISM, Dhanbad. He can be reached at jkpattanayak@yahoo.co.in
3Dr. Pramod Pathak is a Professor at the Department of Management Studies at ISM, Dhanbad. He can be reached at pramod_ism@rediffmail.com
The state of equity market under the influence of either bull or bear phase has been found to have its effect on the stock price movement following earnings announcement. The present study investigates the impact of quarterly earnings announcements on the stock price movement of the firms constituting the Bombay Stock Exchange Sensitive Index (BSE-SENSEX) during the bull and bear regimes of the market. The study is based on the quarterly earnings announcements of such firms announced during the period pertaining to the first quarter of the financial year (FY) 2001-02 to the third quarter of the FY 2010-11. Event study methodology using daily returns and market model has been used for analysing the price effect of quarterly earnings announcement during the bull and bear market regimes. An event study seeks to establish whether the cross-sectional distribution of returns at the time of an event is abnormal. The null hypothesis to be tested is whether the mean abnormal return (AAR) and the cumulative average abnormal return at time ‘t’ are equal to zero. In this study, an event window of 41 days has been taken up for investigation. The length of the pre-event and post-event window is 20 trading days prior to and post announcement date, respectively. The study reveals that quarterly earnings released during the bull and bear market phases have no statistically significant effect on the return behaviour of the companies constituting the BSE-SENSEX. It is also observed that irrespective of good or bad announcements, greater number of positive AARs is generated in the bear market in comparison to the bull market
Event study, BSE-SENSEX, Quarterly earnings announcements, Bull market, Bear market
JEL Classification: G1, G14, G140
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