Abstract

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67 large-cap Indian stocks over 33 quarters from 2010 to 2018. Panel data estimation with fixed and random effects is applied to examine the impact of quarterly earnings announcements on stock returns. Results show that all stocks experience return premiums in the pre-announcement period, which is already documented in the literature. The paper adds to the literature by finding that the firms that report better earnings numbers than the previous period generate significantly higher stock returns. It is inferred that the market can anticipate whether the firm will announce better earnings than the prior period. The paper shows that changes in revenue and core earnings are better anticipated. Post-announcement, stock prices adjust to reflect the disclosed earnings information, and only non-performers experience a drop in stock prices. It is the first comprehensive study of liquid large-cap Indian stocks that provides evidence on the behaviour of stock returns around earnings announcements.

摘要

本文的目的是分析季度披露日期之前的收入信息的可预测性。有两种类型的公司形成对比：公布季度收益比上一时期更好的公司和未公布季度收益的公司。本文使用了从2010年到2018年的33个季度中的67只大型印度股票的样本。采用具有固定和随机影响的面板数据估计来检验季度收益公告对股票收益的影响。结果表明，所有股票都在公告前的时期内经历了收益溢价，这已经在文献中得到了证明。该论文通过发现那些报告的收益数字比上一时期更好的公司产生了明显更高的股票收益，从而增加了文献资料。可以推断，市场可以预期该公司是否将宣布比上一季度更好的收益。该文件显示，收入和核心收益的变化将得到更好的预期。公告后，股价会进行调整以反映所披露的收益信息，并且只有表现不佳的股票才会下跌。这是对流动性强的印度大盘股票的首次全面研究，为收益公布前后股票收益的行为提供了证据。