Post-earning announcement drift and value-glamour anomalies in NSE listed firms

Gupta, Pankaj Kumar; Dhusia, Devendra Kumar Article Post-earning announcement drift and value-glamour anomalies in NSE listed firms Trends Economics and Management Provided in Cooperation with: Faculty of Business and Management, Brno University of Technology Suggested Citation: Gupta, Pankaj Kumar; Dhusia, Devendra Kumar (2021) : Post-earning announcement drift and value-glamour anomalies in NSE listed firms, Trends Economics and Management, ISSN 2336-6508, Brno University of Technology, Faculty of Business and Management, Brno, Vol. 15, Iss. 37, pp. 27-42, https://doi.org/10.13164/trends.2021.37.27 This Version is available at: https://hdl.handle.net/10419/308924 Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence. https://creativecommons.org/licenses/by/4.0/ 27 TRENDY EKONOMIKY A MANAGEMENTU TRENDS ECONOMICS AND MANAGEMENT ISSN 1802-8527 (Print) / ISSN 2336-6508 (Online) 2021 37(1): 27–42 DOI: http://dx.doi.org/10.13164/trends.2021.37.27 Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms Pankaj Kumar Gupta, Devendra Kumar Dhusia Abstract Purpose of the article: Of the various market anomalies, the Value-Glamour anomaly and Post-Earnings Announcement Drifts (PEAD) have consistently attracted the attention of researchers. Prior studies have established that the reaction of value stocks and glamour stocks to the earnings announcement differs significantly and there is a close relationship between the PEAD and abnormal returns arising due to earning announcement surprises. We have studied the drift patterns of various value and glamour portfolios and tested whether the direction of the earnings announcement abnormal return is opposite to that of earnings surprise in the Indian market. Methodology: We use the statistics of 100 firms listed on the NSE for a sample period of 2014–2018. We use a set of 1130 observations analysed using the expectations formation approach around earnings and evaluate the post earnings announcement drift. We use the Earnings Response Coefficients to find the association between abnormal stock returns and earnings surprises. Scientific aim: The aim of this research is to improve the knowledge of market anomalies in developing markets such as India focusing on the impact of earnings announcement on growth and value stocks. Findings: We find that a negative association of abnormal stock returns with surprise in accounting earnings announcements. The stocks, which are overvalued or undervalued, are properly priced after the earnings announcements. Our results refute the earlier studies evidencing the strong support in favour of market inefficiency in the Indian context, particularly with respect to publicly available earnings information. Conclusions: The Indian stock market tends to be efficient with respect to earnings announcements and therefore does not produce excessive returns. However, a heterogeneity with respect to earnings announcement may exist among the category of stocks depending upon liquidity position. Superior returns cannot be derived by traders and investors on a consistent basis from value-glamour anomaly. Keywords: post-earnings announcement drifts, abnormal returns, value and glamour anomaly, earnings response coefficient JEL Classification: C22, G14, G32 Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 28 1. Introduction The notion of market efficiency has been frequently challenged by researchers who believe that anomalies do exist in the financial market and particularly the stock market. The pioneering work of Ball, Brown (1968) first observeed and documented the drifts of the various market anomalies. Of these, we focus on the “value and glamour” anomaly which implies the outperforming the behaviour of glamour stocks vis-a-vis value stock. Preliminary studies exhibit that value and glamour stocks response to earnings announcements in a different style. Also, Kishore et al. (2008) shows that “earnings announcement abnormal returns (EARs) are significantly related to post-earnings-announcement drifts”. Post stocks returns have gathered substantial attention and have been reported in various studies. Researchers have used a variety of sets to understand this phenomenon. Bernard, Thomas (1989) show that “a long position in stocks with unexpected earnings in the highest deciles, combined with a short position in the stocks in the lowest deciles, yields high abnormal returns”. Substantial studies have been conducted to explain the drift. These are disclosures (Shin, 2005), investor learning (Chordia, Shivakumar, 2006), idiosyncratic stock return volatility (Mendenhall, 2004), information uncertainty (Francis et al., 2007) and liquidity by some researchers. Future earning of the investor is influenced by the information content in presenting earning and it can be obtained by the Earning Response Coefficients (ERC). The ERC estimates the relationship between information content in companies’ earnings announcements and the equity returns. A wide range of explanations has been provided in the literature to explain the difference in earnings between growth stocks and value stocks. The famous work of Fama, French (1992) outlines the fundamental risks associated with value strategies. Compensation for risk is reflected by higher average returns obtained of which systematic risk measured by beta is prominent. The risk of the firm’s earnings is negatively related to the reaction of the investor to the unexpected portion of the earnings. Authors such as Doukas et al. (2002) refute “the extrapolation hypothesis that posits that the superior performance of value stocks is because investors make systematic errors in predicting future growth in earnings of out- -of-favour stocks.” Various pieces of research point out that the measurement errors associated with estimation of long-term abnormal returns that imply a notion that glamour stocks yield inferior returns (Kothari et al. 1999). Skinner, Sloan (2000) show that “growth stocks perform similarly to other stocks surprises, but that growth stocks display a much larger negative response to negative earnings surprises. After controlling for the unsymmetrical response of growth stocks to negative earnings surprises, there is no longer evidence of a stock return differential between growth stocks and other stocks”. In some related studies on value-glamour anomaly, we find that post-earnings-announcement drifts are related to Earning Announcement Returns (EAR) significantly. It is interesting to investigate how the reaction of value stocks differs from glamour stocks and the significance of EARs to post earnings announcement drifts. If the result is affirmative, then we establish that compared to the value stocks, the drift patterns of glamour stocks should exhibit a significant difference. Jegadeesh, Livnat (2006) raise doubt on the market reaction that ignores information other than the one on the announcement dates and place importance to ‘some other information’ similar to Kinney et al. (2002) who also explain it as” the reason for the low explanatory power of earnings surprises for drifts”. In this paper, we analyse the PEAD and Value-Glamour anomaly in the Indian stock markets and attempt to explain the nature of drifts due to earning announcement surprises. Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 29 2. Literature review Over decades, researchers have attempted to study the reaction of stock prices drifting towards the earnings surprises immediate to the earnings announcement popularly referred to as the Post Earnings Announcement Drift (PEAD). Of the various capital market anomalies, the PEAD is well documented in the literature and is a challenge to the notion of efficiency of capital markets. Various studies have been conducted to explore the cause behind its existence. The deviation of the PEAD is associated with the inefficiency in the information processing capabilities of the market investor (Bartov et al., 2000; Troung, 2010). Consequently, inefficiencies are introduced into the market. Bernard, Thomas (1989) define the PEAD as the “tendency for stocks’ Cumulative Abnormal Returns (CAR) to drift upwards, in the case of positive earnings surprise, and downwards, in the case of negative earnings surprise”. In American stock markets, a large amount of research following Ball, Brown (1968) and Foster et al. (1984) shows the existence of the PEAD. Johnson, Schwartz (2000) investigate the perseverance of the PEAD and find that “the profit opportunities previously associated with simple trading strategies, designed to exploit the drift phenomenon, have now been substantially abolished indicating a market which gradually becomes more productive”. Amihud, Mendelson (1986) have indicated that the investment horizon and liquidity as investor preferences and the bid- -ask spread is a step towards realisation of efficiency, rather being an anomaly. The proof of a wrong specified model resulting in the PEAD may be the real cause rather than the market efficiency (Forner et al. 2009). The unexpected returns model does not consider the unexpected returns as reflected by the liquidity risk resulting into the PEAD (Sadka, Sadka, 2004). The studies of Bhushan (1994) and Brav, Heaton (2006) depict the tendency of stronger drifts for the marginal stocks. The major cause of imperfections in the information processing behaviour of investors is due to the degree of confidence in the private information and the extent of the reliability of information (Liang, 2003). Chordia, Shivakumar (2006) show that when markets are inefficient, the use of a simple long–short trading strategy is not able to generate profit. But, as per Mendenhall (2004) bid-ask spreads on the PAED will be profitable for long-short games. The existence of anomaly is established by Porta et al. (1997) for size-adjusted EARs when compared for value vs. glamour stocks. Also, the portfolios with large EARs exhibit large drifts (Brandt et al., 2008). Combining long and short positions for unexpected earnings may generate abnormal returns (Livnat, Mendenhall, 2006). Hotchkiss, Strickland (2003) show that “when the firm reports earnings below the analysts’ expectations, the response is more negative for firms with higher levels of ownership by momentum or aggressive growth investors”. Ganguli’s (2010) study of turnaround companies creates an earning surprise because of the poor information processing capability of analysts establishing the case of the PEAD anomaly in Indian stock markets. In a recent study by Angelovska (2017), we also find that in the period of recession, the investors did not react positively to the earnings announcements. We are therefore motivated to examine the existence of the PEAD and value-glamour anomaly in Indian stock markets, especially during a period when the information processing ability of market investors is on the rise. 3. Methodology For the purpose of the study, we have identified 100 top NSE listed firms that are typically “large caps”. Of these, we investigate the Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 30 PEAD patterns for 98 companies (Table 7) listed on NSE obtained from CMIE Prowess 8.0 databases, classified as (a) glamour stocks and (b) value stocks for the period 2013–2018 (Table 8) representing the period after the global financial crisis and its stabilisation. Stocks are classified into quintiles and first and last quintile portfolio is selected. We define value stocks having low P/E and P/B ratios typically perceived to have low growth potential and glamour stock having high P/E and P/B ratios with robust financial and market performance. The Price to Book Ratio (P/B) = Equity Share Price / Book Value per Share and the Price-to-earnings ratio (P/E) = Equity Share Price/Earnings per Share (Table 9) are used as proxies for performance with training and forward effects similar to earlier studies. Earnings Surprise = Actual Returns – – Expected Returns / / Absolute (Expected Returns). (1) The Earnings Response Coefficient (ERC) has been used to confirm the existence of efficiency using the abnormal returns model. The ERC has been estimated from the difference of actual results around the estimation date and the expectations of returns by the market before announcements. We use the framework of Gupta and Bhatia (2013), who have used Easton, Zmijewski (1989) for the estimation of the ERC distribution of ERCs for sample firms using the abnormal returns model with the two-day holding period quoted as follows: ( ) 01 2 2 1, 0 , jt jj jt jt j jt jt FE CPE P RVL λλ λµ −  −=+ +    ++ (2) where: ( ) 1, 0 jt CPE − – sum of the market model prediction errors over the interval from the trading day –1 through the earnings announcement day, day 0 for firm j for quarter t; jt FE – earnings announced in quarter t minus the most recent analyst forecast for quarter t earnings; 2jt P− – price of security j on day t–2 (2 days before day zero); jt RVL – stock return for firm j from the day after the forecast date through two days before the earnings announcement; λj0, λj1, λj2 – firm-specific regression coefficients; µjt – normally distributed disturbance terms. They first use a generic estimator to find the co-efficient of the regressor and then proceed to find the impact of fixed effects (FE) and random effects (RE) in the cross sections. The Hausman test is used to test the appropriateness of a fixed or random effects model. We can test whether a fixed or random effects model is appropriate using a where Xit and Zit as instruments yields a consistent estimate. The hypotheses are: 0:,; :, i it it a i it it H XZH XZ αα ⊥⊥ “If H0 is true, both  RE β and  FE β are consistent, but only  RE β is efficient. If Ha is true,  RE β is consistent and  FE β is not”, similar to Gupta, Bhatia (2013). We also examine the event studies that have been conventionally used to investigate the response of the stock market to corporate events like restructuring or reorganisations, CSR initiatives, the issue of securities etc. (MacKinlay, 1997; McWilliams, Siegel, 1997). The EAR (Earnings Announcement Abnormal Returns) recorded over a 3-day, 5-day and 10-day window that is centred on the day of the announcement. We have calculated the drift for 30 days and 60 days and linked with the value and glamour anomaly. Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 31 The ES and EAR are classified in four groups [++], [+–], [–+], [– –] for both the “Profit-to Book Value Ratio” and “Price-to-earnings Ratio”. We use the CAPM to derive the theoretical returns using a quarterly risk-free rate (Table 12). Table 10 and 11 respectively indicate the market performance and quarterly market returns for the NIFTY during the sample period. 4. Results and Discussions We run a panel regression for estimating the Earning Response Coefficients (ERC) with fixed effects and random effects (Table 1). The Hausman (1978) test specifications have been used prior to the selection of fixed and random effects. On the basis of the Hausman statistic, we reject the fixed effects model and select the random effects specification for our analysis. We find that the Earning Response Coefficients (ERCs) using the random effects model show the negative association of abnormal stock returns with surprise in accounting earnings announcements. Value Glamour Anomaly We find an interesting phenomenon that glamour stocks and value stocks behave on similar patterns contrary to the notion of differences in previous research (Table 2 and 3). Glamour stocks do not give any particular reaction to the earning surprise (ES) to the EAR (Earning Announcement Returns) evident from the similarity in all the three windows (3 day, 5 day & 10 day). Table 1. Coefficients of panel regression – fixed effects and random effects. Estimated Variable Coefficient – Fixed Effects Coefficient – Random Effects Random Effects Coefficient across Cross Section and time-series ERC 0.03041 –0.17999 –0.18546 Source: Authors’ own computation, 2019. Table 2. EAR for glamour stocks. 3 Day EAR 5 Day EAR 10 Day EAR [ES, EAR] COUNT [ES, EAR] COUNT [ES, EAR] COUNT [++] 190 [++] 176 [++] 160 [+–] 217 [+–] 231 [+–] 248 [–+] 100 [–+] 103 [–+] 120 [––] 113 [––] 110 [––] 92 Total 620 Total 620 Total 620 Source: Authors’ own computation, 2019. Table 3. EAR for value stocks. 3 Day EAR 5 Day EAR 10 Day EAR [ES, EAR] COUNT [ES, EAR] COUNT [ES, EAR] COUNT [++] 162 [++] 156 [++] 131 [+–] 191 [+–] 196 [+–] 222 [–+] 64 [–+] 74 [–+] 77 [––] 93 [––] 83 [––] 81 Total 510 Total 510 Total 510 Source: Authors’ own computation, 2019. Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 32 [++]: Both the Earning Surprise and Earning Announcement Drift are positive. It implies that the announcement was expected in a way it came and investors also reacted in the positive way. [+–]: The Earning Surprise is positive and Earning Announcement Drift is negative. It implies that announcement was expected in a way it came. But investors did not react the same way. [–+]: The Earning Surprise is negative but the Earning Announcement Drift is positive. It implies that announcement was not expected in a way it came but the market reacted in a positive way. [– –]: Both the Earning Surprise and Earning Announcement Drift are negative. It implies that announcement was not expected in a way it came and even the market did not react positively. Post Earning Announcement Drift We have calculated the drift as the cumulative abnormal return for firm from second day to the nth day after the announcement of earnings. Two drifts are computed – 30 days and 60 days (Table 4). We argue that this period is sufficient to examine the impact of the market reaction after the earnings announcement. The results indicate that the drift pattern is not linked with the value glamour anomaly. We, therefore, cannot significantly conclude for positive and negative drifts for the value stocks and glamour stocks. Linking Value Glamour Anomaly & PEAD We link both the anomalies with following indications: [++]+: It shows the ES and EAR along with the drift is positive. It shows that the market welcomed the announcement in a positive way and the stock might revalue to its real price or might be over-valued. It also shows that the effect of the announcement was there for a longer period of time. [++]–: It shows the ES and EAR both are positive but the rift is negative. It shows that the market welcomed the announcement in a positive way, but it saturated soon and hence the drift could not be positive. [+–]+: It shows the ES is positive and the EAR is negative but the drift is positive. It shows that the market welcomed the announcement in a negative way, but the stock performed better leaving aside the announcement effect in a positive way. [+–]–: It shows the ES is positive and the EAR and drift are negative. It shows that the market welcomed the announcement in a negative way and the stock also performed in the way announcement made for the next 30 or 60 days. [–+]+: It shows the ES is negative but the EAR and drift are positive. It shows that the market welcomed the announcement in a positive way and the momentum carried on with the announcement. [–+]–: It shows the ES is negative and the EAR is positive but the drift is negative. It Table 4. Post earning announcement drift for glamour stocks & value stocks. Drifts Glamour stocks Value stocks Drift 30 days Positive 238 179 Negative 382 331 Drift 60dDays Positive 274 206 Negative 346 304 Source: Authors’ own computation, 2019. Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 33 shows that the market welcomed the announcement in a positive way, but the stock performed in a negative way later on. [– –]–: It shows the ES, EAR and drift are negative. It shows that the market welcomed the announcement in a negative way and it remained on the negative side for the next 30 or 60 days. Table 5 and 6 show the linkage of the value glamour anomaly with the PEAD for value stocks and glamour stocks. The results look homogenous and it is difficult to predict the drift of the value stocks or glamour stocks in the Indian context. Nevertheles, the directions remain similar with the 3-day, 5-day and 10-day EAR. The [+–] – is maximum and [–+] – is minimum for all sets. It can also be derived that the stocks, which are overvalued or undervalued are properly priced after the earnings announcements. Zhipeng, Zhao (2011) have shown that post-earnings-announcement drifts significantly associate the value-glamour anomaly and by taking long position in stocks the traders are able to drive significant abnormal returns. In specific sub- -periods, some authors have contrarily found that the PEAD leads to significant gains (Harshita et al., 2018). However, we argue that their findings are highly subjected to the period and sample stock selection. In a liquidity context, the PEAD has been studied by authors such as Sadka (2006), who established that abnormal returns resulting from the PEAD anomaly was primarily due to the unexpected variable component of the market wide liquidity. Our sample represents NSE top 100 stocks that are inherently liquid. The non-existence of drifts derived in our case confirms the findings of Chordia et al. (2018), who established that the PEAD drifts were mainly linked to the highly illiquid stocks. The confidence of private information by the traders and investors leads to drifts that create the anomaly (Liang, 2003). Our findings are in contrast to Jaisinghani (2016), who put emphasis on regulators action for handling this market inefficiency. In addition, Fricke et al. (2014) have shown that Google SVI disseminates information to the uniformed investors, thus reduces the market inefficiency. The risk associated with value glamour stocks are higher, which probably Table 5. Linking the value glamour anomaly with the PEAD for value stocks. EAR Drifts [++]+ [++]– [+–]+ [+–]– [–+]+ [–+]– [– –]+ [– –]– Total EAR 3 Day Drift 30 65 96 64 126 18 47 31 62 510 Drift 60 77 85 73 118 20 44 35 58 510 EAR 5 Day Drift 30 68 89 62 134 20 54 29 54 510 Drift 60 73 83 77 120 24 50 31 52 510 EAR 10 Day Drift 30 63 68 67 155 22 54 27 54 510 Drift 60 63 68 86 135 24 52 31 50 510 Source: Authors’ own computation, 2019. Table 6. Linking the value glamour anomaly with the PEAD for glamours Stocks. EAR Drifts [++]+ [++]– [+–]+ [+–]– [–+]+ [–+]– [– –]+ [– –]– Total EAR 3 Day Drift 30 96 94 74 143 20 80 48 65 620 Drift 60 93 97 100 117 28 72 54 59 620 EAR 5 Day Drift 30 95 81 75 156 20 83 48 62 620 Drift 60 87 89 105 126 29 74 53 56 620 EAR 10 Day Drift 30 97 62 73 175 22 97 45 48 620 Drift 60 83 76 110 138 38 82 44 49 620 Source: Authors’ own computation, 2019. Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 34 explains the abnormal returns enjoyed from investing strategies (Doukas et al., 2001). From a traders’ perspective, we raise an important issue – the speed of adjustment. Fink et al. (2020) show that fundamental value changes are incorporated in the market prices at a lower speed resulting in trading strategies to be profitable. However, our results show that drifts are not directly observable. The speed of adjustment in case of our sample stocks is sufficient enough for traders to derive any superiors’ profits. 5. Conclusion We can cocnlude that the Indian market tends to be efficient with respect to earnings announcements and therefore does not produce excessive returns. Most of the selected firms listed on the NSE appear to be confirming the notion of immediate adaptation of the stock prices around the new expected quarterly earnings. Research on market efficiency expects the market to absorb the new information spontaneously, which is a phenomenon in developed markets. However, in the Indian context, the results are not homogeneous in all ways. Our results on the response of stock prices to earnings announcement are different to the findings of researchers around the globe, which may be due to the unique feature of the Indian stock market. It is interesting to mention that the PEAD phenomenon is monitored with an alternative portfolio formation approach. Contrarily, we use a much simpler expectations formation approach around earnings. Overall, we support the efficiency notion of the Indian stock markets with respect to the analysed market anomalies. Our research is primarily confined to liquid stocks that nullify the possible superior gains from the anomalies motivating traders and investors to form trading strategies. In the further work, the research can be extended to lesser liquid stocks, which can further throw light on market efficiency. Table 7. List of top NSE sample companies (N=98). Name of the Company Sector ABB India Ltd. Electric Equipment ACC Ltd. Cement & Construction Materials Adani Ports and Special Economic Zone Ltd. Port Ambuja Cements Ltd. Cement & Construction Materials Ashok Leyland Ltd. Automobiles-Trucks/LCV Asian Paints Ltd. Paints Aurobindo Pharma Ltd. Pharmaceuticals & Drugs Avenue Supermarts Ltd. Retailing Axis Bank Ltd. Bank – Private Bajaj Auto Ltd. Automobile Two & Three Wheelers Bajaj Finance Ltd. Finance – NBFC Bajaj Finserv Ltd. Finance – Investment Bank Of Baroda Bank – Public Bharat Electronics Ltd. Engineering – Industrial Equipments Bharat Heavy Electricals Ltd. Engineering – Industrial Equipments Bharat Petroleum Corporation Ltd. Refineries Bharti Airtel Ltd. Telecommunication – Service Provider Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 41 Finance, 57(5), pp. 2143–2165. Easton, P. D., Zmijewski, M. E. (1989). CrossSectional Variation in The Stock Market Response to Accounting Earnings Announcements. Journal of Accounting and Economics, 11, pp. 117–141. DOI:10.1016/0165-4101(89)90003-7. Fama, E. F., French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), pp. 427–465. DOI:10.1111/j.1540-6261.1992. tb04398.x Fink, J., Palan, S., Theissen, E. (2020). Earnings Autocorrelation and the Post-EarningsAnnouncement Drift – Experimental Evidence. University of Graz, School of Business, Economics and Social Sciences Working Paper No. 2020-03. DOI: 10.2139/ssrn.3713106. Forner, C., Sanabria, S., Marhuenda, J. (2009). Postearnings announcement drift: Spanish evidence. Spanish Economic Review, 11(3), pp. 207–241. DOI:10.1007/s10108-008-9048-4. Foster, G., Olsen, J., Shevlin, T. (1984). Earnings Releases, Anomalies, and the Behaviour of Security Returns. The Accounting Review, 59(4), pp. 574–603. Francis, J., La Fond, R., Olsson, P., Schipper, K. (2007). Information Uncertainty and the Postearnings-announcement Drift. Journal of Business Finance & Accounting, 34(3–4), pp. 403–433. DOI:10.1111/j.1468-5957.2007.02030.x. Fricke, E., Fung, S., Goktan, M. S. (2014), Google Search, Information Uncertainty, and Post-Earnings Announcement Drift. Journal of Accounting and Finance, 14(2), pp. 11–27. Ganguli, S. K. (2010). EMH and Post-Earning Announcement Drift: An Insight from Event Study of Turnaround Companies in India. SSRN Electronic Journal. DOI:10.2139/ssrn.1545647. Gupta, P. K., Jasjit, B. (2013). Investment sensitivity and managerial decision-making behaviour of Indian firms. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 61(7), pp. 2157–2162. DOI:10.11118/ actaun201361072157. Harshita, Singh, S., Yadav, S. (2018). PostEarnings-Announcement Drift Anomaly in India: A Test of Market Efficiency. Theoretical Economics Letters, 08(14), pp. 3178–3195. DOI:10.4236/ tel.2018.814197. Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), pp. 1251– 1271. DOI:10.2307/1913827. Hotchkiss, E. S., Strickland, D. (2003). Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings Announcements. Journal of Finance, 58(4), pp. 1469–1498. DOI:10.1111/1540-6261.00574. Jaisinghani, D. (2016). An empirical test of calendar anomalies for the Indian securities markets. South Asian Journal of Global Business Research, 5, pp. 53–84. DOI:10.1108/SAJGBR-07-2014-0050. Jegadeesh, N., Livnat, J. (2006). Post-earningsannouncement Drift: The Role of Revenue Surprises. Financial Analysts Journal, 62(2), pp. 22–34. DOI:10.2469/faj.v62.n2.4081. Johnson, W. B., Schwartz, W. C. Jr. (2000). Evidence that capital markets learn from academic research, Earnings Surprises and the Persistence of the Post Earnings Announcement Drift. SSRN Electronic Journal. DOI:10.2139/ssrn.255603. Kinney, W., Burgstahler, D., Martin, R. (2002). Earnings Surprise Materiality as Measured by Stock Returns. Journal of Accounting Research, 40(5), pp. 1297–1329. DOI:10.1111/1475-679x.t01-1-00055. Kishore, R., Brandt, M., Santa-Clara, P., Venkatachalam, M. (2008). Earnings Announcements are Full of Surprises. SSRN Electronic Journal. DOI:10.2139/ssrn.909563. Kothari, P., Sabino, S., Zach, T. (1999). Implications of Data Restrictions on Performance Measurement and Tests of Rational Pricing. SSRN Electronic Journal. DOI:10.2139/ssrn.195509. Liang, L. (2003). Post earnings announcement drift and market participants’ information processing biases. Review of Accounting Studies, 8, pp. 321–345. DOI:10.1023/a:1024477831740. Livnat, J., Mendenhall, R. (2006). Comparing the Post–earnings announcement Drift for Surprises Calculated from Analyst and Time series forecasts. Journal of Accounting Research, 44, pp. 177–205. DOI:10.1111/j.1475-679x.2006.00196.x. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35, pp. 13–39. Mcwilliams, A., Siegel, D. (1997). Event Studies in Management Research: Theoretical and Empirical Pankaj Kumar Gupta, Devendra Kumar Dhusia: Post-Earning Announcement Drift and Value-Glamour Anomalies in NSE Listed Firms 42 Prof. Pankaj Kumar Gupta JMI University Centre for Management Studies Jamia Nagar, New Delhi – 110025 India E-mail: [email protected] Assoc. prof. Devendra Kumar Dhusia JMI University Department of Commerce and Business Studies New Delhi – 110025 India E-mail: [email protected] Issues. Academy of Management Journal, 40, pp. 626–657. DOI:10.5465/257056. Mendenhall, R. R. (2004). Arbitrage Risk and PostEarnings-Announcement Drift. Journal of Business, 77(4), pp. 875–894. DOI:10.1086/422627. Porta La , R., Lakonishok, J., Shleifer, A., Vishny, R. (1997). Good News for Value Stocks: Further Evidence on Market Efficiency. Journal of Finance, 52, pp. 859–874. DOI:10.1111/j.1540-6261.1997. tb04825.x. Sadka, G., Sadka, R. (2004). The post Earnings Announcement Drift and Liquidity Risk. Working paper. DOI:10.2139/ssrn.487421. Sadka, R. (2006). Momentum and PEAD Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80(2), pp. 309–349. DOI:10.1016/j. jfineco.2005.04.005. Shin, H. S. (2005). Disclosure Risk and Price Drift. Journal of Accounting Research, 44(2), pp. 351–379. DOI:10.1111/j.1475-679x.2006.00204.x. Skinner, D., Sloan, R. (2002). Earnings Surprises, Growth Expectations, and Stock Returns or Don’t Let an Earnings Torpedo Sink Your Portfolio. Review of Accounting Studies, 7, pp. 289–312. DOI:10.2139/ssrn.172060. Truong, C. (2010). Post earnings announcement drift and the roles of drift-enhanced factors in New Zealand. Pacific-Basin Finance Journal, 18(2), pp. 139–157. DOI:10.1016/j.pacfin.2009.10.001. Zhipeng, Y., Zhao, Y. (2011). When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly. Financial Analysts Journal, 67, DOI:10.2307/23104275. Received: 8. 3. 2020 Reviewed: 14. 12. 2020 Accepted: 30. 6. 2021