Price-sensitive announcements and stock return anomalies: Evidence from Pakistan

Figures & data

Table 1. Sector-wise announcements

SECTOR	EXPANSION	CAPITAL	FINANCIAL	OWNERSHIP	TOTAL
OIL & GAS EXPLORATION	34	4	23	13	74
PHARMA CEUTICAL	0	3	23	7	33
CEMENT	4	4	20	4	32
REFINERY	3	2	14	9	28
GENERAL INDUSTRIES	2	0	9	0	11
STEEL	1	0	9	0	10
FERTILIZER	0	1	8	8	17
CHEMICAL	2	1	8	5	16
INSURANCE	1	0	7	0	8
AUTOMOBILE	2	0	8	1	11
POWER GENERATION	0	1	8	3	12
TRANSPORT	0	1	8	1	10
PACKAGING	4	2	8	3	17
TOTAL	53	19	153	54	279

Table 2. Category-wise announcements

Category	Description of announcements	Number
FINANCIAL	Number of Dividend announcements during the period	153
CAPITAL	Number of Merger announced during the period	8
	Number of Acquisition announcements during the period	9
	Number of Rights issued during the period	2
EXPANSION	Number of production enhancement announcements	10
	Number of new explorations announced during the period	40
	Announcements related to the installation of new machinery	3
OWNERSHIP	Number of announcements about Board member/executive/chairman change	54

Table 3. All price-sensitive ANNOUNCEMENTS

EVENT DAY		0.15	0.39	0.54	0.38
PRE-EVENT					POST- EVENT
DAYS	AAR	T-STAT	CAAR	T-STAT	DAYS	AAR	T-STAT	CAAR	T-STAT
−1	0.11	0.36	0.51	0.64	15	−0.18	−1.00	−0.57	−1.08
−2	0.11	0.53	0.17	0.02	14	−0.09	−0.43	−0.41	−0.78
−3	−0.07	−0.55	−0.23	−0.94	13	0.20	0.94	0.57	0.72
−4	0.23	1.42	0.87	1.46	12	0.15	0.66	0.29	0.22
−5	−0.12	−0.62	−0.08	−0.30	11	0.20	0.71	0.60	0.52
−6	−0.01	−0.23	−0.11	−0.49	10	−0.06	−0.40	0.04	−0.19
−7	0.06	0.13	0.13	−0.05	9	0.18	0.98	0.39	0.50
−8	0.15	0.88	0.53	0.79	8	−0.10	−0.89	−0.08	−0.64
−9	0.20	0.92	0.71	0.88	7	0.01	−0.14	0.01	−0.36
−10	0.63*	2.80*	1.88*	2.77*	6	0.04	0.05	0.52	0.56
−11	0.19	0.85	0.55	0.66	5	−0.15	−0.99	−0.34	−0.92
−12	0.00	−0.17	−0.02	−0.30	4	−0.40	−1.87	−1.09*	−1.98*
−13	0.06	0.17	0.03	−0.33	3	−0.04	−0.29	0.17	0.01
−14	−0.26*	−2.19*	−0.64*	−2.17*	2	0.00	−0.12	0.28	0.13
−15	−0.21	−1.35	−0.42	−1.10	1	−0.02	−0.19	0.27	0.13

Table 4. Expansion announcements

EVENT DAY		0.83	1.54	2.98*	2.05*
PRE-EVENT					POST-EVENT
DAYS	AAR	T-STAT	CAAR	T-STAT	DAYS	AAR	T-STAT	CAAR	T-STAT
−1	−0.60	−1.83	−0.97	−1.26	1	0.36	0.67	0.97	0.94
−2	1.05	1.92	1.58*	2.03*	2	0.25	0.52	−0.40	−0.40
−3	−0.10	−0.21	0.21	0.24	3	0.24	0.58	−0.54	−0.65
−4	0.27	0.65	0.73	0.99	4	−0.94	−1.77	−2.64*	−2.87*
−5	0.51	1.08	−0.12	−0.17	5	−0.41	−0.82	−0.51	−0.66
−6	−0.27	−0.40	0.54	0.52	6	−0.11	−0.19	0.87	0.99
−7	0.02	0.08	−0.58	−0.58	7	0.15	0.44	−0.14	−0.17
−8	0.88*	2.00*	0.70	0.90	8	−0.62	−1.30	−0.61	−0.82
−9	0.97	1.90	0.90	0.94	9	−0.27	−0.76	−0.96	−1.36
−10	0.67	1.47	2.22*	2.10*	10	−0.73	−1.48	−0.85	−1.31
−11	0.08	0.19	0.11	0.13	11	−0.24	−1.62	−0.21	−0.50
−12	0.37	0.80	0.16	0.18	12	−0.19	−0.32	0.40	0.49
−13	−0.96	−1.87	−1.18	−0.92	13	−0.54	−1.19	−1.84*	−2.36*
−14	−1.13*	−2.66*	−1.42*	−1.97*	14	−0.15	−0.41	0.03	0.04
−15	0.33	0.83	0.09	0.10	15	−0.27	−0.58	0.49	0.48

Table 5. Capital announcements

EVENT DAY	0.67	1.42	1.04	1.71
PRE-EVENT					POST-EVENT
DAYS	AAR	T-STAT	CAAR	T-STAT	DAYS	AAR	T-STAT	CAAR	T-STAT
−1	0.17	0.54	0.53	0.66	1	−0.38	−0.42	−0.85	−0.99
−2	−0.19	−0.07	0.11	0.40	2	−1.33	−1.93	−1.73	−1.49
−3	0.11	0.59	−0.12	0.04	3	−0.46	−1.39	−0.69	−1.51
−4	−0.04	0.19	−0.70	−0.52	4	−0.19	−0.10	−0.01	0.23
−5	0.27	0.59	−0.32	−0.14	5	−0.18	−0.09	−0.44	−0.76
−6	−0.79	−1.34	−1.25	−1.13	6	−0.17	−0.08	−0.09	0.11
−7	−0.59	−0.98	−1.08	−1.28	7	−0.35*	−2.05*	−0.48	−1.88
−8	−0.02	0.30	−0.23	−0.12	8	0.41	1.05	1.18	1.36
−9	−0.19	−0.14	−0.41	−0.69	9	−0.12	0.08	−0.21	−0.10
−10	0.22	1.19	0.67	1.72	10	−0.20	−0.30	−0.21	−0.21
−11	0.15	0.67	0.48	0.86	11	−0.36	−0.29	−0.20	−0.05
−12	−0.58	−0.65	−0.39	−0.26	12	−0.48	−1.52	−0.75	−1.53
−13	−0.39	−0.62	−0.13	0.03	13	0.22	1.03	0.49	0.95
−14	0.05	0.42	0.45	0.71	14	0.05	0.39	0.60	0.83
−15	−0.15	0.01	−0.48	−0.33	15	0.22	0.87	0.65	1.19

Table 6. Financial announcements

EVENT DAY	−0.29	−0.25	−0.03	−0.22
PRE-EVENT					POST-EVENT
DAYS	AAR	T-STAT	CAAR	T-STAT	DAYS	AAR	T-STAT	CAAR	T-STAT
−1	0.15	1.05	1.17	1.12	1	−0.04	−0.31	−0.13	−0.19
−2	−0.07	−0.89	−0.59	−0.84	2	0.28	1.07	1.81	0.92
−3	−0.04	−0.52	−0.35	−0.52	3	−0.05	−0.43	−0.30	−0.34
−4	0.25	1.31	1.96	1.32	4	0.00	−0.29	−0.12	−0.35
−5	−0.05	−0.31	−0.44	−0.32	5	−0.11	−0.98	−1.04	−1.18
−6	−0.06	−0.68	−0.58	−0.76	6	−0.11	−1.18	−0.77	−1.05
−7	0.13	0.63	0.80	0.49	7	−0.01	−0.26	−0.14	−0.31
−8	0.17	0.96	1.29	0.98	8	−0.10	−1.02	−0.63	−0.87
−9	0.09	0.34	0.61	0.32	9	0.19	1.31	1.58	1.46
−10	0.36*	2.53*	2.77*	2.64*	10	−0.05	−0.47	−0.24	−0.34
−11	0.10	0.48	0.76	0.53	11	0.25	1.13	1.89	1.06
−12	−0.04	−0.48	−0.22	−0.39	12	0.00	−0.26	−0.16	−0.42
−13	0.19	1.51	1.45	1.55	13	0.25	1.39	1.85	1.33
−14	−0.13	−1.40	−0.94	−1.31	14	−0.19	−0.88	−1.62	−0.94
−15	−0.11	−1.08	−0.84	−1.06	15	−0.27*	−2.27*	−2.14*	−2.35*

Table 7. Ownership announcements

EVENT DAY	0.00	−0.48	−1.19	−1.26
PRE-EVENT					POST-EVENT
DAYS	AAR	T-STAT	CAAR	T-STAT	DAYS	AAR	T-STAT	CAAR	T-STAT
−1	0.34	0.37	0.53	0.54	1	−0.05	−0.54	0.24	0.21
−2	0.29	0.35	−0.15	−0.21	2	−0.35	−1.09	−1.09	−0.89
−3	0.05	−0.22	−0.73	−0.81	3	0.42	0.87	0.76	1.24
−4	0.05	−0.30	−0.56	−0.69	4	−0.34	−1.15	−1.91	−1.62
−5	−0.02	−0.40	−1.24	−0.86	5	0.22	0.27	0.49	0.76
−6	0.07	−0.30	0.78	0.95	6	0.44	0.72	1.03	0.73
−7	−0.05	−0.72	0.16	0.18	7	0.36	0.38	0.12	0.08
−8	0.05	−0.25	−0.44	−0.54	8	−0.10	−0.63	−0.23	−0.30
−9	0.17	0.05	0.58	0.55	9	0.28	0.28	0.68	0.63
−10	0.56	0.84	0.68	0.52	10	0.13	−0.08	1.04	1.09
−11	0.58	0.87	0.41	0.42	11	0.57	0.78	−0.04	−0.07
−12	0.30	0.41	0.17	0.24	12	0.94	1.56	1.45	1.16
−13	−0.43	−1.77	−0.36	−0.67	13	0.45	0.60	0.10	0.07
−14	−0.37	−1.86	−0.22	−0.40	14	0.15	0.00	0.25	0.31
−15	0.04	−0.40	−0.57	−0.76	15	0.07	−0.22	0.36	0.37

Table 8. CAR estimation

CAR (−5 + 5)	CAR (−3 + 3)	CAR (−1 + 1)
−4.16%	4.64%	4.73%
−2.47%	−1.32%	2.12%

Table

VARIABLES	MEAN	SD	CAR	EPS	ROA	ROE	DY	P/S	Risk	Liquidity
CAR	0.52	8.78	1
EPS	27.08	29.51	0.042*	1
ROA	10.02	4.21	−0.073**	0.238	1
ROE	20.99	7.73	−0.072**	0.203	0.519	1
DIV_Y	4.59	3.52	0.034**	−0.034**	0.359	0.22	1
P_SALES 2.06		1.47	−0.181	0.217	0.605	0.461	−0.091**	1
BETA	1.18	0.31	0.044*	−0.317	−0.176	−0.284	−0.495	−0.233	1
WTD_AVG_VOL 1.12		1.45	−0.003*	−0.526	−0.613	−0.374	−0.333	−0.443	0.52***	1

***p < 0.10; *p < 0.05; **p < 0.01; N = 279

*. Correlation is significant at the 0.05 level (2-tailed).Table I

**. Correlation is significant at the 0.01 level (2-tailed).Descriptive Statistics and

Table

Variable		Model 1	Model 2	Model 3
Controls
(Constant)		1.779** (.270)	−2.265** (.588)	5.022** (.307)
Earnings Per Share (EPS)		0.025 (.165)	0.025 (.258)	0.026 (.230)
Return on Assets (ROA)		0.078 (.675)	−0.127 (.584)	−0.192 (.408)
Return on Equity (ROE)		−0.01 (.901)	0 (.995)	0.027 (.737)
Dividend Yield (DY)		0.009 (.959)	0.146 (.538)	0.213 (.365)
Price to Sales (P/S)		−1.259* (.012)	−1.076*** (.063)	−1.02*** (.075)
Predictors
BETA (Risk)			3.912*** (.137)	−2.98*** (.388)
Weighted Avg Vol (Liquidity)			−0.686 (.236)	0.233 (.756)
Announcements			1.514** (.185)	1.036** (.364)
Interactions
Risk*Announcements				3.849* (.003)
Liquidity*Announcements				−2.382* (.047)
R^2		0.41	0.56	0.88
Adjusted R^2		0.23	0.28	0.54
F Statistics		2.297*	1.977*	2.570*
		(.046)	(.049)	(.006)
Notes: N = 279 for all models; Unstandardized coefficients are reported.
Figures in parentheses are standard errors; *p < 0.05; **p < 0.01, ***p < 0.10;
a. Dependent Variable: CAR

Figure1. Interaction effect of announcements

Notes: (a) Moderating effect of risk (beta); (b) moderating effect of Liquidity (Weighted Avg Vol).