Firm size effect and the price and volume reaction to corporate news: evidence from India
by Nayanjyoti Bhattacharjee; Anupam De
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 14, No. 3, 2024

Abstract: This study examines the price and volume reaction to corporate news for a sample of firms quoted on the National Stock Exchange of India, an Asian emerging market. We take into account the market capitalisation of the firms to examine the firm size effect on market reaction using the event study methodology. It is observed that small firms, on average, are associated with 1.12% and 0.43% more positive abnormal returns than large and mid-sized firms on the day of the positive news flow. On the other hand, when the news is negative, small firms, on average, are associated with -1.1% and -0.62% more negative abnormal returns than large and mid-sized firms on the day of the news flow. Further, the evidence suggests that the price reaction is consistent while the volume reaction differs according to the type and sentiment of the news in different size groups.

Online publication date: Thu, 02-May-2024

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