Title: Firm size effect and the price and volume reaction to corporate news: evidence from India

Authors: Nayanjyoti Bhattacharjee; Anupam De

Addresses: Department of Management Studies, Bodoland University, Assam, India ' Department of Management Studies, NIT Durgapur, West Bengal, India

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.

Keywords: corporate news; market capitalisation; firm size; event study; abnormal return; trading volume; India.

DOI: 10.1504/AAJFA.2024.138388

Afro-Asian Journal of Finance and Accounting, 2024 Vol.14 No.3, pp.393 - 411

Received: 04 Jan 2022
Received in revised form: 13 May 2022
Accepted: 23 Jun 2022
Published online: 02 May 2024 *

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