Analysis of Market Reaction To Bonus Issues-Sneha D-04107

Analysis of market reaction to bonus issues
A Research Report
On
Analysis of Market Reaction to Bonus

Issues
Submitted in partial fulfillment of requirement for the award of
the degree of
Master of Business Administration

Of
Bangalore University
By
SNEHA. D
Reg. No: 04XQCM6092
Under the Guidance and Supervision

Of
Prof. B.V. RUDRA MURTHY
M.P.BIRLA INSTITUTE OF MANAGEMENT

Associate Bharathiya Vidya Bhavan
#43, Race Course Road, BANGALORE-560001
2006
M P Birla Institute of Management Studies 1

Acknowledgement
It is with great pleasure and gratitude that I acknowledge the contribution of

several individuals towards the successful completion of the project. I sincerely
thank Dr. Nagesh Malavalli, Principal, M. P. Birla Institute of Management,
Bangalore for granting me permission to take up the project. I would like to express
my gratitude to Prof. Rudra Murthy, Project guide, for his invaluable suggestion
and encouragement, which are imperative for the completion of this project. I would
also like to thank Dr. T .V. Narasimha Rao and Prof. Santham for his valuable
guidance through out my research work. Words cannot express the immense
gratitude I have for my husband who has been instrumental in shaping my career. I
am thankful to all my friends and to all the unseen hands that have made this
project possible.
Sneha. D
M P Birla Institute of Management

Declaration
I here by declare that this report entitled “A RESEARCH ON Analysis

of market reaction to Bonus Issues,” has been prepared by me
in partial fulfillment of the award of the degree, Master of Business
Administration at Bangalore University. This report or a similar report
on this topic has not been submitted for any other examination and
does not form a part of any other course undergone by me.
Place: Bangalore SNEHA. D
Date: 12-06-2006 Reg. No: 04XQCM6092

Guide’s Certificate
This is to certify that the Project titled “Analysis of Market Reaction to

Bonus issues” has been prepared by Mrs. Sneha. D bearing the
registration number 04XQCM6092 under my guidance. This has not
formed a basis for the award of any Degree/Diploma by any other
University.
Place: Bangalore Prof. B. V. Rudra Murthy

Date: 12-06-2006

Principal Certificate
This to certify that this report entitled “Analysis of Market Reaction to

Bonus issues” has been prepared by Mrs. Sneha. D bearing Reg. No.
04XQCM6092 of M P Birla Institute of Management in partial
fulfillment of the award of the degree, Master of Business
Administration at Bangalore University, under the guidance and
supervision of Prof. B. V. Rudra Murthy, MPBIM, Bangalore. This
report or a similar report on this topic has not been submitted for any
other examination and does not form a part of any other course
undergone by Sneha. D
Place: Bangalore (Dr. N S Malavalli)

Date: 12-06-2006 Principal

Introduction
Over the years the relationship between bonus issues and stock prices has
been the subject of much empirical discussion within the finance literature. Bonus
issues increase the number of equity stocks outstanding but have no effect on
stockholder’s proportional ownership of stocks. The bonus issue date is known well
in advance and therefore should contain no new information. But one should not
expect any significant price reaction on bonus issue announcement. However
empirical studies of bonus issues and stock dividends have documented a
statistically significant market price reaction. It is, therefore, a matter of concern that
firms announcing bonus issues experience rise in their stock prices on an average
supporting semi-strong form Efficient Market Hypothesis (EMH). Generally, the
investigation of semi-strong form market efficiency has been limited to the study of
well-developed stock markets. The aim is to examine the stock price reaction to
information release of bonus issues with a view of examining whether the Indian
stock market is semi-strong efficient or not. The event study methodology has been
used to contribute further evidence on the efficiency characteristics of the Indian
stock market.
Bonus Share
Companies issue shares in lieu of consideration. The consideration may be

either in the form of cash or kind. Bonus shares are issued to the existing
shareholders without payment of any consideration, either in cash or kind. Bonus
shares are issued by conversion of the reserves and surplus of the company into
shares. Bonus shares can be issued only by companies which have accumulated
large free reserves i.e. reserves not set apart for any specific purpose and which
can be distributed as dividend. However, bonus shares can be issued out of
balance in the share premium account.

Advantages of issuing Bonus Shares
1. It bridges the gap between capital and fixed assets

2. Increases the market price of its shares
3. Creates confidence for the investors / shareholders in the company
4. Good market reputation
5. Increases Liquidity of Shares.
Disadvantages
1. Shares are issued without any actual money coming in.

2. Leads to reduction in Earning Per Share
3. There are cost implications such as stamp duty, printing & stationery, etc
4. Reduces accumulated profits earned in past years.
Things to remember before considering Bonus Issue
1. Bonus shares cannot be issued if the company has come out with any public
/ rights issue in the past 12 months.
2. Bonus shares cannot be issued in lieu of Dividend.
3. Bonus shares can be issued only out of free reserves (i.e. reserves not set
apart for any specific purpose) built out of the genuine profits or share
premium collected in cash only.
4. Bonus shares cannot be issued out of the reserves created by revaluation of
fixed assets.
5. If the existing shares are partly paid up, the company cannot issue Bonus
Shares. It will be appropriate to first make the shares fully paid up before
issuing Bonus Shares.
6. It should be ensured that the company has not defaulted in payment of
interest or principal in respect of fixed deposits and interest on existing
debentures or principal on redemption thereof and

7. It should be ensured that the company has sufficient reason to believe that it
has not defaulted in respect of the payment of statutory dues of the
employees such as contribution to provident fund, gratuity, bonus etc.
8. If the company has already issued either fully convertible debentures or
partly convertible debentures than in that case the company is required to
extend similar benefits to such holders of securities through reservation of
shares in proportion to their holding or in proportion to such convertible part.
The Bonus Shares so reserved may be allotted to such holders at the time of
conversion.
9. It should be checked whether Articles of Association contains the provision of
capitalization of reserves. If no such provisions are contained steps should
be taken by altering the Articles of Association by the consent of the
members of the Company.
10. It should be checked whether the post bonus capital is within the limits of
authorized share capital. If it is not so, steps should be taken to increase the
authorized share capital by amending memorandum and articles of
association.
11. It is very important for a company to implement the bonus proposal within a
period of six months from the date of approval at the meeting of the Board of
Directors. The company has no option to change the decision.
12. All the shares so issued by way of bonus will rank pari-passu with the
existing shares. The company cannot create any other rights for the bonus
shares.
What happens when bonus shares are issued?
It does not mean they are credited to your demat account immediately. You
need to know what you can and cannot do with your portfolio during this interval.
Investors have been flooded with bonus issues from a lot of companies and this has
made most of them quite happy. One must know that the whole process involves

knowing that there could be a time difference from the moment the price is adjusted
in the secondary market and when the bonus shares actually come into the
investor's account.
This can also be better understood by looking at the procedural aspects that
can impact the way investors make their investment decisions. First, consider the
steps in the entire bonus process. The company announces a bonus ratio and will
undertake compliance with the necessary legal requirements to complete the
process. Thus, for example, where the bonus shares are issued in a ratio of 1: 1, it
means that one share would be allotted for every share already held in the
company. Similarly, a ratio of 2:1 would mean that two shares are allotted for one
existing share in the company. The record date is announced and the investors wait
for the specific date to get the required benefits. The record date is important
because holders of the shares on this particular day will be entitled to the bonus
shares. There is another date that has to be noted carefully by the investors, which
is the date when the shares go 'ex bonus'. What happens is that on this day, the
share prices adjust in the bonus ratio so that it reflects the actual situation on the
ground.
The reason why the price reflects the situation on the ground is that after the
price is adjusted, investors will be ineligible for the actual bonus shares. Often, there
is a time when there might be a no-delivery period on the stock exchanges and due
to this, the ex-bonus date has to be noted carefully. Up to this stage, everything is
fine as things are in tune with the normal procedure that many investors understand
but now comes a surprise that many will not be prepared for. On the date the
shares go ex-bonus, the price of the share corrects in the market, so, for example, a
share with a price of Rs 200 will become Rs 100 in the case of a bonus issue in the
ratio of 1: 1. Now, watch out for the time when the new shares are credited to the
account. Often, it takes quite some time for the shares to actually come into the
account. Assume that the shares come into the account after 15 days of the share
price correction for the issue. During this time interval, the shareholders find

themselves in a peculiar situation because they are stuck with a lesser portfolio
value. Thus, if the portfolio value of a scrip for an investor was, say, Rs 1 lakh, then
till the time the new shares come into the account, it could show as Rs 50,000 and
there is little that the investor can do till the bonus shares are credited into the
account. This impacts the investors in different ways. The first is that the value of
their portfolio goes down temporarily without them doing anything. So, investors
analyzing their portfolio in the relevant time period need to keep this in mind. The
second is that till the time the new shares come into the account, there is nothing
that the investor can do about trading in these shares and hence, that part of the
portfolio is not accessible for the intervening period. One has to be very careful
because selling shares without them being present in the demat account, can cause
problems for investors. Investors have only one way to tackle this issue and that is
by being aware of the situation so that they do not plan and implement transactions
dealing with such shares till they are credited to their accounts. It has to be
remembered that the original shares remain with the investor so that they can make
use of these but plans for the new shares will have to wait. The time period of the
share transfer can also stretch to more than a couple of weeks as has been seen in
several well known issues and this also has to be taken into consideration.
Do stock prices in an efficient market follow a random walk?
We can answer the question by looking at the meaning of efficient market and
random walk.
Take Company X. If there is good information flow in the market, its stock price
will reflect all information that is publicly available. If the company, for instance, has
bagged a contract from a major client, the current price of the stock will reflect that
information. We can then say that the investors have "efficiently" priced the stock.
Now extend this concept to the entire market. If prices in the stock market reflect
all available information on each company, we can say that the market is "efficient".

When the stock price reflects all public and private information, we say that the
market is strong form efficient. If the stock price reflects only public information, we
say that the market is either weak form or semi-strong form efficient.
So, how does efficient market help us in understanding stock price movements?
We know that information drives stock prices. It follows logically that the change in
stock price will be driven by the arrival of new information.
But we do not know when a new of set of information will arrive in the market. To
use a financial parlance, we can say that information arrival is a random process. If
the arrival of new information itself is a random process, the change in stock price
should also follow a random process. So, we say that stock price follows a random
process or a random walk. Of course, the assumption is that investors do not have
access to inside information on the company. For investors who do, the market may
not be "efficient", and may not, hence, follow a random walk.
Semi Strong Form Efficiency
1. Share prices adjust instantaneously and in an unbiased fashion to publicly

available new information, so that no excess returns can be earned by
trading on that information.
2. Semi-strong-form efficiency implies that Fundamental analysis techniques
will not be able to reliably produce excess returns.
3. To test for semi-strong-form efficiency, the adjustments to previously
unknown news must be of a reasonable size and must be instantaneous. To
test for this, consistent upward or downward adjustments after the initial
change must be looked for. If there are any such adjustments it would
suggest that investors had interpreted the information in a biased fashion and
hence in an inefficient manner.

Event studies
The greatest amount of research in finance has been devoted to the effect of
an announcement on share price. These studies are known as “Event Studies”.
Initially event studies were undertaken to examine whether markets were efficient,
in particular, how fast the information was incorporated in share price.
For example, when a firm announces earnings will be much larger than
expected, will this be reflected in share price the same day or over the next week?
Dozens of studies confirmed that share prices reacted rapidly to announcements,
and inexpected ways where the direction of the price change and the likely impact
were clear. Consequently, many authors accept that information is rapidly
incorporated in share price and use event studies to determine what information is
reflected in price and, if its impact is unclear, to determine whether the
announcement is good or bad news
Conducting Event Studies
1. Collect a sample of firms that had issued bonus.

2. Determine the precise day of the announcement and designate this day as
zero
3. Define the period to be studied
4. For each of the firms in the sample, compute the returns on each of the days
being studied
5. Compute the “abnormal” returns for each of the days being studied for each
firm in the sample
6. Compute for each day in the event period the average abnormal return for all
the firms in the sample
7. Often the individual day’s abnormal return is added together to compute the
cummulative abnormal return from the beginning of the period
8. Examine and discuss the results

M Obaidullah (1992) has showed Stock price as a rule adjust to new information.
In an efficient market, this adjustment is instantaneous and accurate. Event studies
to test market efficiency, therefore, examine the speed of adjustment of stock prices
to the release of new, relevant information to investors. One such event is the
announcement of bonus issues by companies. While accountants view bonus
issues as pure book-keeping entries which leave total equities and total assets
unchanged and hence have no real economic significance, for investors, however,
bonus issues lead to an upward revision in their expectations regarding future
earnings and dividends. Generally, therefore, an upward drift in stock prices is
associated with such announcement. If markets are efficient, and no learning lag
exists, the adjustment in stock prices would be prompt.
The above study is an attempt to investigate the adjustment of stock prices to

announcements of bonus issues by examining the efficiency of the Indian stock
markets. As the information being considered is publicly available, the efficiency
tested is the semi-strong form efficiency
A few studies to test Indian stock markets for various forms of efficiency have
been reported. Sharma and kennedy (1979), Rao and Mukerjee, Gupta, Obaidullah
(1990b)and others have empirically tested the weak form EMH for the Indian stock
markets and provide supporting evidence that they are efficient in the weak sense.
In another empirical study to test the semi-strong form EMH, Obaidullah (1990a)
examined the adjustment of stock prices adjustment to the ‘event’ of bonus issue
announcement with some methodological improvement.
The investigation involves an examination of stock returns around the
occurrence of the ‘event’ to assess its impact. However, market sentiments also
have a powerful influence on stock returns. Hence, it is necessary to make
adjustments for the difference in returns resulting from bull market and bear market
swings in stock prices. This sought to be achieved by:
1. A naïve method of proportional adjustment, and
2. Residual analysis method

The sample for our study comprises of 75bonus issues during the period
1987-89. Fortnightly price data of companies announcing these issues from
January 1986 through September 1990 have been used for computing the market-
adjusted returns. The data have all been adjusted for bonus and rights issues
before computing the returns.
Almost the entire adjustment in stock prices attributable to the announcement

occurs before e the announcement. The evidence supports the semi-strong form
EMH for Indian stock markets. However, the stock price adjustment that occurs
when shares go ex-bonus provides contradictory evidence. A trading strategy of
buying cum-bonus would lead to abnormal returns. In view of this, the semi-strong
form EMH cannot be accepted for Indian stock markets.
Ekkehart Boehmer et.al (1991): showed that Fama, Fisher, Jensen, and Roll’s
1969 study of stock splits, events studies have become the predominant
methodology for determining the effects of an event on the distribution of security
returns. In this paper, we investigate an often –ignored aspects of event –study
methods to detect whether the event’s average effect on stock returns is zero.
Brown and Warner (1980,1985)verify that Event studies work well when an event
has an identical effect on all firms, but they also warn that when an event has
differing effects on firms, the variance of returns will increase and common
methods may fail.
To determine the ability of commonly-used methods to identify abnormal

returns in the presence of event-induced variance, we simulate the occurrence of
an event with stochastic effects on stock returns for 250 samples of 50 securities
each. We compare the results of several tests and find that when an event
causes even minor increases in variance, the most commonly-used methods
frequently cause the null hypothesis of zero average abnormal returns to be
rejected when it is in fact true. It show however that a simple adjustment to the

cross-sectional method results in equally-powerful tests when the null is false and
appropriate rejection rates when it is true.
They construct 250 samples of 50 securities each. The securities in each
sample are randomly selected from all securities included in the 1987 CRSP Daily
Returns File and are assigned randomly-selected events dates. Although the
1987 CRSP Daily Returns File includes security returns from July 1962 through
December 1987, we exclude 1987 events dates because of the volatility in stock
returns in the latter part of the year.
The traditional test
Traditional method assumes that security residuals are uncorrelated and that
event induced variance is insignificant. The test statistics equals the sum of the
event period abnormal returns divided by the square root of the sum of all
securities estimation period residual variances.
Standardized residual test
This method assumes that security residuals are uncorrelated and that event
induced variance is insignificant. How ever the residuals are standardized before
forming portfolios. This standardization serves 2 purposes. First, it adjusts for the
fact that the event period residual is an out of sample prediction and hence it will
have a higher standard deviation than estimation period residuals. Second
standardizing the event period residuals before forming portfolios allows for
hetroskedastic event day residuals and presents securities with large variances
from dominating the test.
Sign test
The traditional and standardized residual tests are often conducted in

conjunction with a sign test to help verify that a few firms are not driving the

results. The test statistics for the sign method is the observed proportion of
positive returns minus 0.5, divided by the standard deviation of a binomial
distribution. A problem with this approach is that it assumes that 50% of security
returns are negative, while returns are in fact skewed to the right.
Cross sectional test
The ordinary cross sectional method conducts a t-test by dividing the

average event period residual by its contemporaneous cross-sectional standard
error. As do the preceding methods, the ordinary cross-sectional method requires
security residuals to be uncorrelated across firms. It does not require event
induced variance to be insignificant, although if the event period residuals for
different firms are drawn from different distributions, the ordinary cross-sectional
test will be mis-specified.
Standardized cross-sectional test
Our proposed procedure addresses the misspecification problem of the

ordinary cross-sectional technique. By combining the standardized residual and
the ordinary cross sectional approaches, we form a hybrid which we call the
standardized cross-sectional test. First the residuals are standardized by the
estimation period standard deviation to eliminate the misspecification problem of
the ordinary cross-sectional test. The ordinary cross-sectional technique is then
applied to the standardized residuals, the test statistics is found by dividing the
average event period standardized residual by its contemporaneous cross-
sectional standard error. Like the ordinary cross-sectional method, this test allows
event induced variance change. It also incorporates information from the
estimation period, which may enhance its efficiency and power. This method also
requires that security residuals be cross-sectionally uncorrelated.

It is demonstrated that traditional event study method too frequently rejects a

null hypothesis of zero abnormal performance if the event itself causes additional
variance of event period returns. The two most common remedies to this problem
are to use an ordinary cross-sectional test or to use a sign test in conjunction with
a parametric test. We suggest an alternative, easy to use test. We find that if
event period returns are normalized and a cross-sectional test are then applied to
these standardized residuals, the results are better than with the 2 common
approaches too frequent rejections of true nulls are avoided without significantly
reducing the test’s power. In addition they show that event date clustering does
not affect our results.
A K Mishra proved that over the years the relationship between bonus issues
and stock prices has been the subject of much empirical discussion within the
finance literature. According to theory, bonus issues increase the number of
equity stocks outstanding but have no effect on stockholder’s proportional
ownership of stocks. The bonus issue date is known well in advance and
therefore should contain no new information. As such, one would not expect any
significant price reaction on bonus issue announcement. Contrary to this
theoretical prediction, however empirical studies of bonus issues and stock
dividends have documented a statistically significant market price reaction.1 It is,
therefore, a matter of concern that firms announcing bonus issues experience rise
in their stock prices on an average supporting semi-strong form Efficient Market
Hypothesis.
Bonus stock issue announcement dates of Indian publicly listed companies
for the period from June 1998 to August 2004 were collected using three data
sources—Prowess, Capital online and NSE website. First, Capital online was
used to identify Indian public companies that made bonus issues to stockholders
during the period covering June 1998 to August 2004. Second, the
announcement dates for bonus issues were extracted from the news abstracts of
prowess and Capital online and NSE website. This process revealed 46
observations that met the following criteria.

1. The bonus announcement date is to be reported in any of the leading

financial dailies Economic Times, Business Line, etc.
2. The bonus issue had to be an issue of new ordinary fully paid securities (at
no cost to stock holders) and not issued with a rights issue or bonus option
issue.
3. Daily closing stock price data for the company over the period from 250 days
before to 30 days after the announcement dates are available from the
databases.
4. The bonus issue must not have been issued in part or whole as a
consideration in a merger or acquisition or reconstruction.
5. There should not be any cash dividend announcement along with the bonus
announcement.
Most research in this area concerns the market behavior prior to and after
bonus issue announcement. Over the past half century, standard event-study
methodologies have been employed in such researches. Their sophistication has
been greatly improved by papers such as Fama, Jensen, and Roll (1969), Brown
and Warner (1980, 1985) and Dennis and McConnell (1986). This study in order
to examine the impact of the announcement of a bonus issue on the stock return
also uses the event study to estimate the normal return for a security. The impact
of event on stock price is assessed through a number of firms which are affected
by the event of interest. Event studies almost always involve analyses of stock
returns of publicly-traded firms. Conceptually, it might be possible to estimate the
impact of an event on a private company if sufficient data were available.
In order to obtain robust results different test statistics need to be applied.

Firstly, the traditional t statistics for each daily return AARt have been computed.
Additionally, other test statistics examined are the Patell (1976) standardized
residual test studied by Brown and Warner (1985), the standardized cross-
sectional test introduced by Boehmer, Musumeci and Poulsen (1991), and the
generalized sign test analyzed by Cowan (1992). The null hypothesis for each

test is that the mean abnormal return is equal to zero. Following Patell (1976), the
abnormal return for each security has been standardized by dividing by the
security’s own estimate of variance to test the hypothesis that the average
announcement effect is equal to zero.
This study documents the market behavior around the bonus

announcement date for 46 stocks listed on the National Stock Exchange of India
from 1998 to 2004. An event study was conducted using a 180-day event
window. It was found that on an average, the stocks start showing positive
abnormal returns nine to eight days before the announcement date. This may be
due to leakage of information. The CAAR for all these days is also significant. On
the announcement day there was a negative return of –0.10%. The AARs for the
first four days post announcement were negative but statistically significant on the
fourth day. In general, the behavior of AARs and CAARs is found to be in
accordance with expectation, thereby lending support to the hypothesis that the
Indian stock market is semi-strong efficient. Overall, the evidence presented in
this paper lends considerable support for the signaling hypothesis consistent with
the findings in the United States, Sweden, Canada, and New Zealand.
Rajiv D. Banker et.al (1993): have presented empirical evidence that prior
accounting information such as capital expenditure, retained earnings, funds from
operations, and dividend history, is useful in explaining cross-sectional variations in
the market response to stock dividend announcements. An important accounting
issue concerns the information content of disclosures and their usefulness to the
investor. They demonstrate the complementary role of previously disclosed firm-
specific accounting information in the market’s assessment of subsequently
disclosed information. Thus, two firms declaring the same amount of stock dividend
may experience predictably different market reactions to the announcement when it
is conditioned by prior information about the firms.

To the extent that stock dividend announcements change investors

expectations of a firm’s future cash dividends, a change in its market valuation will
occur. The direction and size of the change will depend on how the market forms its
expectations. The market will respond differentially (in both sing and magnitude of
the abnormal return) to an announcement, depending on whether the market
interprets the firms as having significant growth opportunities or being short on cash
and substituting stock dividends for cash dividends. To make this distinction, the
market uses other information already released as contradictory or corroborative
evidence. There main concern is with the differential intensity of the market’s
reaction to stock dividend announcements rather than with the reaction, per se,
positive or negative.
In a signaling equilibrium framework, firm managers choose the level of

distribution such that the marginal benefit (i.e., marginal increase in market value)
exceeds the marginal (signaling) cost associated with the distribution. Therefore,
one would expect the magnitude of abnormal returns to increase with the size of the
distribution.
Stock dividends receive a different accounting treatment than cash dividends

and stock splits are distributions of common stock that increase the number of
shares outstanding. In this sense, stock dividends and splits do not directly affect
the firm’s cash flow, unlike cash dividends. Stock dividends, however, have
accounting principles, firms declaring stock dividends are required to transfer an
amount equal to the market value of the distributed shares from retained earnings to
stockholders equity (contributed capital) in their financial accounting statements.
This transfer may impose costs on the firm.
In their financial accounting textbook, Davidson et al (1988, 523) state, “A

stock dividend formalizes the fact that some of the funds represented by past
earnings have been used for plant expansion, to replace assets at increased prices,
or to retire bonds. Such funds are therefore unavailable for cash dividends. “This

suggests that the relative level of capital expenditure may indicate whether a firm is
indeed capitalizing its already-invested funds as permanent capital stock. Firms with
relatively high levels of capital expenditure may have a more compelling argument
for such transfer from retained earnings to owner’s capital.
Some research on stock dividends and splits has examined earnings in the
post-announcement period as a test of whether announcing firms have
outperformed similar non-announcing firms. In contrast, we examine market
participant’s use of prior information on funds flow in reaching to a stock dividend
declaration. The hypothesis is that conditional on the dividend history, there is an
incremental value associated with previously announced information on earnings
and funds flow that determines the investors’ reaction to a stock dividend
announcement.
Analysis focuses on firms that declared stock dividends during the calendar
years 1976-83. Information on the size of the distribution, previous declaration and
the announcement dates are obtained fro the CRSP daily master tape. Data on the
returns observations during and before the event period of the individual firms in the
sample and the market portfolio are obtained from the CRSP daily returns file data
on firm-specific accounting variables and quarterly earnings announcement dates
are obtained from the 1984 annual and quarterly industrial COMPUSTAT files.
Empirical Methodology and Results
 Differential Market response of All firms, bad history firms and good
history firms are calculated by using CAR, DSIZE, REC, AVGF,
CAPEXP, MKTVAL
 Mean Market Reactions are Calculated
 Comparison Between Firm Specific Variables And Discontinuing
Dividends are made

 Chi Square Tables for dividend history category and market reactions
are calculated.
Our results indicate a systematic relation between the magnitudes of the

abnormal returns at the time of the stock dividend announcement and previously
disclosed accounting information, and this relation is conditioned by the dividend
history of the firm. In particular, the same previously disclosed accounting
information is perceived differentially by investors according to the good or bad
history of the announcing firm. More importantly, this research documents the
complementarily of various forms of firm-specific information that is used by
investors to interpret subsequent disclosures.
Amithab Gupta explains Investors assign a great deal of significance to

announcement of earnings reports as it reflects the financial performance of the
company and is an indicator of the future direction of the company. Earnings
announcements provide the market participants with the single most important
piece of public information by which they can evaluate the performance of a firm.
The market is filled with anticipation at the time when financial results of a company
are to be announced as they form the basis for revalidation of the future growth
prospects of a company which would be reflected in a buy, hold or sell strategy.
Thus, the adjustment of stock prices to the announcement of earnings reports is an
important empirical issue.
They use quarterly earnings announcements made by 50 companies

included in the CNX Nifty Index for the quarter ended March 31, 2004. We examine
the effects of announcements of quarterly earnings by companies on equity share
prices by taking daily adjusted market price data for the sample stocks for 225 days
before and 30 days after the board meeting date. The board meeting date is taken
as the event or announcement date. The respective board meeting dates for the
quarterly earnings are hand collected from The Economic Times. S&P CNX Nifty is
used as a surrogate for the market portfolio. The necessary share price data and

the values of the S&P CNX Nifty are obtained from ‘Prowess’—a database on stock
market research of Center for Monitoring Indian Economy (CMIE).
Event study methodology is used to calculate average abnormal returns and

cumulative average abnormal returns around the earnings announcements as given
by Ball and Brown (1968). In our study we use an event window of 61 days i.e., 30
days before and 30 days after the event day. The event day is the date on which the
board of each of the sample company meets to adopt the results of the quarter. It is
defined as t=0. Thirty days before the event day are designated as –30 to –1 and 30
days after the event day are designated as +1 to +30. An estimation period of –225
to –31 days is used for computing expected returns using the market model. We
feel that this period is sufficient for computing the expected returns. The daily
returns for each of the sample company are computed for the estimation window
period and also for the event window period. AARS and CAARS for good news and
bad news earnings announcements are calculated
This study examined the information content of quarterly earnings

announcements made by 50 companies included in the CNX Nifty Index for the
quarter ended March 31, 2004. An event study is used to examine the effects of
announcements of quarterly earnings on equity share prices. The sample is also
divided into two sub-samples of ‘good’ and ‘bad’ news of 37 and 13 announcements
respectively. In the case of full sample the study found an insignificant average
abnormal return –0.095% on the announcement day. Abnormal returns on two days
before and after the event day are also not significant. It is interesting to see that the
CAARs from day’s t–30 till t–3 remain negative. However, from t–2 onwards a
positive CAAR is witnessed till day t+2. This behavior indicates that earnings
announcement do contain information content and investors can beat the market by
formulating trading strategies.

Research Methodology
Purpose of Study
The purpose of this study is to examine the adjustment of stock prices to

announcements of bonus issues from different companies. To find strong evidence
in supporting of semi strong form market efficiency a scientific study called Event
Study is conducted. Its done to find whether there is any abnormal returns or not.
Semi strong form of market efficiency implies that no abnormal returns should
consistently occur after the announcement date. Several studies done before
support this theory
Problem Statement
Investors would be in dilemma in investing there funds in a particular stock

because of publicly available information like bonus issues, stock splits etc.
This research is carried out to find whether stock price reacts to information
release of bonus issues and to examine whether the Indian market is semi-strong
form efficient or not.
Objectives
 To know the impact of new information (bonus issues) on share prices

and how it adjusts itself after the issue.
 To find out whether market is semi-strong form efficient or not.

METHODOLOGY:
Event study methodology is used to calculate Average Abnormal Returns and

Cumulative Average Abnormal Returns around the date of announcement
R it = Ln(Pit/Pit-1)
Where, Pit and Pit-1 are respective closing daily prices for company i at
time t and t–1.
The expected returns on a stock have been estimated using the market model of
Sharpe (1964):
R it = á +â *R m t+ it
Where R it is the return on security i at time t, R m t is the return on the
market index at time t, á is the estimate of the intercept for share of company i, â is
the estimate for beta of share of company i, and it, is the independently and
identically distributed residual error term. In the next step we compute the
‘abnormal’ returns for each of the sample company for the window period. Abnormal
return is defined as the actual return minus the expected return.
The abnormal return for company i on day t is calculated as:

AR it = R it – á – â* R m t
In order to eliminate the effect of any one or group of securities on the abnormal
returns, the AARs are averaged over the number of companies. The AARs of
individual companies are averaged for each day using the following model.
N

(AAR t)= i 1 AR it/N
With a view to know the cumulative effect of AARs on days surrounding the event,
cumulative Average Abnormal Return (CAAR) is calculated for event days t1
through t2 by summing the average abnormal returns for these days: i.e.,
t2

(CAAR d)= t  t1 AAR t

‘ t ’ TEST:
‘t’ test for difference of mean is also calculated to find out if there is any
change in abnormal returns before and after the event. To find whether there is
significant difference in mean before and after the event. The ‘t’ test is conducted at
5% level of significance
Formula used
=│‾X -‾Y│∕ Sd
SD ={(S1^2/N1)=(S2^2-N2)}^½
SD = Combined Standard Deviation
N= Number of Samples
X =Mean of Sample before Date of Announcement
Y= Mean of Sample after the Announcement Date
Hypothesis
 Null Hypothesis (Ho)

Bonus issues do not affect the returns and the Indian market is semi-
strong form efficient.
 Alternative hypothesis (H1)
Bonus issues affect the returns and the Indian market is not semi-strong
form efficient.
Data
Bonus issues announcement dates of Indian publicly listed companies for the
period 2001 to 2005 were collected using Prowess, Capital online and NSE website.

Sample
18 stocks which had issued bonus shares were selected. The event date in this
study is the date on which Board of Directors meet to discuss bonus issues. The
event window is taken as t = -90 to t = +90 relative to the market is proxied by NSE
Nifty.
Steps:
1. Abnormal Returns (Residuals) are calculated using SPSS software.

2. Averages before and after the dates of announcement are calculated.
3. T-test was conducted for the average abnormal returns.
4. Cumulative abnormal returns are calculated using Abnormal Returns.
5. Data is plotted on a graph to observe the trend in returns.
6. T-test has been used to test the hypothesis, T-cal is derived using MS Excel
Scope
The study helps us to know the market hypothesis i.e, to know the behavior of
markets to bonus issues.
Limitations
1. The study is restricted to NSE

2. Only 5 years data has been used to find out the impact
3. Influence of other factors like mergers and acquisitions etc will also have an
impact on share price
4. Due to time and resource constraint only 18 stocks are taken for testing.

Abnormal returns of Ahmednagar Forgings Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03293 -0.00219 0.00957 -0.013 -0.03767 0.0134 -0.01874
0.059 0.00263 0.00483 -0.01793 0.01473 -0.02137 -0.01089
0.0062 0.04664 0.00204 -0.00981 0.0082 0.01501 -0.04787
0.02798 0.03287 0.00048 -0.01126 -0.03297 0.02131 -0.00401
-0.05867 0.0099 0.09932 -0.00745 -0.02292 0.01701 0.00028
-0.05377 0.0021 0.02142 -0.01977 -0.01729 -0.00724 -0.00422
0.00105 -0.00646 0.03341 0.00951 0.03789 -0.00917 -0.02504
-0.01157 -0.00109 0.04019 0.01469 -0.0274 0.0142 0.00551
0.02688 -0.0018 0.04528 0.04165 -0.02256 0.08653 -0.01587
-0.00559 0.01231 0.02473 -0.01029 0.0006 0.08751 0.00544
00.00044 -0.02439 -0.01093 -0.00251 -0.03806 -0.01906 -0.01162
-0.01612 0.01133 0.01131 -0.01578 0.07963 -0.04179 -0.03331
0.01025 -0.02333 0.01517 -0.00426 -0.04949 -0.03728 -0.00157
0.01955 0.03191 -0.00746 -0.00978 0.03294 -0.03038 0.054
0.0113 -0.0045 -0.03369 0.00017 -0.00208 -0.00994 0.0446
0.04378 -0.01631 0.04025 -0.00672 -0.02599 -0.01359 0.05972
0.04611 -0.01841 -0.01847 0.01236 -0.02289 -0.01446 -0.05129
-0.003 -0.01836 -0.02196 0.03848 -0.06885 -0.03304 0.01997
0.00243 -0.05471 -0.00645 0.04208 -0.00476 0.0232 -0.00889
0.03544 -0.00635 0.00599 -0.01169 -0.01134 0.01603 0.01411
0.00112 -0.02565 0.02588 0.00862 -0.02039 -0.01816 -0.00278
-0.0218 0.04088 0.01353 -0.04008 0.02244 0.02579 -0.00119
-0.01587 0.01059 0.03413 -0.0155 -0.00966 0.00554 -0.02838
-0.00483 -0.02265 -0.03483 -0.03172 0.01136 -0.01949 0.04188
-0.05329 -0.01145 -0.02735 -0.03207 -0.01327 -0.02944
0.02155 0.00624 -0.00979 -0.02192 -0.01127 -0.00407

E v e n t d a t e
T-TAB 2.571 T-CAL 1.58034

Cumulative abnormal returns of Ahmednagar Forgings Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03293 0.09931 0.08082 0.31485 0.1762 -0.0038 -0.01889
0.09193 0.10194 0.08565 0.29692 0.19093 -0.02517 -0.02978
0.09813 0.14858 0.08769 0.28711 0.19913 -0.01016 -0.07765
0.12611 0.18145 0.08817 0.27585 0.16616 0.01115 -0.08166
0.06744 0.19135 0.18749 0.2684 0.14324 0.02816 -0.08138
0.01367 0.19345 0.20891 0.24863 0.12595 0.02092 -0.0856
0.01472 0.18699 0.24232 0.25814 0.16384 0.01175 -0.11064
0.00315 0.1859 0.28251 0.27283 0.13644 0.02595 -0.10513
0.03003 0.1841 0.32779 0.31448 0.11388 0.11248 -0.121
0.02444 0.19641 0.35252 0.30419 0.11448 0.19999 -0.11556
0.02488 0.17202 0.34159 0.30168 0.07642 0.18093 -0.12718
0.00876 0.18335 0.3529 0.2859 0.15605 0.13914 -0.16049
0.01901 0.16002 0.36807 0.28164 0.10656 0.10186 -0.16206
0.03856 0.19193 0.36061 0.27186 0.1395 0.07148 -0.10806
0.04986 0.18743 0.32692 0.27203 0.13742 0.06154 -0.06346
0.09364 0.17112 0.36717 0.26531 0.11143 0.04795 -0.00374
0.13975 0.15271 0.3487 0.27767 0.08854 0.03349 -0.05503
0.13675 0.13435 0.32674 0.31615 0.01969 0.00045 -0.03506
0.13918 0.07964 0.32029 0.35823 0.01493 0.02365 -0.04395
0.17462 0.07329 0.32628 0.34654 0.00359 0.03968 -0.02984
0.17574 0.04764 0.35216 0.35516 -0.0168 0.02152 -0.03262
0.15394 0.08852 0.36569 0.31508 0.00564 0.04731 -0.03381
0.13807 0.09911 0.39982 0.29958 -0.00402 0.05285 -0.06219
0.13324 0.07646 0.36499 0.26786 0.00734 0.03336 -0.02031
0.07995 0.06501 0.33764 0.23579 -0.00593 0.00392
0.1015 0.07125 0.32785 0.21387 -0.0172 -0.00015

E v e n t d a t e

Ahmednagar Forgings Ltd
0.6
0.4
CAAR
0.2 CAR
0
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
DAYS
Interpretation:
There was a raise in Cumulative Abnormal Returns before 35 days because of leakage of
information within the co. this rise confirms even after the event day i.e. the day on which
the Board of directors met & then adjusts itself after 30 days.
t-Test result:
Since t-tabulated (2.571) at 5% level of significance and 5% Degree of Freedom is

greater than t-calculated (1.58034), there is no significant difference between the
averages before and after the event and hence the alternative hypothesis will be
accepted.

Abnormal returns of Alembic

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.00059 0.00802 0.00431 -0.01378 -0.0009 -0.0133 -0.00177
-0.01545 -0.01318 -0.00963 0.02455 -0.00433 -0.00451 -0.03831
-0.00327 0.01008 0.00633 -0.00091 -0.00622 -0.00317 0.01131
-0.00328 -0.02807 -0.0267 -0.01984 0.06665 0.00477 -0.03675
-0.01624 0.01565 -0.02064 -0.09376 0.07454 0.00445 0.00134
-0.02547 0.01052 -0.01824 -0.01991 0.02514 -0.01001 -0.01699
-0.01328 -0.00438 -0.02056 0.02892 0.04216 -0.00817 -0.02617
0.00005 0.00656 0.01206 -0.06626 -0.05497 -0.00438 -0.05687
-0.02043 -0.02454 -0.02047 0.13933 -0.01374 0.00089 0.0183
-0.02412 0.00899 -0.01404 0.03644 -0.014 -0.02508 -0.03285
-0.00686 -0.01576 0.00071 -0.03374 -0.06303 0.00647 -0.00133
0.01902 0.0332 -0.00135 0.1856 -0.02309 0.01348 -0.03468
-0.0607 -0.01444 -0.01346 0.17355 -0.02413 -0.01893 -0.00824
0.00226 0.03316 -0.00545 0.14645 0.00291 -0.02608 -0.0015
-0.02282 0.03758 -0.00658 -0.03418 -0.06909 0.00679 0.00422
-0.02749 0.00831 -0.00496 -0.00522 -0.06625 -0.01052 0.01452
0.00231 0.02187 -0.01036 -0.02807 -0.07428 0.00969 0.05225
0.05224 0.02111 -0.00575 -0.00666 0.16929 0.04236 0.00877
0.00869 0.03363 -0.00049 -0.00032 0.07398 -0.00788 -0.00173
-0.0393 0.06713 0.00682 -0.00089 -0.00708 -0.03651 0.00337
0.00749 0.02608 0.01277 0.00145 -0.0306 0.02733 -0.02458
0.00821 -0.06235 -0.01765 0.00504 -0.02201 -0.00721 -0.01252
-0.02344 -0.01981 0.01895 -0.02331 0.04602 -0.00229 -0.01859
-0.02096 -0.0093 -0.00951 -0.01217 -0.02392 -0.00375 -0.01491
0.04268 0.01518 0.00151 0.07098 0.02013 0.0129 -0.00324
-0.02413 -0.0001 -0.00931 0.01957 -0.00919 -0.02581

E v e n t d a t e
0.095944
T-TAB 2.571 T-CAL

Cumulative abnormal returns of Alembic

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.00059 -0.19686 -0.03543 -0.20521 0.28053 0.28212 0.21518
-0.01604 -0.21004 -0.04506 -0.18066 0.2762 0.27761 0.17687
-0.01931 -0.19996 -0.03873 -0.18157 0.26998 0.27444 0.18818
-0.02259 -0.22803 -0.06543 -0.20141 0.33663 0.27921 0.15143
-0.03883 -0.21238 -0.08607 -0.29517 0.41117 0.28366 0.15277
-0.0643 -0.20186 -0.10431 -0.31508 0.43631 0.27365 0.13578
-0.07758 -0.20624 -0.12487 -0.28616 0.47847 0.26548 0.10961
-0.07753 -0.19968 -0.11281 -0.35242 0.4235 0.2611 0.05274
-0.09796 -0.22422 -0.13328 -0.21309 0.40976 0.26199 0.07104
-0.12208 -0.21523 -0.14732 -0.17665 0.39576 0.23691 0.03819
-0.12894 -0.23099 -0.14661 -0.21039 0.33273 0.24338 0.03686
-0.10992 -0.19779 -0.14796 -0.02479 0.30964 0.25686 0.00218
-0.17062 -0.21223 -0.16142 0.14876 0.28551 0.23793 -0.00606
-0.16836 -0.17907 -0.16687 0.29521 0.28842 0.21185 -0.00756
-0.19118 -0.14149 -0.17345 0.26103 0.21933 0.21864 -0.00334
-0.21867 -0.13318 -0.17841 0.25581 0.15308 0.20812 0.01118
-0.21636 -0.11131 -0.18877 0.22774 0.0788 0.21781 0.06343
-0.16412 -0.0902 -0.19452 0.22108 0.24809 0.26017 0.0722
-0.15543 -0.05657 -0.19501 0.22076 0.32207 0.25229 0.07047
-0.19473 0.01056 -0.18819 0.21987 0.31499 0.21578 0.07384
-0.18724 0.03664 -0.17542 0.22132 0.28439 0.24311 0.04926
-0.17903 -0.02571 -0.19307 0.22636 0.26238 0.2359 0.03674
-0.20247 -0.04552 -0.17412 0.20305 0.3084 0.23361 0.01815
-0.22343 -0.05482 -0.18363 0.19088 0.28448 0.22986 0.00324
-0.18075 -0.03964 -0.18212 0.26186 0.30461 0.24276 1.77E-16
-0.20488 -0.03974 -0.19143 0.28143 0.29542 0.21695

E v e n t d a t e

ALEMBIC
CAAR 1
0.5
CAR
0
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.5
Days
Interpretation:
Here we can observe a sudden increase before 3 days of the event day. This was due to the
announcement of BOD meeting to discuss regarding the bonus issue. This rise continues for
30 more days and adjusts itself for the ratio of issue.
t-Test result:

accepted.

Abnormal returns of Amtek Auto Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00851 -0.00037 0.00133 0.00668 0.0047 -0.00535 0.00405
-0.00265 0.00031 -0.01194 0.00193 -0.00352 0.00538 -0.00515
-0.01314 -0.00494 0.01328 -0.00382 0.00866 -0.00822 -0.00068
0.00674 0.00034 -0.01187 -0.01498 -0.0007 -0.00465 -0.00151
0.00918 0.00153 0.00202 -0.00905 -0.00337 0.01073 0.00198
-0.01322 -0.00179 0.0119 -0.00356 0.00285 0.0028 -0.02582
0.01512 0.0037 -0.00861 0.0088 0.00287 -0.00234 0.00981
-0.01207 0.00219 0.00023 -0.00575 -0.00555 0.00689 0.01286
-0.00155 -0.00027 0.00219 0.00206 0.00396 -0.00787 -0.00207
-0.00121 0.00085 0.0026 -0.00159 0.0017 0.00602 0.00085
0.0124 -0.01488 0.00962 0.01429 -0.01157 0.00031 0.0017
0.00078 0.00303 -0.00243 -0.01271 0.01416 -0.00125 0.00201
-0.00941 0.00155 0.00326 0.01188 -0.02182 0.00132 0.01447
0.00023 0.00746 0.00553 -0.00135 0.02371 -0.00182 -0.00501
0.00051 0.00856 -0.0036 0.00061 -0.00575 -0.00025 -0.00473
0.00203 -0.00116 -0.00551 -0.0111 0.00362 0.00592 0.01253
-0.00208 -0.00043 -0.00399 -0.001 -0.01006 -0.00372 -0.01509
0.00815 -0.01343 0.01733 -0.00032 -0.00012 -0.00761 0.01754
-0.02989 0.00688 -0.0288 0.01197 -0.00021 0.00799 0.0006
0.0048 -0.0072 0.00313 0.00181 0.00139 -0.00092 0.00119
0.00177 -0.0017 -0.00142 -0.00284 -0.006 -0.0044 0.00511
-0.00227 0.00261 0.00249 -0.00707 0.01636 0.00428 -0.00096
0.01213 -0.003 0.00509 0.00318 -0.0126 -0.00964 -0.01768
0.00277 0.00326 -0.00312 0.00385 0.00234 0.00706 0.02859
-0.01282 0.00536 -0.00201 -0.00049 0.00731 0.00808 -0.006
0.00003 -0.00209 -0.00278 -0.00485 0.00119 -0.01255

E v e n t d a t e
T-TAB 2.571 T-CAL 0.743632

Cumulative abnormal returns of Amtek Auto Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00851 -0.01553 -0.01746 -0.01819 -0.03359 -0.03009 -0.0245
0.00586 -0.01522 -0.0294 -0.01626 -0.03711 -0.02471 -0.02965
-0.00728 -0.02016 -0.01612 -0.02008 -0.02845 -0.03293 -0.03033
-0.00054 -0.01982 -0.02799 -0.03506 -0.02915 -0.03758 -0.03184
0.00864 -0.01829 -0.02597 -0.04411 -0.03252 -0.02685 -0.02986
-0.00458 -0.02008 -0.01407 -0.04767 -0.02967 -0.02405 -0.05568
0.01054 -0.01638 -0.02268 -0.03887 -0.0268 -0.02639 -0.04587
-0.00153 -0.01419 -0.02245 -0.04462 -0.03235 -0.0195 -0.03301
-0.00308 -0.01446 -0.02026 -0.04256 -0.02839 -0.02737 -0.03508
-0.00429 -0.01361 -0.01766 -0.04415 -0.02669 -0.02135 -0.03423
0.00811 -0.02849 -0.00804 -0.02986 -0.03826 -0.02104 -0.03253
0.00889 -0.02546 -0.01047 -0.04257 -0.0241 -0.02229 -0.03052
-0.00052 -0.02391 -0.00721 -0.03069 -0.04592 -0.02097 -0.01605
-0.00029 -0.01645 -0.00168 -0.03204 -0.02221 -0.02279 -0.02106
0.00022 -0.00789 -0.00528 -0.03143 -0.02796 -0.02304 -0.02579
0.00225 -0.00905 -0.01079 -0.04253 -0.02434 -0.01712 -0.01326
0.00017 -0.00948 -0.01478 -0.04353 -0.0344 -0.02084 -0.02835
0.00832 -0.02291 0.00255 -0.04385 -0.03452 -0.02845 -0.01081
-0.02157 -0.01603 -0.02625 -0.03188 -0.03473 -0.02046 -0.01021
-0.01677 -0.02323 -0.02312 -0.03007 -0.03334 -0.02138 -0.00902
-0.015 -0.02493 -0.02454 -0.03291 -0.03934 -0.02578 -0.00391
-0.01727 -0.02232 -0.02205 -0.03998 -0.02298 -0.0215 -0.00487
-0.00514 -0.02532 -0.01696 -0.0368 -0.03558 -0.03114 -0.02255
-0.00237 -0.02206 -0.02008 -0.03295 -0.03324 -0.02408 0.00604
-0.01519 -0.0167 -0.02209 -0.03344 -0.02593 -0.016 4E-05
-0.01516 -0.01879 -0.02487 -0.03829 -0.02474 -0.02855

E v e n t d a t e

Amtek Auto Ltd.
0.02
0
CAAR
-0.02 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 CAR
-0.04
-0.06
Days
Interpretation:
We can observe a haphazard movement of the CAAR lines that fluctuation could be for
some other reason. But it shows negative returns almost for the entire period of sample.
t-Test result:

accepted.

Abnormal returns of Cosmo Films Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.00063 -0.0106 -0.01845 0.08678 0.00221 0.0092 -0.02783
-0.02223 0.02352 -0.02734 -0.0207 -0.00945 -0.04007 0.02851
0.01173 0.01967 -0.0037 -0.02397 -0.00845 -0.00382 0.00862
0.00399 -0.01578 -0.00951 0.02153 -0.006 -0.0247 -0.01776
-0.00944 -0.01882 -0.01111 0.03811 -0.00866 -0.03305 -0.02239
0.0077 -0.01084 -0.01375 -0.02958 0.00033 0.00415 -0.02599
0.01785 -0.01745 0.00287 0.0156 -0.00377 0.02805 0.05562
0.05094 0.00569 0.03675 -0.00913 -0.02828 -0.02773 -0.02539
-0.02559 0.00942 -0.02739 -0.00567 0.0337 -0.02771 -0.01981
0.00063 0.00691 0.02751 -0.00449 0.00105 0.01241 0.00223
-0.01865 0.01796 0.03519 -0.00126 -0.00122 -0.02153 0.00347
-0.01248 -0.0125 -0.00061 -0.06894 -0.00648 -0.07617 0.04493
0.01102 -0.00838 -0.0069 -0.0109 0.06193 0.02511 0.00168
0.005 -0.0198 -0.00787 0.00609 0.00216 0.02395 -0.00552
-0.01594 0.00441 0.00778 0.01484 -0.03122 0.02636 0.01591
-0.01272 -0.01329 0.00674 -0.01895 0.03574 0.08307 -0.03282
0.07059 0.03298 -0.00683 -0.02724 -0.0029 0.02737 0.07896
0.01562 -0.02405 -0.02505 0.0242 -0.01699 -0.00556 0.00165
-0.03667 0.00156 -0.0111 -0.01161 -0.01255 0.00956 0.075
-0.01708 0.02936 -0.00783 -0.00729 0.01084 0.01709 -0.02429
-0.01275 -0.01835 -0.00441 -0.03928 -0.01176 0.02991 0.0041
0.01359 -0.00929 -0.02657 -0.00441 -0.00027 0.04195 -0.0116
-0.00842 -0.01345 -0.01984 -0.0024 -0.01634 0.00223 0.00088
-0.02846 -0.02692 -0.01287 -0.05241 -0.0036 0.11299 -0.00809
0.00856 -0.00001 0.05646 -0.0077 -0.00515 0.01377 -0.01854
0.01319 0.00327 -0.02078 0.00277 0.03807 -0.02126

E v e n t d a t e
0.81323
T-TAB 2.571 T-CAL

Cumulative Abnormal returns of Cosmo Films Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.00063 -0.00125 -0.07388 -0.05726 -0.27784 -0.25791 -0.10937
-0.02286 0.02227 -0.10122 -0.07796 -0.28729 -0.29798 -0.08086
-0.01113 0.04194 -0.10492 -0.10193 -0.29574 -0.3018 -0.07224
-0.00714 0.02616 -0.11443 -0.0804 -0.30174 -0.3265 -0.09
-0.01658 0.00734 -0.12554 -0.04229 -0.3104 -0.35955 -0.11239
-0.00888 -0.0035 -0.13929 -0.07187 -0.31007 -0.3554 -0.13838
0.00897 -0.02095 -0.13642 -0.05627 -0.31384 -0.32735 -0.08276
0.05991 -0.01526 -0.09967 -0.0654 -0.34212 -0.35508 -0.10815
0.03432 -0.00584 -0.12706 -0.07107 -0.30842 -0.38279 -0.12796
0.03495 0.00107 -0.09955 -0.07556 -0.30737 -0.37038 -0.12573
0.0163 0.01903 -0.06436 -0.07682 -0.30859 -0.39191 -0.12226
0.00382 0.00653 -0.06497 -0.14576 -0.31507 -0.46808 -0.07733
0.01484 -0.00185 -0.07187 -0.15666 -0.25314 -0.44297 -0.07565
0.01984 -0.02165 -0.07974 -0.15057 -0.25098 -0.41902 -0.08117
0.0039 -0.01724 -0.07196 -0.13573 -0.2822 -0.39266 -0.06526
-0.00882 -0.03053 -0.06522 -0.15468 -0.24646 -0.30959 -0.09808
0.06177 0.00245 -0.07205 -0.18192 -0.24936 -0.28222 -0.01912
0.07739 -0.0216 -0.0971 -0.15772 -0.26635 -0.28778 -0.01747
0.04072 -0.02004 -0.1082 -0.16933 -0.2789 -0.27822 0.05753
0.02364 0.00932 -0.11603 -0.17662 -0.26806 -0.26113 0.03324
0.01089 -0.00903 -0.12044 -0.2159 -0.27982 -0.23122 0.03734
0.02448 -0.01832 -0.14701 -0.22031 -0.28009 -0.18927 0.02574
0.01606 -0.03177 -0.16685 -0.22271 -0.29643 -0.18704 0.02662
-0.0124 -0.05869 -0.17972 -0.27512 -0.30003 -0.07405 0.01853
-0.00384 -0.0587 -0.12326 -0.28282 -0.30518 -0.06028 -1E-05
0.00935 -0.05543 -0.14404 -0.28005 -0.26711 -0.08154

E v e n t d a t e

Cosmo Films Ltd.
0.2
0
CAAR
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 CAR
-0.4
-0.6
Days
Interpretation:
In this case the returns were close to zero but become negative before 30 days of the event
day. Prices adjust and the returns become negative after this date. Here we can notice a fall
in price before one day of the event date.
t-Test result:

accepted.

Abnormal returns of Federal Bank Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00925 0.04434 0.0387 -0.09102 -0.00034 -0.03173 -0.01555
0.02403 0.08358 0.02158 0.03086 -0.00727 -0.00015 0.03712
-0.00683 -0.00624 -0.00566 0.03858 -0.00102 -0.02416 -0.00021
-0.01697 0.01664 -0.01001 0.01742 -0.02839 0.01247 0.01501
-0.02578 0.03065 -0.02124 0.01334 -0.00329 -0.0195 -0.00313
0.02363 0.0428 0.02361 0.05868 -0.02672 -0.01112 -0.00295
-0.02147 -0.01865 0.00319 -0.04904 -0.04453 0.01316 -0.04705
0.0547 0.1239 -0.01094 0.00723 -0.01132 -0.00024 -0.02157
-0.03709 0.05219 0.03726 0.01855 -0.00027 -0.00895 -0.00747
0.02349 0.01256 -0.03222 0.02386 -0.06272 -0.01496 -0.02826
-0.0072 -0.01017 0.03455 0.00021 0.01017 0.00264 -0.00276
-0.01719 0.00279 0.02143 0.047 0.02008 0.00872 0.05299
0.00981 0.03479 -0.03003 0.00295 0.01071 -0.0323 0.03477
-0.00164 -0.01013 0.01197 -0.0043 -0.01056 -0.005 0.01845
-0.0026 0.01988 -0.02045 -0.0072 -0.00685 -0.01329 -0.06911
-0.01053 0.0475 -0.01692 0.01578 0.00627 -0.02643 -0.0115
-0.02005 -0.00967 0.02575 -0.03602 0.0105 0.0534 -0.01501
0.00333 0.00835 0.0054 -0.02558 -0.01945 0.01105 -0.03863
0.01335 -0.05141 -0.01449 -0.00604 0.00655 -0.0074 -0.00815
-0.00166 -0.04779 0.00688 -0.01228 0.0002 -0.01941 -0.00041
-0.01614 -0.03976 -0.01887 0.02298 -0.02036 -0.00343 0.00785
0.00164 0.01482 -0.09837 -0.02145 -0.00224 -0.00304 -0.0133
-0.03569 0.01119 -0.02449 -0.00287 -0.0001 0.03264 -0.00167
-0.01678 -0.01589 0.05016 0.01774 -0.02211 0.03394 -0.00152
-0.01196 0.03425 0.06602 -0.03071 -0.0173 0.00843 -0.0145
-0.01303 0.00299 0.05138 0.0202 -0.00756 -0.00803

E v e n t d a t e
T-TAB 2.571 T-CAL 2.558252

Cumulative Abnormal returns of Federal Bank Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00925 -0.05504 0.31283 0.2773 0.41685 0.15754 0.12103
0.03328 0.02854 0.33441 0.30816 0.40958 0.15739 0.15815
0.02645 0.0223 0.32875 0.34674 0.40856 0.13323 0.15794
0.00948 0.03894 0.31874 0.36416 0.38017 0.1457 0.17295
-0.0163 0.06959 0.2975 0.3775 0.37688 0.1262 0.16982
0.00733 0.11239 0.32111 0.43618 0.35016 0.11508 0.16687
-0.01414 0.09374 0.3243 0.38714 0.30563 0.12824 0.11982
0.04056 0.21764 0.31336 0.39437 0.29431 0.128 0.09825
0.00347 0.26983 0.35062 0.41292 0.29404 0.11905 0.09078
0.02696 0.28239 0.3184 0.43678 0.23132 0.10409 0.06252
0.01976 0.27222 0.35295 0.43699 0.24149 0.10673 0.05976
0.00257 0.27501 0.37438 0.48399 0.26157 0.11545 0.11275
0.01238 0.3098 0.34435 0.48694 0.27228 0.08315 0.14752
0.01074 0.29967 0.35632 0.48264 0.26172 0.07815 0.16597
0.00814 0.31955 0.33587 0.47544 0.25487 0.06486 0.09686
-0.00239 0.36705 0.31895 0.49122 0.26114 0.03843 0.08536
-0.02244 0.35738 0.3447 0.4552 0.27164 0.09183 0.07035
-0.01911 0.36573 0.3501 0.42962 0.25219 0.10288 0.03172
-0.00576 0.31432 0.33561 0.42358 0.25874 0.09548 0.02357
-0.00742 0.26653 0.34249 0.4113 0.25894 0.07607 0.02316
-0.02356 0.22677 0.32362 0.43428 0.23858 0.07264 0.03101
-0.02192 0.24159 0.22525 0.41283 0.23634 0.0696 0.01771
-0.05761 0.25278 0.20076 0.40996 0.23624 0.10224 0.01604
-0.07439 0.23689 0.25092 0.4277 0.21413 0.13618 0.01452
-0.08635 0.27114 0.31694 0.39699 0.19683 0.14461 2E-05
-0.09938 0.27413 0.36832 0.41719 0.18927 0.13658

E v e n t d a t e

Federal Bank Ltd.
0.6
0.4
CAAR
0.2 CAR
0
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
Days
Interpretation:
We can notice that information regarding the issue is being leaked well in advance which is
due to internal informational leakage. The raise continues and then adjusts after 20 days i.e.
on the ex-date.
t-Test result:

accepted.

Abnormal returns of F D C Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03371 -0.0038 0.0012 0.01256 -0.00104 0.02494 -0.03048
-0.01663 -0.00557 -0.00906 0.01372 0.01488 -0.02322 -0.02767
-0.03226 -0.00205 -0.03049 0.02387 -0.0011 -0.0248 -0.05668
0.02002 -0.00324 -0.0303 0.01252 -0.00846 0.09685 0.00602
-0.0094 -0.02015 0.00671 0.02255 -0.02517 0.00804 -0.03725
0.00736 -0.03069 -0.02856 0.09479 0.01686 -0.06108 -0.02264
0.00237 0.06514 -0.00101 0.09177 0.00709 0.01426 0.02272
-0.01169 0.07764 0.01276 0.08638 -0.01197 -0.01351 0.01456
-0.01362 -0.03286 -0.01883 0.0094 0.07701 0.00202 -0.01571
-0.00297 -0.02948 -0.0243 0.04474 -0.00734 -0.01306 -0.01162
0.02995 0.01724 -0.00358 0.02731 -0.00002 -0.01202 -0.00842
-0.03475 -0.01764 0.02424 -0.10086 -0.01526 -0.00908 0.00794
-0.02475 0.02846 0.00771 -0.0193 -0.02517 -0.00273 -0.04708
0.02711 0.04911 0.07446 -0.02986 0.01874 0.01282 -0.00467
0.06219 0.09283 -0.03965 -0.04012 -0.02138 0.00234 -0.04628
-0.00079 0.01129 -0.01797 -0.00665 0.02485 0.01092 -0.00785
0.01896 -0.0229 -0.02008 -0.01562 -0.01253 0.0029 -0.0127
-0.01934 -0.00262 0.03169 0.01772 0.0132 0.00439 -0.01257
-0.01392 0.04132 0.0089 -0.00039 -0.04052 0.01988 0.02047
-0.03086 -0.02403 -0.01481 0.00014 0.00826 -0.03293 0.02726
0.00545 -0.00277 0.0289 -0.01449 -0.0036 0.00368 0.0382
0.00174 -0.02012 0.00188 0.0181 -0.00545 0.01055 0.04488
0.00052 -0.00052 -0.0498 0.01874 -0.00389 -0.01698 -0.0239
-0.02787 -0.02891 -0.02405 -0.00166 -0.00557 0.00184 -0.01749
0.01919 -0.02251 -0.00496 0.02007 0.00187 0.00908 -0.00635
-0.00672 -0.02196 -0.00712 -0.02417 0.0009 -0.01228

E v e n t d a t e
T-TAB 2.571 T-CAL 1.456043

Cumulative Abnormal returns of F D C Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03371 -0.0208 0.07541 -0.03935 0.20831 0.22948 0.17688
0.01708 -0.02637 0.06635 -0.02563 0.22319 0.20626 0.14921
-0.01518 -0.02842 0.03586 -0.00176 0.22209 0.18146 0.09253
0.00484 -0.03166 0.00556 0.01076 0.21363 0.27831 0.09855
-0.00456 -0.05181 0.01227 0.03331 0.18846 0.28635 0.0613
0.0028 -0.0825 -0.01629 0.1281 0.20532 0.22527 0.03866
0.00517 -0.01736 -0.0173 0.21987 0.21241 0.23953 0.06138
-0.00652 0.06028 -0.00454 0.30625 0.20044 0.22602 0.07594
-0.02014 0.02742 -0.02337 0.31565 0.27745 0.22804 0.06023
-0.02311 -0.00206 -0.04767 0.36039 0.27011 0.21498 0.04861
0.00684 0.01518 -0.05125 0.3877 0.27009 0.20296 0.04019
-0.02791 -0.00246 -0.02701 0.28684 0.25483 0.19388 0.04813
-0.05266 0.026 -0.0193 0.26754 0.22966 0.19115 0.00105
-0.02555 0.07511 0.05516 0.23768 0.2484 0.20397 -0.00362
0.03664 0.16794 0.01551 0.19756 0.22702 0.20631 -0.0499
0.03585 0.17923 -0.00246 0.19091 0.25187 0.21723 -0.05775
0.05481 0.15633 -0.02254 0.17529 0.23934 0.22013 -0.07045
0.03547 0.15371 0.00915 0.19301 0.25254 0.22452 -0.08302
0.02155 0.19503 0.01805 0.19262 0.21202 0.2444 -0.06255
-0.00931 0.171 0.00324 0.19276 0.22028 0.21147 -0.03529
-0.00386 0.16823 0.03214 0.17827 0.21668 0.21515 0.00291
-0.00212 0.14811 0.03402 0.19637 0.21123 0.2257 0.04779
-0.0016 0.14759 -0.01578 0.21511 0.20734 0.20872 0.02389
-0.02947 0.11868 -0.03983 0.21345 0.20177 0.21056 0.0064
-0.01028 0.09617 -0.04479 0.23352 0.20364 0.21964 5E-05
-0.017 0.07421 -0.05191 0.20935 0.20454 0.20736

E v e n t d a t e

F D C Ltd
0.6
0.4
CAAR
0.2 CAR
0
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
Days
Interpretation:
Here we can notice a shift before 8 days due to the announcement of board of
directors meet. It falls after that to a certain extent and then continues the same till it
adjusts itself to the issue.
t-Test result:

accepted.

Abnormal returns of Glenmark Pharmaceuticals Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01565 -0.02472 0.00127 -0.02395 -0.00279 -0.02583 -0.00454
0.00452 0.01782 0.04576 0.00643 0.06625 0.01566 -0.00473
0.02006 -0.02425 0.02879 -0.00928 -0.03313 0.01208 -0.00232
0.00696 -0.0069 -0.0087 -0.00422 -0.00105 -0.00595 -0.01629
-0.01113 -0.02103 -0.03064 0.03315 0.00341 -0.02298 -0.0196
-0.00796 -0.00914 0.02117 -0.01256 -0.00771 0.00574 -0.0021
-0.028 0.06272 -0.01493 0.09532 -0.01712 -0.0211 0.03822
-0.01043 -0.00504 -0.01532 0.08177 -0.0006 0.00956 -0.03177
-0.01494 -0.01123 0.00956 0.06319 0.03304 -0.02562 -0.03756
-0.01078 -0.02512 -0.04737 0.01348 -0.02416 0.02438 0.00129
-0.03539 -0.01227 -0.02642 -0.0302 -0.03074 0.00679 -0.04207
0.0053 0.02452 -0.01264 -0.03365 -0.00773 -0.05263 -0.04836
-0.00444 -0.01034 -0.02581 0.08178 -0.0217 0.02656 -0.00279
-0.01406 -0.00696 -0.00813 0.03748 0.00338 0.01814 -0.00484
0.00719 0.03063 -0.01593 -0.05284 -0.0065 0.02961 -0.01833
0.0264 -0.03346 0.01152 -0.05473 -0.00166 -0.03218 -0.02457
-0.00492 -0.00801 0.02944 0.03496 -0.00532 -0.04253 -0.0041
0.10554 -0.01596 -0.02368 -0.01725 -0.00437 0.03334 -0.00387
0.09286 0.01417 -0.00741 -0.0213 0.0265 0.00717 -0.01717
0.09364 0.07909 0.00391 -0.00296 0.00265 -0.03676 -0.00639
0.10024 0.02914 0.00423 -0.01235 -0.02503 -0.02795 0.01511
0.07614 -0.0451 0.08095 -0.0079 0.02933 0.0085 -0.03016
0.0043 -0.00039 -0.04575 -0.02824 0.06704 0.00321 -0.01349
-0.08661 -0.03817 0.05711 0.03072 -0.01156 -0.01648 -0.00443
-0.0101 -0.01266 -0.01958 0.00985 0.00224 0.02918 -0.02123
-0.00045 -0.01447 -0.00716 -0.03758 -0.01203 0.02098

E v e n t d a t e
1.785395
T-TAB 2.571 T-CAL

Cumulative Abnormal returns of Glenmark Pharmaceuticals Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01565 0.26357 0.22243 0.18145 0.34173 0.33933 0.30151
-0.01113 0.28139 0.26819 0.18788 0.40798 0.35499 0.29678
0.00893 0.25714 0.29698 0.1786 0.37485 0.36707 0.29446
0.01589 0.25024 0.28828 0.17438 0.3738 0.36112 0.27817
0.00476 0.22921 0.25764 0.20753 0.37721 0.33814 0.25857
-0.0032 0.22007 0.27881 0.19497 0.3695 0.34388 0.25647
-0.0312 0.28279 0.26388 0.29029 0.35238 0.32278 0.29469
-0.04163 0.27775 0.24856 0.37206 0.35178 0.33234 0.26292
-0.05657 0.26652 0.25812 0.43525 0.38482 0.30672 0.22536
-0.06735 0.2414 0.21075 0.44873 0.36066 0.3311 0.22665
-0.10274 0.22913 0.18433 0.41853 0.32992 0.33789 0.18458
-0.09744 0.25365 0.17169 0.38488 0.32219 0.28526 0.13622
-0.10188 0.24331 0.14588 0.46666 0.30049 0.31182 0.13343
-0.11594 0.23635 0.13775 0.50414 0.30387 0.32996 0.12859
-0.10875 0.26698 0.12182 0.4513 0.29737 0.35957 0.11026
-0.08235 0.23352 0.13334 0.39657 0.29571 0.32739 0.08569
-0.08727 0.22551 0.16278 0.43153 0.29039 0.28486 0.08159
0.01827 0.20955 0.1391 0.41428 0.28602 0.3182 0.07772
0.11113 0.22372 0.13169 0.39298 0.31252 0.32537 0.06055
0.20477 0.30281 0.1356 0.39002 0.31517 0.28861 0.05416
0.30501 0.33195 0.13983 0.37767 0.29014 0.26066 0.06927
0.38115 0.28685 0.22078 0.36977 0.31947 0.26916 0.03911
0.38545 0.28646 0.17503 0.34153 0.38651 0.27237 0.02562
0.29884 0.24829 0.23214 0.37225 0.37495 0.25589 0.02119
0.28874 0.23563 0.21256 0.3821 0.37719 0.28507 -4E-05
0.28829 0.22116 0.2054 0.34452 0.36516 0.30605

E v e n t d a t e

Glenmark Pharmaceuticals Ltd
0.6
0.4
CAAR
0.2 CAR
0
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
Days
Interpretation:
Here also we can notice a sudden rise in the CAAR line before 7 days of the Board
of Directors meeting. We can also notice that almost all through its sample period
returns are positive.
t-Test result:

accepted.

Abnormal returns of Gujarat N R E Coke Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01895 0.02048 -0.03066 0.01277 0.03232 -0.00024 -0.03828
-0.00932 -0.00758 -0.01217 -0.02131 -0.27095 -0.01932 -0.08675
-0.04865 0.01048 0.01421 -0.0226 0.0981 -0.00568 -0.02189
0.00782 -0.03326 -0.01684 0.00577 0.0773 0.00844 0.00152
-0.01482 0.00975 0.06255 -0.00488 0.00766 -0.01973 0.00203
0.03456 -0.00673 -0.02358 -0.03862 -0.04729 -0.02528 -0.05541
-0.03428 0.00763 -0.00116 0.02854 0.01956 -0.0451 0.00998
-0.00332 0.05047 -0.01896 0.06493 0.00841 -0.02479 0.00441
-0.01608 0.01905 0.02035 -0.02163 -0.00707 -0.01237 -0.00825
-0.03415 0.07748 0.03688 -0.03036 -0.03701 -0.04102 -0.03497
-0.02408 0.06698 0.02358 0.02235 -0.00637 -0.05681 -0.02209
0.00908 -0.03282 0.01866 0.00291 0.03802 0.01998 0.01135
0.05106 -0.00249 0.00736 -0.00536 -0.02065 0.0493 0.0605
-0.00178 -0.00268 0.00127 0.00505 0.00414 0.05506 0.02591
0.0274 0.00852 0.00538 0.00033 -0.0114 -0.03167 -0.01981
0.00117 -0.02533 0.02467 -0.03289 0.05461 -0.01885 -0.02593
0.07554 0.0091 0.01246 -0.00884 0.03839 0.00662 -0.01412
0.00267 -0.00055 -0.00844 -0.03024 0.01771 -0.01467 0.007
0.06429 -0.00793 -0.03542 0.0721 -0.02855 0.00845 -0.00666
-0.01153 -0.03009 -0.0106 -0.0047 -0.02439 -0.01251 -0.02486
0.04497 -0.01779 -0.01848 -0.01081 -0.03421 0.00572 0.01378
0.07086 -0.04335 0.08438 -0.01385 -0.03289 -0.02791 -0.01514
-0.00708 -0.0129 0.01529 0.04166 0.02147 0.01804 0.00228
0.02424 -0.01145 -0.00374 0.07041 -0.01242 0.05027 -0.03716
-0.06511 0.04634 0.04677 0.02618 0.01843 0.00185 -0.04413
-0.05418 0.01385 0.05573 -0.00861 0.00586 0.01684

E v e n t d a t e
T-TAB 2.571 T-CAL 1.671213

Cumulative Abnormal returns of Gujarat N R E Coke Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01895 0.09081 0.14485 0.43777 0.55562 0.43184 0.27842
-0.02827 0.08323 0.13268 0.41646 0.28467 0.41252 0.19167
-0.07692 0.09371 0.14689 0.39386 0.38277 0.40684 0.16978
-0.0691 0.06045 0.13005 0.39963 0.46007 0.41528 0.1713
-0.08392 0.0702 0.1926 0.39475 0.46773 0.39555 0.17333
-0.04936 0.06347 0.16902 0.35613 0.42044 0.37027 0.11792
-0.08364 0.0711 0.16786 0.38467 0.44 0.32517 0.1279
-0.08696 0.12157 0.1489 0.4496 0.44841 0.30038 0.13231
-0.10304 0.14062 0.16925 0.42797 0.44134 0.28801 0.12406
-0.13719 0.2181 0.20613 0.39761 0.40433 0.24699 0.08909
-0.16127 0.28508 0.22971 0.41996 0.39796 0.19018 0.067
-0.15219 0.25226 0.24837 0.42287 0.43598 0.21016 0.07835
-0.10113 0.24977 0.25573 0.41751 0.41533 0.25946 0.13885
-0.10291 0.24709 0.257 0.42256 0.41947 0.31452 0.16476
-0.07551 0.25561 0.26238 0.42289 0.40807 0.28285 0.14495
-0.07434 0.23028 0.28705 0.39 0.46268 0.264 0.11902
0.0012 0.23938 0.29951 0.38116 0.50107 0.27062 0.1049
0.00387 0.23883 0.29107 0.35092 0.51878 0.25595 0.1119
0.06816 0.2309 0.25565 0.42302 0.49023 0.2644 0.10524
0.05663 0.20081 0.24505 0.41832 0.46584 0.25189 0.08038
0.1016 0.18302 0.22657 0.40751 0.43163 0.25761 0.09416
0.17246 0.13967 0.31095 0.39366 0.39874 0.2297 0.07902
0.16538 0.12677 0.32624 0.43532 0.42021 0.24774 0.0813
0.18962 0.11532 0.3225 0.50573 0.40779 0.29801 0.04414
0.12451 0.16166 0.36927 0.53191 0.42622 0.29986 1E-05
0.07033 0.17551 0.425 0.5233 0.43208 0.3167

E v e n t d a t e

Gujarat N R E Coke Ltd
0.6
0.4
CAAR
0.2 CAR
0
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
Days
Interpretation:
Here the information is leaked out before 18 days of the event date and we can
notice a sudden fall on the ex-date due to the price adjustments according to the
ratio of bonus issue.
t-Test result:

accepted.

Abnormal returns of HDFC

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01566 0.0132 -0.00556 0.0004 -0.00433 -0.04485 0.00734
0.02091 -0.0186 -0.01824 0.01189 0.01022 0.00048 -0.00977
0.00157 -0.00028 -0.04483 -0.00955 0.00395 -0.01088 0.00925
-0.00054 0.00757 0.04448 0.01599 0.00224 0.00578 -0.00294
0.02783 -0.00371 -0.02273 0.00071 0.00654 -0.00869 0.00017
-0.01671 -0.00902 -0.00164 -0.0049 0.01075 -0.01339 -0.0003
0.00319 -0.00385 0.00807 0.00428 -0.00513 -0.00894 -0.00282
-0.03815 0.01443 0.02092 -0.0084 0.01258 0.02324 -0.0063
0.00339 -0.01975 0.00261 0.00605 0.02847 0.00138 -0.01296
-0.02921 0.01445 -0.00419 0.00337 -0.0138 -0.00724 0.01434
0.03025 0.00997 -0.03139 0.0198 -0.00918 -0.00824 -0.00496
-0.00367 0.02578 0.02052 -0.01866 0.0137 0.01114 0.00477
0.01709 0.01203 0.00688 -0.00311 -0.01176 -0.01838 0.03747
0.01011 -0.01693 -0.01613 -0.00068 0.00604 0.01868 -0.00779
0.01184 -0.02294 -0.01203 0.02702 -0.00724 0.01413 -0.02243
-0.02471 -0.00024 0.01257 0.00754 -0.01555 -0.00323 -0.00974
-0.00055 -0.00149 0.01595 -0.01064 -0.01609 0.00447 -0.00073
-0.038 -0.00473 -0.00482 0.00689 -0.00261 -0.00862 -0.0057
0.01427 0.02382 0.00361 -0.00381 0.02655 0.01082 -0.00274
0.02681 -0.01039 -0.00104 -0.00692 0.00333 0.00589 0.00078
-0.0031 -0.01282 0.00126 -0.00075 -0.00718 0.00834 0
-0.02633 -0.01383 -0.0082 -0.007 -0.00298 -0.0075 -0.00281
-0.00488 0.00734 0.00592 -0.00097 0.01179 -0.00505 0.00057
-0.00346 -0.00629 -0.01025 0.0022 -0.00694 0.00598 0.00034
-0.00395 -0.01792 0.00736 0.00437 0.05673 -0.00328 -0.00268
-0.00152 -0.00783 0.00811 -0.00093 0.03371 0.00758

E v e n t d a t e
T-TAB 2.571 T-CAL 0.870603

Cumulative Abnormal returns of HDFC

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01566 -0.02998 -0.09077 -0.1076 -0.07814 0.00515 0.02696
0.00525 -0.04858 -0.10901 -0.09571 -0.06792 0.00563 0.01719
0.00682 -0.04886 -0.15384 -0.10526 -0.06397 -0.00525 0.02644
0.00628 -0.04129 -0.10936 -0.08927 -0.06173 0.00053 0.0235
0.03411 -0.045 -0.13209 -0.08856 -0.05519 -0.00816 0.02367
0.0174 -0.05402 -0.13373 -0.09346 -0.04444 -0.02155 0.02337
0.02059 -0.05787 -0.12566 -0.08918 -0.04957 -0.03049 0.02055
-0.01756 -0.04344 -0.10474 -0.09758 -0.03699 -0.00725 0.01425
-0.01417 -0.06319 -0.10213 -0.09153 -0.00852 -0.00587 0.00129
-0.04338 -0.04874 -0.10632 -0.08816 -0.02232 -0.01311 0.01563
-0.01313 -0.03877 -0.13771 -0.06836 -0.0315 -0.02135 0.01067
-0.0168 -0.01299 -0.11719 -0.08702 -0.0178 -0.01021 0.01544
0.00029 -0.00096 -0.11031 -0.09013 -0.02956 -0.02859 0.05291
0.0104 -0.01789 -0.12644 -0.09081 -0.02352 -0.00991 0.04512
0.02224 -0.04083 -0.13847 -0.06379 -0.03076 0.00422 0.02269
-0.00247 -0.04107 -0.1259 -0.05625 -0.04631 0.00099 0.01295
-0.00302 -0.04256 -0.10995 -0.06689 -0.0624 0.00546 0.01222
-0.04102 -0.04729 -0.11477 -0.06 -0.06501 -0.00316 0.00652
-0.02675 -0.02347 -0.11116 -0.06381 -0.03846 0.00766 0.00378
6E-05 -0.03386 -0.1122 -0.07073 -0.03513 0.01355 0.00456
-0.00304 -0.04668 -0.11094 -0.07148 -0.04231 0.02189 0.00456
-0.02937 -0.06051 -0.11914 -0.07848 -0.04529 0.01439 0.00175
-0.03425 -0.05317 -0.11322 -0.07945 -0.0335 0.00934 0.00232
-0.03771 -0.05946 -0.12347 -0.07725 -0.04044 0.01532 0.00266
-0.04166 -0.07738 -0.11611 -0.07288 0.01629 0.01204 -2E-05
-0.04318 -0.08521 -0.108 -0.07381 0.05 0.01962

E v e n t d a t e

HDFC
CAAR 0.1
0
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 CAR
-0.1
-0.2
Days
Interpretation:
Returns are negative before 50 days from the event date and when the event date comes
nearer it increases slowly and on the ex-date it once again reduces and adjusts itself.
t-Test result:

accepted.

Abnormal returns of IDBI

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01687 -0.00287 0.00175 0.0028 0.0089 -0.0028 -0.01019
-0.01006 -0.00482 -0.03222 -0.02648 0.02185 -0.02469 -0.00587
-0.00356 -0.0094 -0.01446 0.00942 0.00929 -0.01229 0.00683
0.01831 0.01095 0.02729 -0.00161 -0.01156 -0.0078 0.00919
-0.00756 0.00672 -0.01569 0.00495 -0.00692 0.0024 -0.01389
-0.0001 -0.00682 -0.00394 0.02418 -0.00329 -0.00336 0.00871
-0.00395 0.0087 -0.00957 0.14658 0.00565 -0.00337 0.00589
0.00825 -0.01746 -0.00255 0.00071 -0.01015 -0.02538 0.00098
0.00814 -0.00969 0.00679 -0.04432 0.00061 0.02282 0.00717
-0.00221 0.00372 -0.00558 0.03374 -0.00208 -0.00224 0.01165
-0.01296 0.00078 0.00326 -0.00781 0.01443 0.00134 0.0133
-0.00066 0.00126 0.00395 -0.03771 -0.01576 -0.01665 -0.00958
0.00129 -0.00579 -0.01552 0.05782 -0.0092 0.00814 -0.0071
-0.01509 -0.00301 0.01742 -0.00234 -0.00511 -0.00908 0.01043
-0.02047 0.01505 0.08491 -0.01809 0.00045 0.0049 0.00202
0.09081 -0.0104 -0.04214 0.02781 0.01308 -0.03642 -0.04706
0.07948 -0.00073 -0.02604 0.00765 -0.00758 -0.03552 -0.00124
-0.03748 -0.00235 0.0053 -0.01305 -0.00081 0.02694 0.02177
-0.02142 -0.01764 0.02333 0.00059 -0.009 -0.00543 -0.0331
-0.0087 0.01849 -0.00723 0.0011 0.02839 -0.01927 -0.00534
-0.02993 -0.02931 -0.00377 0.0696 -0.0103 -0.00231 -0.00395
0.00115 0.01391 0 -0.0018 0.03154 0.00706 -0.00751
-0.00036 0.0017 0.08192 -0.0377 -0.02752 -0.02026 -0.01404
-0.01303 -0.01406 -0.0213 -0.00777 -0.00216 0.02522 -0.00668
0.01566 -0.00287 -0.05719 0.00534 0.00396 0.00227 0.00522
-0.00396 0.01226 0.01568 0.00393 -0.00815 -0.00338

E v e n t d a t e
T-TAB 2.571 T-CAL 0.55941323

Cumulative Abnormal returns of IDBI

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01687 0.01185 -0.02721 -0.01176 0.19188 0.18874 0.05219
-0.02693 0.00703 -0.05943 -0.03824 0.21373 0.16405 0.04632
-0.03049 -0.00237 -0.07389 -0.02882 0.22302 0.15176 0.05315
-0.01218 0.00858 -0.0466 -0.03043 0.21146 0.14396 0.06234
-0.01974 0.0153 -0.06229 -0.02548 0.20454 0.14636 0.04845
-0.01984 0.00848 -0.06623 -0.0013 0.20125 0.143 0.05716
-0.02379 0.01718 -0.0758 0.14528 0.2069 0.13963 0.06305
-0.01554 -0.00028 -0.07835 0.14599 0.19675 0.11425 0.06403
-0.0074 -0.00997 -0.07156 0.10167 0.19736 0.13707 0.0712
-0.00961 -0.00625 -0.07714 0.13541 0.19528 0.13483 0.08285
-0.02257 -0.00547 -0.07388 0.1276 0.20971 0.13617 0.09615
-0.02323 -0.00421 -0.06993 0.08989 0.19395 0.11952 0.08657
-0.02194 -0.01 -0.08545 0.14771 0.18475 0.12766 0.07947
-0.03703 -0.01301 -0.06803 0.14537 0.17964 0.11858 0.0899
-0.0575 0.00204 0.01688 0.12728 0.18009 0.12348 0.09192
0.03331 -0.00836 -0.02526 0.15509 0.19317 0.08706 0.04486
0.11279 -0.00909 -0.0513 0.16274 0.18559 0.05154 0.04362
0.07531 -0.01144 -0.046 0.14969 0.18478 0.07848 0.06539
0.05389 -0.02908 -0.02267 0.15028 0.17578 0.07305 0.03229
0.04519 -0.01059 -0.0299 0.15138 0.20417 0.05378 0.02695
0.01526 -0.0399 -0.03367 0.22098 0.19387 0.05147 0.023
0.01641 -0.02599 -0.03367 0.21918 0.22541 0.05853 0.01549
0.01605 -0.02429 0.04825 0.18148 0.19789 0.03827 0.00145
0.00302 -0.03835 0.02695 0.17371 0.19573 0.06349 -0.00523
0.01868 -0.04122 -0.03024 0.17905 0.19969 0.06576 -1E-05
0.01472 -0.02896 -0.01456 0.18298 0.19154 0.06238

E v e n t d a t e

IDBI
0.3
0.2
CAAR
0.1
CAR
0
-0.1 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.2
Days
Interpretation:
Here we can see a sudden shift before 7 days of the event date and continues to rise after the
event date for 50 more days and then adjusts to the bonus issues.
t-Test result:

greater than t-calculated (0.55941323), there is no significant difference between
the averages before and after the event and hence the alternative hypothesis will be
accepted.

Abnormal returns of Ipca Laboratories Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.00122 0.01296 -0.00169 -0.00906 -0.0026 0.0339 0.08089
-0.00177 0.02521 0.0175 0.00925 -0.02128 -0.00098 0.06067
-0.00614 0.01093 0.00553 -0.01787 0.00792 -0.0105 0.05174
0.01903 0.00207 -0.00558 0.00951 -0.00549 -0.03322 -0.03557
0.02998 -0.01893 -0.01224 0.01385 -0.00176 0.0053 0.01833
-0.00252 0.0039 0.01119 0.02653 -0.01199 0.00052 -0.04489
0.00547 -0.01997 -0.00062 0.00988 -0.00934 -0.01076 -0.0399
0.01529 0.00372 -0.00276 0.0447 0.03362 -0.0073 -0.00766
0.02713 0.0028 0.00624 0.01774 -0.0294 -0.00618 -0.00811
-0.01131 0.0053 -0.00679 0.00901 -0.04995 -0.0156 0.00294
0.01502 -0.00695 -0.00208 -0.02522 0.01031 -0.01414 -0.01754
-0.01226 0.00273 0.00227 0.00065 0.00194 0.01548 -0.00088
-0.00732 0.00736 0.00622 -0.01734 -0.00863 -0.00242 0.01032
-0.00849 0.00305 -0.00448 0.02485 0.00273 -0.01273 0.0114
0.02782 -0.02997 0.00896 0.00408 0.0078 0.01142 0.0018
0.01525 0.0132 0.0036 -0.00722 0.00091 0.00276 -0.00144
-0.01329 0.00826 -0.00253 -0.00015 -0.00091 -0.0108 0.01067
-0.01478 0.0818 0.01146 0.00694 0.00344 -0.01238 -0.00217
-0.00156 0.05642 -0.01549 -0.00025 -0.01369 -0.00875 -0.00089
-0.02963 0.00938 -0.01779 -0.01943 -0.0332 -0.024 -0.0007
0.00511 -0.01144 0.00458 -0.00305 -0.00163 -0.01441 -0.00082
0.00351 -0.00008 0.00305 0.0113 0.01108 -0.00787 -0.00014
-0.01055 0.01014 -0.00455 -0.00933 0.00446 -0.0266 0.00395
0.00746 -0.02 0.00928 -0.00023 -0.03682 -0.00327 0.01133
-0.02385 -0.02161 0.00549 -0.02645 -0.00891 -0.04374 0.03132
-0.01414 0.00239 0.02842 0.00215 -0.02338 -0.01053

E v e n t d a t e
T-TAB 2.571 T-CAL 2.20716176

Cumulative Abnormal returns of Ipca Laboratories Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.00122 0.0252 0.14322 0.18304 0.24434 0.10607 -0.05374
-0.00299 0.05041 0.16072 0.19229 0.22306 0.10509 0.00693
-0.00913 0.06134 0.16625 0.17442 0.23098 0.09459 0.05867
0.0099 0.06341 0.16067 0.18393 0.22549 0.06137 0.0231
0.03988 0.04448 0.14843 0.19778 0.22373 0.06667 0.04143
0.03736 0.04838 0.15962 0.22431 0.21174 0.06719 -0.00346
0.04283 0.02841 0.159 0.23419 0.2024 0.05643 -0.04336
0.05812 0.03213 0.15624 0.27889 0.23602 0.04913 -0.05102
0.08525 0.03493 0.16248 0.29663 0.20662 0.04295 -0.05913
0.07394 0.04023 0.15569 0.30564 0.15667 0.02735 -0.05619
0.08896 0.03328 0.15361 0.28042 0.16698 0.01321 -0.07373
0.0767 0.03601 0.15588 0.28107 0.16892 0.02869 -0.07461
0.06938 0.04337 0.1621 0.26373 0.16029 0.02627 -0.06429
0.06089 0.04642 0.15762 0.28858 0.16302 0.01354 -0.05289
0.08871 0.01645 0.16658 0.29266 0.17082 0.02496 -0.05109
0.10396 0.02965 0.17018 0.28544 0.17173 0.02772 -0.05253
0.09067 0.03791 0.16765 0.28529 0.17082 0.01692 -0.04186
0.07589 0.11971 0.17911 0.29223 0.17426 0.00454 -0.04403
0.07433 0.17613 0.16362 0.29198 0.16057 -0.00421 -0.04492
0.0447 0.18551 0.14583 0.27255 0.12737 -0.02821 -0.04562
0.04981 0.17407 0.15041 0.2695 0.12574 -0.04262 -0.04644
0.05332 0.17399 0.15346 0.2808 0.13682 -0.05049 -0.04658
0.04277 0.18413 0.14891 0.27147 0.14128 -0.07709 -0.04263
0.05023 0.16413 0.15819 0.27124 0.10446 -0.08036 -0.0313
0.02638 0.14252 0.16368 0.24479 0.09555 -0.1241 2E-05
0.01224 0.14491 0.1921 0.24694 0.07217 -0.13463

E v e n t d a t e

Ipca Laboratories Ltd.
CAAR 0.4
0.2
CAR
0
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.2
Days
Interpretation:
We can notice a sudden change in the returns before 50 days and rises gradually till the
event date. It continues for some more days and adjusts to the issue.
t-Test result:

accepted.

Abnormal returns of K L G Systel Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03042 0.00074 0.01949 0.0067 -0.00222 0.04174 -0.00947
-0.03197 0.00379 -0.04188 -0.01855 -0.00886 0.03023 -0.02361
0.00248 0.08788 -0.04216 0.04093 -0.02412 -0.02568 -0.02193
0.08587 -0.02456 0.02349 0.00782 -0.01535 0.01325 -0.0491
-0.03653 0.01502 0.04904 -0.01741 0.00328 -0.01282 -0.06707
0.00726 -0.00782 -0.04539 -0.02035 0.03246 -0.01236 -0.00372
0.06628 0.07008 0.02794 0.02429 0.06037 -0.01108 0.0386
-0.00343 0.05754 0.00626 -0.03552 0.0088 -0.01884 0.02476
-0.01952 -0.06742 0.02247 0.0347 0.05533 -0.0084 -0.03839
-0.00673 -0.05565 -0.03088 0.04339 -0.00698 -0.04124 0.01553
-0.03236 -0.03135 0.01555 0.02575 -0.01431 -0.03645 0.00272
0.04295 0.00454 -0.00748 0.03809 -0.00179 -0.02612 -0.01984
-0.03103 -0.01724 0.02432 -0.05063 -0.01153 0.031 0.00599
0.07146 -0.01739 -0.03432 -0.01187 -0.0245 -0.0408 0.08736
-0.01737 -0.06653 -0.00407 -0.00079 0.10453 -0.02717 0.00189
-0.0243 -0.03341 0.00954 0.0055 0.08554 -0.00841 -0.00025
0.01279 0.00485 0.02459 -0.00657 0.0354 0.01406 -0.01498
-0.00599 0.03304 0.04502 -0.01479 0.03089 -0.03358 -0.04761
0.06491 -0.02476 -0.01656 0.00029 -0.04604 -0.00277 -0.0281
0.01262 0.0232 -0.02415 -0.00534 0.03826 -0.05395 0.0213
0.02445 -0.03431 -0.01845 0.01085 0.06358 0.02704 -0.0148
-0.04892 -0.00599 0.04185 0.00388 -0.04801 0.03893 0.00287
-0.0184 -0.03208 0.01666 -0.01956 0.00308 -0.03087 0.01476
-0.02071 0.02175 0.02681 0.00986 -0.07378 -0.02336 0.06109
-0.01833 -0.03915 0.01532 -0.00211 0.02236 -0.01528 -0.01261
-0.02963 -0.04085 -0.00177 0.0241 -0.00038 -0.03254

E v e n t d a t e
T-TAB 2.571 T-CAL 0.58020046

Cumulative Abnormal returns of K L G Systel Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03042 0.07701 -0.08032 0.00813 0.07187 0.38184 0.06516
-0.00155 0.0808 -0.1222 -0.01042 0.06301 0.41207 0.04155
0.00093 0.16868 -0.16436 0.03051 0.03889 0.38639 0.01962
0.0868 0.14412 -0.14087 0.03833 0.02354 0.39964 -0.02948
0.05027 0.15914 -0.09183 0.02092 0.02682 0.38682 -0.09655
0.05753 0.15132 -0.13722 0.00057 0.05928 0.37446 -0.10027
0.12381 0.2214 -0.10928 0.02486 0.11965 0.36338 -0.06167
0.12038 0.27894 -0.10302 -0.01066 0.12845 0.34454 -0.03691
0.10086 0.21152 -0.08055 0.02404 0.18378 0.33614 -0.0753
0.09413 0.15587 -0.11143 0.06743 0.1768 0.2949 -0.05977
0.06177 0.12452 -0.09588 0.09318 0.16249 0.25845 -0.05705
0.10472 0.12906 -0.10336 0.13127 0.1607 0.23233 -0.07689
0.07369 0.11182 -0.07904 0.08064 0.14917 0.26333 -0.0709
0.14515 0.09443 -0.11336 0.06877 0.12467 0.22253 0.01646
0.12778 0.0279 -0.11743 0.06798 0.2292 0.19536 0.01835
0.10348 -0.00551 -0.10789 0.07348 0.31474 0.18695 0.0181
0.11627 -0.00066 -0.0833 0.06691 0.35014 0.20101 0.00312
0.11028 0.03238 -0.03828 0.05212 0.38103 0.16743 -0.04449
0.17519 0.00762 -0.05484 0.05241 0.33499 0.16466 -0.07259
0.18781 0.03082 -0.07899 0.04707 0.37325 0.11071 -0.05129
0.21226 -0.00349 -0.09744 0.05792 0.43683 0.13775 -0.06609
0.16334 -0.00948 -0.05559 0.0618 0.38882 0.17668 -0.06322
0.14494 -0.04156 -0.03893 0.04224 0.3919 0.14581 -0.04846
0.12423 -0.01981 -0.01212 0.0521 0.31812 0.12245 0.01263
0.1059 -0.05896 0.0032 0.04999 0.34048 0.10717 2E-05
0.07627 -0.09981 0.00143 0.07409 0.3401 0.07463

E v e n t d a t e

K L G Systel Ltd.
0.6
0.4
CAAR
0.2 CAR
0
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
Days
Interpretation:
Here the returns are negative before 60 days and continues to be negative till before 4 days
of the event date, and after the event date it falls a bit and then rises to maximum extant and
then again starts falling and adjusts to the issue.
t-Test result:

accepted.

Abnormal returns of Mirc Electronics Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01995 0.00824 0.01212 0.00093 0.00115 -0.00142 -0.01024
0.01608 0.00138 -0.00747 0.00673 -0.01921 0.00624 -0.00197
-0.00569 -0.00882 0.00586 0.02693 -0.00082 0.00373 0.00349
-0.00652 0.0005 0.0471 -0.0053 -0.00779 0.00212 -0.00764
0.00251 0.00173 -0.02692 -0.0261 0.00628 0.00452 0.00178
-0.00282 -0.02037 0.00255 -0.01111 -0.00019 0.02377 0.00169
-0.00139 -0.00725 0.04153 0.01006 -0.00724 0.07982 0.00622
0.01218 0.00383 0.00041 -0.01205 0.00868 -0.01866 -0.00203
0.00228 0.00075 0.01119 0.00199 -0.00706 -0.03357 0.00246
-0.00159 -0.00016 -0.00245 -0.00042 -0.00807 -0.02379 -0.00928
0.00311 0.00397 -0.0026 0.0024 0.02764 0.02238 -0.01152
-0.00423 0.00204 0.01544 -0.00731 -0.02036 -0.01369 -0.00623
-0.00005 0.01024 -0.00225 0.01803 0.0036 -0.01772 -0.01816
-0.00277 -0.02029 0.00832 -0.01254 -0.00262 0.00758 0.04588
-0.01231 0.0105 0.01158 -0.00318 -0.01184 0.00427 0.00253
0.0021 -0.00494 0.00543 -0.00925 -0.01973 -0.0305 -0.03047
0.01444 -0.00676 -0.00344 0.02293 0.04694 -0.02818 0.03311
-0.00044 0.00219 -0.00104 0.00141 -0.01915 -0.01253 -0.01395
-0.00397 0.00498 -0.00039 -0.00056 -0.00327 0.03199 0.00356
0.00926 -0.00153 0.01133 0.00594 0.00381 0.00455 0.01539
0.00044 -0.00297 -0.0226 -0.00227 0.0017 -0.0032 0.00026
-0.01037 0.02175 0.01642 -0.00224 0.00031 0.0045 -0.00306
0.00096 -0.02153 0.08 -0.03965 0.00834 -0.01845 -0.01394
-0.00664 -0.00254 -0.00207 -0.0227 0.0062 -0.00229 0.00102
0.00722 -0.01108 0.0023 0.00696 -0.00699 -0.01033 -0.00929
-0.01085 -0.00083 -0.0136 -0.00857 -0.00896 -0.00399

E v e n t d a t e
T-TAB 2.571 T-CAL 1.08161191

Cumulative Abnormal returns of Mirc Electronics Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
-0.01995 -0.01077 -0.04386 0.1317 0.07298 0.04176 0.01009
-0.00387 -0.00939 -0.05133 0.13843 0.05377 0.048 0.00812
-0.00956 -0.01821 -0.04547 0.16536 0.05295 0.05173 0.01161
-0.01608 -0.01771 0.00163 0.16006 0.04516 0.05385 0.00397
-0.01357 -0.01598 -0.02529 0.13396 0.05144 0.05837 0.00575
-0.01639 -0.03635 -0.02274 0.12285 0.05125 0.08214 0.00744
-0.01778 -0.0436 0.01879 0.13291 0.04401 0.16196 0.01366
-0.0056 -0.03977 0.0192 0.12086 0.05269 0.1433 0.01163
-0.00332 -0.03902 0.03039 0.12285 0.04563 0.10973 0.01409
-0.00491 -0.03918 0.02794 0.12243 0.03756 0.08594 0.00481
-0.0018 -0.03521 0.02534 0.12483 0.0652 0.10832 -0.00671
-0.00603 -0.03317 0.04078 0.11752 0.04484 0.09463 -0.01294
-0.00608 -0.02293 0.03853 0.13555 0.04844 0.07691 -0.0311
-0.00885 -0.04322 0.04685 0.12301 0.04582 0.08449 0.01478
-0.02116 -0.03272 0.05843 0.11983 0.03398 0.08876 0.01731
-0.01906 -0.03766 0.06386 0.11058 0.01425 0.05826 -0.01316
-0.00462 -0.04442 0.06042 0.13351 0.06119 0.03008 0.01995
-0.00506 -0.04223 0.05938 0.13492 0.04204 0.01755 0.006
-0.00903 -0.03725 0.05899 0.13436 0.03877 0.04954 0.00956
0.00023 -0.03878 0.07032 0.1403 0.04258 0.05409 0.02495
0.00067 -0.04175 0.04772 0.13803 0.04428 0.05089 0.02521
-0.0097 -0.02 0.06414 0.13579 0.04459 0.05539 0.02215
-0.00874 -0.04153 0.14414 0.09614 0.05293 0.03694 0.00821
-0.01538 -0.04407 0.14207 0.07344 0.05913 0.03465 0.00923
-0.00816 -0.05515 0.14437 0.0804 0.05214 0.02432 -6E-05
-0.01901 -0.05598 0.13077 0.07183 0.04318 0.02033

E v e n t d a t e

Mirc Electronics Ltd.
CAAR 0.2
0.1
CAR
0
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.1
Days
Interpretation:
We can see a significant shift before 18 days which continues for 30 more days and then
adjusts to the issue according to the proportion of 1:1
t-Test result:

accepted.

Abnormal returns of Mphasis B F L Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00041 0.00397 -0.01478 -0.02659 0.00587 -0.00549 0.00895
0.0143 0.00992 -0.00907 -0.00665 -0.00051 -0.01452 -0.00429
0.00232 -0.01153 -0.00746 -0.01928 0.00816 0.00224 -0.01602
0.0584 -0.01421 -0.01043 0.00838 0.00344 -0.02666 0.04227
-0.00557 -0.03467 0.03509 -0.01195 0.01888 0.0182 0.01542
0.01898 0.00422 0.0123 -0.03729 0.01607 -0.05705 0.01469
-0.00769 -0.0467 -0.00296 0.06283 -0.01325 0.03407 -0.04948
0.01197 0.03767 -0.00012 -0.09313 -0.01979 0.01818 0.01322
0.01042 0.00788 -0.01784 0.06978 0.00281 0.04459 -0.00468
0.02153 -0.00506 -0.00416 -0.01116 -0.04001 -0.00746 0.04149
-0.00503 -0.02161 -0.01556 -0.02783 -0.02669 0.01133 -0.00683
-0.01721 0.03367 -0.01062 0.01909 0.01017 0.04717 -0.00916
-0.0101 -0.00164 -0.00031 -0.01484 0.00399 -0.0421 -0.02406
-0.00949 -0.02617 -0.00149 -0.00975 -0.0023 0.01734 -0.0213
0.03966 0.03488 0.01988 -0.02979 -0.007 0.00628 0.03017
-0.02459 0.00266 0.00009 -0.00269 -0.00382 0.05501 -0.01094
0.01069 -0.00531 -0.0159 0.01358 0.05587 -0.0152 0.00098
-0.01412 0.02566 0.02283 0.00115 -0.00542 0.05382 -0.01566
0.01163 -0.01893 -0.00788 0.00007 -0.00387 -0.02528 0.00115
-0.00483 0.00128 -0.01381 -0.01493 -0.0129 -0.00347 -0.01336
0.03255 0.00474 0.00769 0.02817 -0.02409 -0.02607 -0.00131
-0.00053 0.00427 -0.02607 0.00568 0.01028 -0.00667 0.03318
0.0181 0.02427 -0.00186 0.00005 0.00941 0.02418 0.0008
-0.04171 -0.02503 0.01668 -0.01834 -0.00299 -0.0273 -0.03913
0.03868 -0.00967 0.00611 0.00077 -0.01426 -0.02737 -0.02782
0.00297 0.01071 0.02864 0.00701 0.00771 -0.00011

E v e n t d a t e
T-TAB 2.571 T-CAL 0.33257931

Cumulative Abnormal returns of Mphasis B F L Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00041 0.15571 0.12223 0.09941 0.02421 -0.01139 0.05071
0.01471 0.16563 0.11316 0.09276 0.0237 -0.02591 0.04642
0.01703 0.1541 0.1057 0.07348 0.03186 -0.02367 0.0304
0.07543 0.13989 0.09527 0.08186 0.0353 -0.05033 0.07267
0.06986 0.10522 0.13036 0.06991 0.05418 -0.03213 0.08809
0.08884 0.10944 0.14266 0.03262 0.07025 -0.08918 0.10278
0.08115 0.06274 0.1397 0.09545 0.057 -0.05511 0.0533
0.09312 0.10041 0.13958 0.00232 0.03721 -0.03693 0.06652
0.10354 0.10829 0.12174 0.0721 0.04002 0.00766 0.06184
0.12507 0.10323 0.11758 0.06094 1E-05 0.0002 0.10333
0.12004 0.08162 0.10202 0.03311 -0.02668 0.01153 0.0965
0.10283 0.11529 0.0914 0.0522 -0.01651 0.0587 0.08734
0.09273 0.11365 0.09109 0.03736 -0.01252 0.0166 0.06328
0.08324 0.08748 0.0896 0.02761 -0.01482 0.03394 0.04198
0.1229 0.12236 0.10948 -0.00218 -0.02182 0.04022 0.07215
0.09831 0.12502 0.10957 -0.00487 -0.02564 0.09523 0.06121
0.109 0.11971 0.09367 0.00871 0.03023 0.08003 0.06219
0.09488 0.14537 0.1165 0.00986 0.02481 0.13385 0.04653
0.10651 0.12644 0.10862 0.00993 0.02094 0.10857 0.04768
0.10168 0.12772 0.09481 -0.005 0.00804 0.1051 0.03432
0.13423 0.13246 0.1025 0.02317 -0.01605 0.07903 0.03301
0.1337 0.13673 0.07643 0.02885 -0.00577 0.07236 0.06619
0.1518 0.161 0.07457 0.0289 0.00364 0.09654 0.06699
0.11009 0.13597 0.09125 0.01056 0.00065 0.06924 0.02786
0.14877 0.1263 0.09736 0.01133 -0.01361 0.04187 4E-05
0.15174 0.13701 0.126 0.01834 -0.0059 0.04176

E v e n t d a t e

Mphasis B F L Ltd.
0.2
0.1
CAAR
0 CAR
-0.1 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.2
Days
Interpretation:
Here there is a fluctuation in the returns before 8 days of the event and falls after the event
and adjusts itself.
t-Test result:

accepted.

Abnormal returns of Pentasoft Technologies Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03599 -0.01859 0.05716 -0.00941 -0.00464 0.00745 0.0913
0.04127 -0.00574 -0.01493 -0.01425 0.00918 -0.00957 0.05309
-0.00641 0.0058 -0.03598 0.02388 -0.00612 0.01644 -0.09522
-0.06621 0.0194 0.0222 0.00397 -0.07246 -0.00721 -0.01115
-0.05266 -0.02252 -0.00135 -0.00749 0.04314 -0.00101 0.00889
0.01027 -0.02849 0.01369 -0.00136 0.01488 0.01115 -0.07674
-0.04427 -0.02308 0.0256 -0.0019 0.14233 -0.06767 0.00093
0.02776 0.01982 -0.00948 0.06893 0.03855 -0.01553 0.00691
0.00146 0.00006 -0.0166 0.08536 -0.01214 -0.05481 0.01568
0.00723 0.00059 -0.00966 -0.01322 -0.08873 -0.11355 -0.00075
-0.0081 -0.02678 -0.00991 0.0493 0.01643 0.00316 -0.00272
0.00898 0.00367 -0.03054 -0.01207 0.02112 -0.07755 -0.02358
-0.01263 -0.01307 0.01524 -0.062 0.01605 -0.03802 0.05984
-0.00716 0.00078 -0.0359 0.00584 0.00334 0.06614 0.01806
-0.00106 0.00869 0.02982 -0.01393 0.01708 0.03684 -0.01002
-0.01163 -0.05055 0.02517 0.0037 0.00361 -0.05671 0.00589
0.03034 0.03153 -0.0079 -0.03202 -0.00397 -0.01959 -0.01475
0.06357 -0.01007 0.0247 -0.02096 -0.01411 -0.0092 -0.00141
-0.0254 0.00261 0.05433 0.02854 0.00617 -0.06965 0.01716
-0.01881 -0.02618 -0.01723 0.03395 0.00228 -0.01557 0.00393
-0.00478 0.03642 0.02548 0.01205 -0.00529 -0.02836 0.01309
0.00001 0.0577 0.00059 -0.00901 -0.05483 0.00007 0.00704
-0.01273 -0.00055 0.06974 0.00804 0.02221 -0.07604 -0.02071
-0.01883 -0.01209 -0.02102 0.03201 0.02378 -0.01103 0.00695
-0.02888 0.01595 -0.00276 -0.00283 0.00141 0.01973 0.00461
-0.00893 0.03069 -0.00719 0.00313 0.02597 0.11264

E v e n t d a t e
T-TAB 2.571 T-CAL 0.890673

Cumulative Abnormal returns of Pentasoft Technologies Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.03599 -0.1202 -0.04845 0.02825 0.19127 0.3486 0.035
0.07726 -0.12594 -0.06338 0.014 0.20045 0.33903 0.08809
0.07085 -0.12014 -0.09936 0.03788 0.19433 0.35547 -0.00713
0.00464 -0.10074 -0.07716 0.04185 0.12187 0.34826 -0.01828
-0.04802 -0.12326 -0.07851 0.03436 0.16501 0.34725 -0.00939
-0.03775 -0.15175 -0.06482 0.033 0.17989 0.3584 -0.08613
-0.08202 -0.17483 -0.03922 0.0311 0.32222 0.29073 -0.0852
-0.05426 -0.15501 -0.0487 0.10003 0.36077 0.2752 -0.07829
-0.0528 -0.15495 -0.0653 0.18539 0.34863 0.22039 -0.06261
-0.04557 -0.15436 -0.07496 0.17217 0.2599 0.10684 -0.06336
-0.05367 -0.18114 -0.08487 0.22147 0.27633 0.11 -0.06608
-0.04469 -0.17747 -0.11541 0.2094 0.29745 0.03245 -0.08966
-0.05732 -0.19054 -0.10017 0.1474 0.3135 -0.00557 -0.02982
-0.06448 -0.18976 -0.13607 0.15324 0.31684 0.06057 -0.01176
-0.06554 -0.18107 -0.10625 0.13931 0.33392 0.09741 -0.02178
-0.07717 -0.23162 -0.08108 0.14301 0.33753 0.0407 -0.01589
-0.04683 -0.20009 -0.08898 0.11099 0.33356 0.02111 -0.03064
0.01674 -0.21016 -0.06428 0.09003 0.31945 0.01191 -0.03205
-0.00866 -0.20755 -0.00995 0.11857 0.32562 -0.05774 -0.01489
-0.02747 -0.23373 -0.02718 0.15252 0.3279 -0.07331 -0.01096
-0.03225 -0.19731 -0.0017 0.16457 0.32261 -0.10167 0.00213
-0.03224 -0.13961 -0.00111 0.15556 0.26778 -0.1016 0.00917
-0.04497 -0.14016 0.06863 0.1636 0.28999 -0.17764 -0.01154
-0.0638 -0.15225 0.04761 0.19561 0.31377 -0.18867 -0.00459
-0.09268 -0.1363 0.04485 0.19278 0.31518 -0.16894 2E-05
-0.10161 -0.10561 0.03766 0.19591 0.34115 -0.0563

E v e n t d a t e

Pentasoft Technologies Ltd.
0.4
0.2
CAAR
0 CAR
-0.2 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.4
Days
Interpretation:
This shows an exact increase in the returns before 5 days and a fall on the event date and
continues for 15 more days and still increase and then adjusts to the issue.
t-Test result:

accepted.

Abnormal returns of Ranbaxy Laboratories Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00757 0.00318 -0.0249 -0.00254 -0.00363 -0.00758 0.01336
0.02487 0.01102 0.00047 0.02072 -0.00826 0.02802 -0.01961
0.01067 0.00215 0.00704 -0.00237 0.01749 -0.00486 -0.02577
-0.00073 0.01422 -0.03205 0.00641 0.00805 -0.02037 -0.01123
-0.01794 0.01615 0.00734 -0.00391 0.00965 0.00424 0.00238
0.00673 0.01003 -0.00531 0.01689 -0.01058 0.02132 -0.0197
0 -0.02396 0.01232 0.00298 -0.01625 0.01198 -0.0061
-0.00284 -0.01544 -0.00639 0.00744 0.0008 0.0084 -0.02172
0.00951 0.00613 -0.0138 0.01839 0.01229 -0.01565 -0.02777
0.00303 0.00426 0.04772 -0.00193 0.00556 0.01279 0.03936
0.00263 0.02257 -0.0216 -0.00608 -0.00482 -0.01319 0.02532
0.00259 -0.01276 -0.02264 -0.00054 0.00485 -0.02207 -0.02532
0.01865 -0.01147 0.04226 0.01557 -0.00035 -0.00719 0.01174
0.0109 -0.00269 0.0129 -0.00995 -0.0066 -0.01041 -0.00569
-0.00869 -0.00561 0.01854 0.01232 -0.00565 -0.00033 -0.01886
-0.02601 0.00613 0.02863 0.00796 -0.00914 0.03767 -0.00676
-0.00343 -0.00074 0.0157 0.00418 0.0055 0.01196 -0.02743
0.02263 -0.00474 -0.0228 0.01232 0.00077 -0.01346 0.01017
0.00457 0.00293 0.01523 -0.00324 -0.00768 0.01489 0.00249
-0.03236 -0.01287 -0.00721 -0.03057 0.00123 -0.00055 0.0066
0.00119 0.01013 0.00068 -0.0267 0.00101 -0.0239 -0.01084
-0.00179 -0.04421 0.00286 0.0058 -0.00975 -0.01762 0.00533
-0.02141 -0.02658 0.01954 0.0027 -0.00696 -0.02018 -0.00164
0.03286 -0.00383 -0.01713 -0.00414 0.0065 0.00276 0.01537
-0.02208 0.06277 -0.02114 0.00176 0.00364 0.01026 -0.00671
-0.00424 -0.00922 0.00837 0.00922 0.01326 0.00336

E v e n t d a t e
T-TAB 2.571 T-CAL 1.06517823

Cumulative Abnormal returns of Ranbaxy Laboratories Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00757 0.02006 -0.01047 0.05652 0.10812 0.1051 0.11633
0.03244 0.03108 -0.01 0.07724 0.09986 0.13312 0.09672
0.04311 0.03323 -0.00296 0.07487 0.11735 0.12826 0.07095
0.04238 0.04745 -0.03501 0.08128 0.1254 0.10789 0.05972
0.02444 0.0636 -0.02767 0.07737 0.13505 0.11213 0.0621
0.03117 0.07363 -0.03298 0.09426 0.12447 0.13345 0.0424
0.03117 0.04967 -0.02066 0.09724 0.10822 0.14543 0.0363
0.02833 0.03423 -0.02705 0.10468 0.10902 0.15383 0.01458
0.03784 0.04036 -0.04085 0.12307 0.12131 0.13818 -0.01319
0.04087 0.04462 0.00687 0.12114 0.12687 0.15097 0.02617
0.0435 0.06719 -0.01473 0.11506 0.12205 0.13778 0.05149
0.04609 0.05443 -0.03737 0.11452 0.1269 0.11571 0.02617
0.06474 0.04296 0.00489 0.13009 0.12655 0.10852 0.03791
0.07564 0.04027 0.01779 0.12014 0.11995 0.09811 0.03222
0.06695 0.03466 0.03633 0.13246 0.1143 0.09778 0.01336
0.04094 0.04079 0.06496 0.14042 0.10516 0.13545 0.0066
0.03751 0.04005 0.08066 0.1446 0.11066 0.14741 -0.02083
0.06014 0.03531 0.05786 0.15692 0.11143 0.13395 -0.01066
0.06471 0.03824 0.07309 0.15368 0.10375 0.14884 -0.00817
0.03235 0.02537 0.06588 0.12311 0.10498 0.14829 -0.00157
0.03354 0.0355 0.06656 0.09641 0.10599 0.12439 -0.01241
0.03175 -0.00871 0.06942 0.10221 0.09624 0.10677 -0.00708
0.01034 -0.03529 0.08896 0.10491 0.08928 0.08659 -0.00872
0.0432 -0.03912 0.07183 0.10077 0.09578 0.08935 0.00665
0.02112 0.02365 0.05069 0.10253 0.09942 0.09961 -6E-05
0.01688 0.01443 0.05906 0.11175 0.11268 0.10297

E v e n t d a t e

Ranbaxy Laboratories Ltd.
CAAR 0.2
0.1
CAR
0
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.1
Days
Interpretation:
Returns are a bit fluctuating in the starting and when it approaches the event day rises at an
equal rate and continues for 6 days after the event and then falls and continues for 70 more
days and adjusts itself to bonus.
t-Test result:

accepted.

Abnormal returns of Tata Steel Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00869 0.00329 -0.01294 0.01126 0.00052 0.01846 0.00661
0.00422 -0.00328 0.00011 -0.02605 0.00503 0.00794 -0.00115
-0.03561 -0.00095 -0.00163 -0.00037 -0.00519 0.00073 0.00923
-0.02248 -0.00832 0.00674 -0.00735 -0.00839 0.00711 0.0109
0.03529 -0.00273 0.017 -0.02062 -0.00889 -0.00863 -0.0239
-0.02465 -0.03789 0.01553 0.01381 0.00199 -0.00071 0.00873
0.01028 0.01084 -0.01919 -0.00046 0.00881 -0.02277 0.01048
-0.01081 0.00882 -0.00306 -0.00088 0.00243 0.00844 0.00101
-0.01839 -0.00553 -0.02492 0.00552 -0.02539 -0.00035 0.0218
0.02785 0.00647 0.01301 -0.01 0.00289 0.03746 0.00336
-0.00482 -0.03293 -0.0378 0.03385 0.02347 0.0095 -0.00907
0.00744 -0.01156 -0.01941 -0.0403 -0.00732 -0.0127 0.0163
0.01182 -0.02228 -0.02311 -0.04347 0.03291 -0.00669 0.00906
0.01749 0.02557 0.00162 0.00294 0.02706 -0.00909 0.00056
-0.00683 -0.01303 0.00146 0.00404 0.01913 -0.04833 -0.00938
0.01065 -0.00132 0.01522 0.00108 0.00862 0.00091 0.00473
0.00864 0.01453 -0.03732 -0.03729 -0.00082 -0.0028 -0.01637
0.01739 -0.01234 -0.01541 0.03555 0.02299 -0.02522 -0.01273
0.01316 -0.01135 -0.02659 -0.01131 0.00448 -0.00867 -0.00867
-0.00996 0.01055 0.01811 0.00415 -0.00275 0.01151 -0.01246
0.00295 -0.00444 0.00242 -0.0128 0.01368 0.00508 -0.00046
-0.01611 -0.01967 0.01091 0.00007 0.02625 -0.01218 0.01843
-0.0174 -0.00874 0.07368 0.01153 0.0028 -0.00118 0.00247
0.00407 0.01354 0.00597 -0.00936 0.01885 0.00394 -0.00388
-0.0168 0.00081 0.01658 -0.00611 -0.01376 0.00143 0.00492
0.01555 -0.01024 0.03613 0.05898 -0.00761 0.00551

E v e n t d a t e
T-TAB 2.571 T-CAL 1.09018761

Cumulative Abnormal returns of Tata Steel Ltd.

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.00869 0.01492 -0.11349 -0.07618 -0.13051 0.02922 -0.02393
0.01291 0.01164 -0.11338 -0.10223 -0.12548 0.03716 -0.02508
-0.0227 0.01069 -0.11501 -0.1026 -0.13067 0.03789 -0.01585
-0.04518 0.00237 -0.10827 -0.10995 -0.13906 0.045 -0.00495
-0.00989 -0.00036 -0.09127 -0.13057 -0.14795 0.03637 -0.02885
-0.03454 -0.03825 -0.07574 -0.11676 -0.14596 0.03566 -0.02012
-0.02426 -0.02741 -0.09493 -0.11722 -0.13715 0.01289 -0.00964
-0.03507 -0.01859 -0.09799 -0.1181 -0.13472 0.02133 -0.00863
-0.05346 -0.02412 -0.12291 -0.11258 -0.16011 0.02098 0.01317
-0.02561 -0.01765 -0.1099 -0.12258 -0.15722 0.05844 0.01653
-0.03043 -0.05058 -0.1477 -0.08873 -0.13375 0.06794 0.00746
-0.02299 -0.06214 -0.16711 -0.12903 -0.14107 0.05524 0.02376
-0.01117 -0.08442 -0.19022 -0.1725 -0.10816 0.04855 0.03282
0.00632 -0.05885 -0.1886 -0.16956 -0.0811 0.03946 0.03338
-0.00051 -0.07188 -0.18714 -0.16552 -0.06197 -0.00887 0.024
0.01014 -0.0732 -0.17192 -0.16444 -0.05335 -0.00796 0.02873
0.01878 -0.05867 -0.20924 -0.20173 -0.05417 -0.01076 0.01236
0.03617 -0.07101 -0.22465 -0.16618 -0.03118 -0.03598 -0.00037
0.04933 -0.08236 -0.25124 -0.17749 -0.0267 -0.04465 -0.00904
0.03937 -0.07181 -0.23313 -0.17334 -0.02945 -0.03314 -0.0215
0.04232 -0.07625 -0.23071 -0.18614 -0.01577 -0.02806 -0.02196
0.02621 -0.09592 -0.2198 -0.18607 0.01048 -0.04024 -0.00353
0.00881 -0.10466 -0.14612 -0.17454 0.01328 -0.04142 -0.00106
0.01288 -0.09112 -0.14015 -0.1839 0.03213 -0.03748 -0.00494
-0.00392 -0.09031 -0.12357 -0.19001 0.01837 -0.03605 -2E-05
0.01163 -0.10055 -0.08744 -0.13103 0.01076 -0.03054

E v e n t d a t e

Tata Steel Ltd.
0.1
0
CAAR
-0.1 1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181 CAR
-0.2
-0.3
Days
Interpretation:
Returns are negative for more than 60 days before the event day and when it approaches the
event date it increases a bit but still remains negative for 30 days after the even. But it rises
then after and adjusts to the issue.
t-Test result:

accepted.

Abnormal returns of Vision Organics Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.08286 -0.02853 0.0078 0.02327 0.13322 0.0362 -0.06519
-0.06363 0.01756 -0.01327 -0.01106 0.04915 0.05813 0.06665
-0.01749 0.02722 0.03188 0.00165 0.06041 0.01503 -0.00607
0.06441 0.02281 0.0151 -0.04627 0.03772 -0.09824 -0.02354
0.02363 0.08963 -0.00655 0.02449 0.07481 -0.17615 -0.02512
-0.0827 0.10199 -0.01896 -0.01893 -0.00186 0.07604 0.01843
0.04944 -0.07274 0.04468 -0.04512 -0.014 0.03968 -0.05447
0.01262 0.00414 -0.01336 -0.01421 -0.01403 -0.1836 0.03886
0.04612 -0.02112 0.02107 0.02645 0.02054 0.05792 -0.06196
-0.06868 -0.02702 -0.01199 0.08922 -0.0113 0.047 -0.0038
0.03186 -0.00204 -0.00801 0.05521 0.02702 -0.03771 0.02101
-0.01444 0.00865 -0.02774 -0.01364 -0.02684 -0.12745 -0.01901
0.03064 0.08187 -0.01867 -0.01604 -0.04242 0.04337 0.03113
-0.06914 0.08889 0.03753 0.00348 0.01725 0.03438 0.03502
0.03652 -0.03703 -0.06058 -0.02863 -0.04861 0.07612 -0.05037
0.02051 0.00266 -0.03439 0.00424 -0.04515 -0.13151 -0.0402
-0.05807 0.01671 -0.03329 0.05509 -0.00681 0.00768 -0.08349
0.0366 0.00007 0.06013 -0.04428 0.05209 -0.00169 -0.0167
0.02301 -0.03618 -0.03831 -0.00648 -0.02606 0.06585 -0.04984
-0.05445 -0.02605 0.02098 0.00121 0.00415 0.03515 -0.16777
0.02026 0.02962 -0.03481 0.04286 0.0122 -0.00606 0.01212
0.00522 -0.01018 0.01539 -0.05856 -0.0117 -0.02024 0.04428
-0.06175 -0.00292 -0.06818 0.01684 -0.00685 -0.02664 -0.11676
0.04695 0.00833 0.00301 -0.01105 0.06237 -0.02529 0.10616
-0.00224 0.01443 -0.01078 0.00046 0.09811 0.00718 0.10119
-0.02928 -0.01859 0.01871 -0.06812 0.07792 -0.00746

E v e n t d a t e
T-TAB 2.571 T-CAL 0.549464

Cumulative Abnormal returns of Vision Organics Ltd

-90 to -65 -64 to -39 -38 to -13 -12 to 13 14 to 39 40 to 65 66 to 90
0.08286 -0.01975 0.24876 0.14162 0.21365 0.58796 0.24426
0.01923 -0.00219 0.23549 0.13056 0.2628 0.64609 0.31091
0.00174 0.02503 0.26737 0.13221 0.32321 0.66112 0.30484
0.06615 0.04784 0.28247 0.08594 0.36093 0.56288 0.2813
0.08978 0.13747 0.27592 0.11043 0.43574 0.38673 0.25618
0.00708 0.23946 0.25696 0.0915 0.43388 0.46277 0.27461
0.05652 0.16672 0.30164 0.04638 0.41988 0.50245 0.22014
0.06914 0.17086 0.28828 0.03217 0.40585 0.31885 0.259
0.11526 0.14974 0.30935 0.05862 0.42639 0.37677 0.19704
0.04658 0.12272 0.29736 0.14784 0.41509 0.42377 0.19324
0.07844 0.12068 0.28935 0.20305 0.44211 0.38606 0.21425
0.064 0.12933 0.26161 0.18941 0.41527 0.25861 0.19524
0.09464 0.2112 0.24294 0.17337 0.37285 0.30198 0.22637
0.0255 0.30009 0.28047 0.17685 0.3901 0.33636 0.26139
0.06202 0.26306 0.21989 0.14822 0.34149 0.41248 0.21102
0.08253 0.26572 0.1855 0.15246 0.29634 0.28097 0.17082
0.02446 0.28243 0.15221 0.20755 0.28953 0.28865 0.08733
0.06106 0.2825 0.21234 0.16327 0.34162 0.28696 0.07063
0.08407 0.24632 0.17403 0.15679 0.31556 0.35281 0.02079
0.02962 0.22027 0.19501 0.158 0.31971 0.38796 -0.14698
0.04988 0.24989 0.1602 0.20086 0.33191 0.3819 -0.13486
0.0551 0.23971 0.17559 0.1423 0.32021 0.36166 -0.09058
-0.00665 0.23679 0.10741 0.15914 0.31336 0.33502 -0.20734
0.0403 0.24512 0.11042 0.14809 0.37573 0.30973 -0.10118
0.03806 0.25955 0.09964 0.14855 0.47384 0.31691 1E-05
0.00878 0.24096 0.11835 0.08043 0.55176 0.30945

E v e n t d a t e

Vision Organics Ltd.
CAAR 1
0.5
CAR
0
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171 181
-0.5
Days
Interpretation:
Returns are noticed to be negative but rise a bit after the event date and then adjust to the
announcement in the market.
t-Test result:

accepted.

SUMMARY
This study was conducted to find whether there were any abnormal returns
after the announcement of bonus issues. The objective of the study was to find
whether there are any abnormal returns after the announcement date and how long
does the market take to adjust to the new information. Event study methodology is
used in this process there has been a few research in this field regarding reaction of
stock market to bonus issue or stock split. Very few studies have conducted event
study on stock market reaction to changes in government policy this study aims to
do that.
The study was conducted for eighteen companies from different sectors.
The event period was 90 days before and 90 days after the date of announcement.
The Events Studied was the announcement of bonus issue in the board of directors
meeting. The data was collected from various issues of Economic Times and
websites of National Stock Exchange, prowess etc.. Residual returns were found
using SPSS software. These valves were averaged and t test was done to find
whether the there is significant difference in means before and after the date of
announcement.
The results were negative, there was no significant difference. Then the
residuals were cumulated and were shown in a graph. From this we could make out
that there were no abnormal returns. Different companies have reacted differently to
the news. For some companies the share prices have fallen before the date of
announcement and for some companies it has fallen right after the information was
release in the market. The reasons for stock prices to come down before the date of
announcement could be information leakage or actual anticipation.
Thus the conclusions drawn were the announcement of bonus issues by the
companies have a mixed impact. But in general the markets have adjusted itself to
the new information slowly and there was no possibility of investors making
abnormal profits

Findings and conclusion
The study documents the market behavior around the bonus announcement
date for 20 stocks listed o the National Stock Exchange of India from 2000 to
20005. An event study was conducted using a 180 day event window. It was found
that on an average, the stocks started showing positive abnormal returns 5 to 15
days before the announcement date which is due to leakage of information.
After the zero date i.e. the date of Board of directors meeting for stock
announcement there is significant rise in CAAR for nearly 20 to 30dys and once the
information is announced in the exchange the prices have fallen and adjusted.
In India we can find a great difficulty in deciding the date of announcement of

bonus issues. We can see from the study that to a great extent there is leakage in
the information even before the Board of Directors meet. This is because, the Board
of Directors meeting will be held with prior information that is recorded in the books
(agenda) before 14 days. So this leads to the internal employees to know the
information and hence trade in that particular stock to make more profits. Some
times the information will be leaked much before the Board of Directors meeting.
Thus we can notice that in some cases prices rise much before the event date,
where the information announced on the event date do not impact the market in
many cases.
In general, the behavior of AARs and CAAR, is found to be in accordance

with expectation and when we applied t-test, t-tab > t-cal, there by lending to
support the hypothesis that the Indian stock market is not semi strong form efficient.
But we can notice one thing that the market is adjusting very gradually to the issues.
As is evidenced, the CAAR experienced an overall increase around the

announcement period, it implies that the market does not react in a positive
direction. In absence of any impact, the CAAR would have been moving around

zero. The increasing trend is noticed much before the announcement period which
implies that the market is not able to anticipate the event.
This shows that the market is not semi strong form efficient and thus it is
found that the average return before and after announcement has no significant
impact due to bonus issue.
The prices of stocks have fallen in accordance with the ratio of bonus issues
and have adjusted accordingly after the announcements.

Glossary
Abnormal Returns are used in the context of stock returns; Abnormal Returns
means the return to a portfolio in excess of the return to a market portfolio. Note that
abnormal returns can be negative.
Bonus issues are born out of an accounting quirk. When a company has retained
profits, these appear on its balance sheet as 'Profit and Loss Account Reserves'. If
the company has been trading profitably for some time, the reserves can far
outweigh the Ordinary Share Capital of the company as a proportion of total
Shareholders' Funds.
CAAR: Cumulative abnormal returns
Efficient market hypothesis is the theory that claims that the current price of a share
reflects everything that is known about the company and its future earnings potential, and
that is it impossible to beat the market consistently.
Event is something that takes place—an occurrence and arbitrary point in time. The
term also refers to a significant occurrence or happening, or a social gathering or
activity.
Ex-date is the date on which the seller, and not the buyer, of a stock will be entitled
to a recently announced dividend. The ex-date is usually two business days before
the record date. It is indicated in newspaper listings with an x.
Semi Strong Form Efficient suggests that only information that is not publicly
available can benefit investors seeking to earn abnormal returns on investments. All
other information is accounted for in the stocks price and, regardless of the amount of
fundamental and technical analysis one performs, above normal returns will not be had.

BIBLIOGRAPHY:
Books:
 “Modern Portfolio Theory and Investment analysis” by Elton and Gruber
 “Investment Analysis and Portfolio Management” by Prasanna Chandra
Articles
 Ekkehart Boehmer: Event-study methodology under conditions of event-
induced variance*(Journal of financial economics vol 30(1991)253-272)
 M Obaidullah : How Do Stock Price React to Bonus Issues?
(Vikalpa vol 17(1992) page 17-22)
 Rajiv D. Banker: Complementarity of prior acconting information: The
case of stock dividend announcements (The accounting review, vol 68,
no 1(1993) page 28-47)
 A K Mishra: An Empirical Analysis of Market Reaction around the Bonus
Issues in India (The ICFAI university press)
 Amithab Gupta: Impact of Earnings Announcements on Stock Prices
(The ICFAI University press)
Software Used:
 Microsoft Excel
 SPSS Software
Databases:
 Prowess
 Capital-online
Websites:
 www.nseindia.com
 www.google.com
 www.yahoo.com/finance

Analysis of Market Reaction To Bonus Issues-Sneha D-04107

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Analysis of market reaction to bonus issues

Analysis of Market Reaction to Bonus

Master of Business Administration

Reg. No: 04XQCM6092

Under the Guidance and Supervision

Prof. B.V. RUDRA MURTHY

M.P.BIRLA INSTITUTE OF MANAGEMENT

M P Birla Institute of Management Studies 1

It is with great pleasure and gratitude that I acknowledge the contribution of

M P Birla Institute of Management

M P Birla Institute of Management Studies 2

I here by declare that this report entitled “A RESEARCH ON Analysis

Place: Bangalore SNEHA. D

Date: 12-06-2006 Reg. No: 04XQCM6092

M P Birla Institute of Management Studies 3

This is to certify that the Project titled “Analysis of Market Reaction to

Place: Bangalore Prof. B. V. Rudra Murthy

M P Birla Institute of Management Studies 4

This to certify that this report entitled “Analysis of Market Reaction to

Place: Bangalore (Dr. N S Malavalli)

M P Birla Institute of Management Studies 5

Companies issue shares in lieu of consideration. The consideration may be

M P Birla Institute of Management Studies 6

Advantages of issuing Bonus Shares

1. It bridges the gap between capital and fixed assets

1. Shares are issued without any actual money coming in.

Things to remember before considering Bonus Issue

M P Birla Institute of Management Studies 7

What happens when bonus shares are issued?

M P Birla Institute of Management Studies 8

M P Birla Institute of Management Studies 9

Do stock prices in an efficient market follow a random walk?

M P Birla Institute of Management Studies 10

Semi Strong Form Efficiency

1. Share prices adjust instantaneously and in an unbiased fashion to publicly

M P Birla Institute of Management Studies 11

Conducting Event Studies

1. Collect a sample of firms that had issued bonus.

M P Birla Institute of Management Studies 12

The above study is an attempt to investigate the adjustment of stock prices to

M P Birla Institute of Management Studies 13

Almost the entire adjustment in stock prices attributable to the announcement

To determine the ability of commonly-used methods to identify abnormal

M P Birla Institute of Management Studies 14

The traditional test

Standardized residual test

The traditional and standardized residual tests are often conducted in

M P Birla Institute of Management Studies 15

Cross sectional test

The ordinary cross sectional method conducts a t-test by dividing the

Standardized cross-sectional test

Our proposed procedure addresses the misspecification problem of the

M P Birla Institute of Management Studies 16

It is demonstrated that traditional event study method too frequently rejects a

M P Birla Institute of Management Studies 17

1. The bonus announcement date is to be reported in any of the leading

In order to obtain robust results different test statistics need to be applied.

M P Birla Institute of Management Studies 18

This study documents the market behavior around the bonus

M P Birla Institute of Management Studies 19

To the extent that stock dividend announcements change investors

In a signaling equilibrium framework, firm managers choose the level of