MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY  DƯƠNG THÚY AN PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A STUDY OF VIETNAM STOCK MARKET MASTER THESIS Ho Chi Minh City – 2011 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY  DƯƠNG THÚY AN PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A STUDY OF VIETNAM STOCK MARKET MAJOR: FINANCE – BANKING MAJOR CODE: 60.31.12 MASTER THESIS SUPERVISOR: Ph.D TRƯƠNG TẤN THÀNH Ho Chi Minh City – 2011 ACKNOWLEDGEMENT Firstly, I would like to express my profound gratitude and deepest appreciation to my supervisor, Ph.D Trương Tấn Thành, for his intensive support, precious guidance, insightful comments as well as constructive direction throughout my thesis Due to his support, I can overcome many problems during doing this thesis I’m very grateful to nvtrungkr (an admin of forum http://vikool.org) for his help in finding many valuable journal articles Special thanks to Vu Khanh Hoang for his assistance in collecting the data I would like to express my appreciation to all instructors at Faculty of Banking and Postgraduate Faculty, University of Economics Ho Chi Minh City for their support and valuable knowledge during my master course Finally, I wish to thank my beloved family for their boundless support, abundant love and encouragement in my life iii ABSTRACT A substantial number of empirical studies has investigated the information content of earnings announcements While most of studies focus on United of States data or data from other developed countries such as United of Kingdom, Europe, Australia etc, other emerging and developing markets are largely unexplored This motivates us to further explore this issue in Vietnam stock market The study investigates the price reactions to annual earnings announcements on the Vietnam stock market We conduct an event study method on a sample of 109 listed firms of Ho Chi Minh Stock Exchange (HOSE) over the two fiscal years (2009 – 2010) to examine stock price reactions to annual earnings announcements We find that significant abnormal returns before earnings announcements date It provides evidence of informational value of earnings information release The results of this study also provide that stock prices respond more strongly to negative than positive earnings surprises Our findings are robust across several sensitivity analyses Keywords: price reactions, earnings announcements, event study, Vietnam stock market iv Table of Contents LIST OF ABBREVIATION vii LIST OF FIGURES viii LIST OF TABLES ix CHAPTER 1: INTRODUCTION 1.1 Background 1.2 Research objectives and research questions 1.3 Research methodology and scope 1.4 Structure of the thesis CHAPTER 2: LITERATURE REVIEW 2.1 Informational effects 2.2 Stock price reactions to earnings announcements 2.3 Post Earnings Announcements Drift 2.4 Other reactions to earnings announcements 10 2.4.1 Trading volume and earnings announcements 10 2.4.2 Liquidity, information asymmetry and earnings announcements 11 2.4.3 Volatility and earnings announcements 13 2.5 Information disclosure regulation on listed firm in Vietnam 13 2.6 Summary 15 CHAPTER 3: DATA AND METHODOLOGY 16 3.1 Data 16 3.1.1 Sample selection 16 3.1.2 Data collection 16 v 3.1.3 Sample description 17 3.2 Methodology 18 3.2.1 Descriptive statistics 18 3.2.2 Event study 19 3.3 Hypotheses development 22 CHAPTER 4: DATA ANALYSIS AND FINDINGS 24 4.1 Descriptive statistics 24 4.2 Results of the price analysis 25 4.3 Results of price response to unexpected earnings 30 4.4 Sensitivity analysis 32 4.4.1 Concurrent disclosures 32 4.4.2 Rank test 34 CHAPTER 5: CONCLUSIONS AND REMARKS 37 5.1 Conclusions 37 5.2 Implications 37 5.3 Limitations 38 5.4 Recommendations 38 REFERENCES 39 APPENDIX 44 vi LIST OF ABBREVIATION AR Abnormal return AAR Average abnormal return EPS Earning per share HOSE Ho Chi Minh City Stock Exchange HNX Ha Noi Stock Exchange NYSE New York Stock Exchange PEAD Post Earnings Announcements Drift SSC State Securities Commission of Vietnam vii LIST OF FIGURES Figure 3.1 Time line of event study 19 Figure 4.1 Plot of cumulative abnormal return for earnings announcements from day -20 up to day 20 28 Figure 4.2 Plot of cumulative abnormal return for earnings announcements from day -20 up to day 20 31 viii LIST OF TABLES Table 3.1 Sample selection 17 Table 3.2 Sample distributions by timing of announcement 17 Table 3.3 Firm sample distributions by sector 18 Table 4.1 Descriptive statistics for stock price, stock return, and market value in event window 24 Table 4.2 AARs with their t-test around event window [-20; 20] 25 Table 4.3 Cumulative abnormal returns of four periods: pre-event period, announcement day, post-event period and whole period 27 Table 4.4 AAR with their t-test for positive and negative portfolios 30 Table 4.5 AARs with their t-test around event window for sample without major concurrent disclosures 33 Table 4.6 Rank test around event window [-20; 20] 35 ix Price reactions to earnings announcements: A study of Vietnam stock market CHAPTER 1: INTRODUCTION 1.1 Background Companies that trade stocks in the public financial markets are required to report their financial statement Earnings announcement is an official public statement of a company's profitability for a specific time period, typically a quarter or a year Earnings announcements play an important role in the stock market Earnings statements provide much useful information to shareholder, investor, and analyst It reveals how healthy a company’s operation It is one of main factors influenced the value of its stock Investors are dependent on information disclosure of company to determine whether buying or selling stocks of that company A large body of researches in finance and accounting studies the impact of earnings announcements on financial markets Specifically, many researchers have provided evidences on the market response to earnings announcements particularly in developed countries For example: Ball & Brown (1968), Beaver (1968), Morse (1981), May (1971), Kiger (1972), Beaver, Clarke & Wright (1979), Morse (1981), Patell & Wolfson (1984), Foster, Olsen & Shevlin (1984), Jennings & Starks (1985), Bamber & Cheon (1995) They find the effect of earnings announcements on stock price, liquidity, volatility, and information asymmetry Vietnam stock market was established lately in 2000, but it has been a rapid growth It has two stock exchanges: Ho Chi Minh Stock Exchange (HOSE) and Ha Noi Stock Exchange (HNX) HOSE was firstly established in July 28th 2000 with listed firms At the end of 2010, there are 275 listed firms in HOSE The total capitalization value on HOSE at the end of 2010 has reached 591.345 billion VND, 19.4% higher than of 2009 The world financial crisis in 2008 has been impacted strongly the performance According to definition of website www.investopedia.com Price reactions to earnings announcements: A study of Vietnam stock market Table 4.6 Rank test around event window [-20; 20] Event day Ut T-value of Rank test -20 3.31 0.38 -15 3.95 0.45 -10 -12.07 -1.40 -9 -5.21 -0.60 -8 -17.41 -2.02** -7 -16.22 -1.88* -6 -23.83 -2.77** -5 -26.28 -3.05*** -4 -22.49 -2.61*** -3 -14.40 -1.67* -2 2.50 0.29 -1 11.06 1.28 4.82 0.56 5.51 0.64 -2.13 -0.24 -13.25 -1.54 -9.28 -1.07 -11.96 -1.39 -1.05 -0.12 -6.34 -0.73 2.30 0.26 -6.77 -0.78 10 -4.35 -0.50 15 13.80 1.60 20 -10.47 -1.21 Notes: *, **, *** denote statistical significance at 10%, 5%, and 1% level (two-tailed test) respectively The results of rank test by Corrado (1989) are presented in Table 4.6 These results are similar to results of parametric t-test The results show the significant 35 Price reactions to earnings announcements: A study of Vietnam stock market negative abnormal returns on day -8, -7, -6, -5, -4, and -3 in the pre-event period and insignificant on post announcement period 36 Price reactions to earnings announcements: A study of Vietnam stock market CHAPTER 5: CONCLUSIONS AND REMARKS 5.1 Conclusions The study attempts to investigate the stock price reactions to annual earnings announcements in Vietnam stock market We use a sample of 211 annual earnings announcements in HOSE covering a period from 2009 to 2010 Event study method is employed to test the stock price behaviour around earnings release We find significant abnormal returns surrounding earnings announcements date, especially before earnings release This finding is consistent with previous researches that earnings announcements have information content The reactions of stock price are so quickly in the pre-event period We also observe negative stock price reactions to both positive portfolio and negative portfolio The result is similar to the findings offered by Mlonzi, Kruger & Nthoesane (2011) in South African Our result differs from the findings provided by Sponholtz (2008) that show significant positive abnormal return surrounding earnings announcements We also find that the stock market seems to be a strong reaction to negative portfolio than positive portfolio It is consistent with Conrad, Corner and Landsman (2002) that find stock prices respond more strongly to negative than positive earnings surprises Our results are robust after using several sensitivity analyses 5.2  Implications The market reacts significantly in the pre-event period and insignificant on the day of announcement and two days prior It implies that there is information leakage and insider trading before earnings is published to the market It also means that securities law is not enforced strictly  The study also finds evidences that the market reacts negatively for both positive and negative portfolios It implies that accounting information is less informative for individual investors than sentimental factors Vietnam stock market is dominated by individual investors Most individual investors have 37 Price reactions to earnings announcements: A study of Vietnam stock market short-term investment Most of information disclosures are due to regulations of SSC than voluntary disclosures In addition, there is lack of analysts’ forecast following the earnings of listed firms Therefore, investors pay less attention to earnings announcements 5.3  Limitations Sample size is not large The data includes only 109 listed firms on HOSE involving 211 annual earnings announcements for two fiscal years (20092010)  The results for good and bad news portfolio are dependent on the accuracy of the expectation model used to classify the earnings announcements  The market model used to estimate expected return may be misspecify in the Vietnam market due to biased VN Index and uncontinuous trading time 5.4  Recommendations Replicate this study again with a full sample of both listed firms on HOSE and HNX and extending to more time period  Employ quarterly data to examine the stock return reactions to earnings announcements  Apply another model to calculate expected 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Price reactions to earnings announcements: A study of Vietnam stock market APPENDIX Appendix: List of 110 listed firms in the sample No Symbol Company name Sector ABT Bentre Aquaproduct Import And Export Joint Stock Company Manufacturing ACL Cuu Long Fish Joint Stock Company Manufacturing AGF Angiang Fisheries Import & Export Joint Stock Company Manufacturing ALP Alphanam Joint Stock Company Manufacturing ANV Nam Viet corporation Manufacturing BBC Bibica Corporation Manufacturing BHS Bien Hoa Sugar Joint Stock Company Manufacturing BMC Binh Dinh Minerals Company Mining BMP Binh Minh Plastics Joint Stock Company Manufacturing 10 BT6 Beton Corporation 11 CII Hochiminh City Infrastructure Investment Joint Stock Company Construction and real estate Construction and real estate 12 CLC Cat Loi Joint Stock Company Manufacturing 13 COM Materials - Petroleum Joint Stock Company Whole trade and Retail trade 14 CYC Chang Yih Ceramic Joint Stock Company Manufacturing 15 DCC Industry Construction Corporation Construction and real estate 16 DCT Dong Nai Roof sheet And Construction Material Joint Stock Company Manufacturing 17 DHA Hoa An Joint Stock Company Mining 44 Price reactions to earnings announcements: A study of Vietnam stock market No Symbol Company name 18 DHG 19 DIC 20 DMC 21 DPM Petrovietnam Fertilizer And Chemicals Corporation Manufacturing 22 DPR Dong Phu Rubber Joint Stock Company Agriculture, forestry and fisheries 23 DRC Danang Rubber Joint Stock Company Manufacturing 24 DTT Do Thanh Technology Corporation Manufacturing 25 FBT Ben Tre Forestry and Aquaproduct Import Export Joint Stock Company Manufacturing 26 FMC Sao Ta Foods Joint Stock Company Manufacturing 27 FPT FPT Corporation Whole trade and Retail trade 28 GIL 29 GMC 30 GMD Gemadept Corporation Transportation and warehousing 31 GTA Thuan An Wood Processing Joint Stock Company Manufacturing 32 HAP Hapaco Group Joint Stock Company Manufacturing 33 HAS HACISCO Joint Stock Company Construction and real estate 34 HAX 35 HBC Hang Xanh Motors Service Joint Stock Company Hoa Binh Construction & Real Estate Corporation Whole trade and Retail trade Construction and real estate 36 HDC Ba Ria – Vung Tau House Development Joint Stock Company Construction and real estate 37 HMC Ho Chi Minh City Metal Corporation Whole trade and Retail trade Hau Giang Pharmaceutical Joint Stock Company Dic Investment And Trading Joint Stock Company Domesco Medical Import Export Joint Stock Corporation Binh Thanh Import Export Production and Trade Joint Stock Company Sai Gon Garment Manufacturing Trade Joint Stock Company Sector Manufacturing Manufacturing Manufacturing Manufacturing Manufacturing 45 Price reactions to earnings announcements: A study of Vietnam stock market No Symbol Company name 38 HPG Hoa Phat Group Joint Stock Company Manufacturing 39 HRC Hoa Binh Rubber Joint Stock Company Agriculture, forestry and fisheries 40 HSI General Materials Biochemistry Fertilizer Joint Stock Company Manufacturing 41 HT1 Ha Tien Cement Joint Stock Company Manufacturing 42 HTV Ha Tien Transport Joint Stock Company Transportation and warehousing 43 ICF Investment Commerce Fisheries Corporation Manufacturing 44 IMP Imexpharm Pharmaceutical Joint Stock Company Manufacturing 45 ITA Tan Tao Investment Industry Corporation Construction and real estate 46 KDC Kinh Do Corporation Manufacturing 47 KHA Khanh Hoi Import Export Joint Stock Company Construction and real estate 48 KHP Khanh Hoa Power Joint Stock Company Electricity generation and distribution 49 L10 Lilama 10 Joint Stock Company Manufacturing 50 LAF Long An Food Processing Export Joint Stock Company Manufacturing 51 LBM 52 LGC 53 LSS 54 MCP 55 MCV 56 MHC Hanoi Maritime Holding Company Transportation and warehousing 57 MPC Minh Phu Seafood Group Corporation Manufacturing Lam Dong Mineral and Building Material Joint Stock Company Lu Gia Mechanical Electric Joint Stock Company Lam Son Sugar Joint Stock Corporation Sector Manufacturing Construction and real estate Manufacturing My Chau Printing & Packaging Holdings Manufacturing Company Cavico Viet Nam Mining and Construction Mining Joint Stock Company 46 Price reactions to earnings announcements: A study of Vietnam stock market No Symbol Company name Sector 58 NAV Nam Viet Joint Stock Company 59 NSC National Seed Joint Stock Company 60 NTL Tu Liem Urban Development Joint Stock Copany 61 PAC Dry Cell and Storage Battery Joint Stock Company 62 PET Petrovietnam General Services Corporation 63 PGC Petrolimex Gas Joint Stock Company 64 PJT Petrolimex Joint Stock Tanker Company 65 PNC Phuong Nam Cultural Joint Stock Corporation 66 PPC Pha Lai Thermal Power Joint Stock Company 67 PVD Petrovietnam Drilling and Well Services Joint Stock Company Mining 68 PVT PetroVietNam Transportation Corporation Transportation and warehousing 69 RAL Rangdong Light Source and Vacuum Flask Joint Stock Company Manufacturing 70 REE Refrigeration Electrical Engineering Corporation 71 RIC Royal International Corporation 72 SAM Sacom Development and Investment Corporation 73 SAV Savimex Corporation 74 SC5 No Construction Joint Stock Company 75 SCD Chuong Duong Beverages Joint Stock Company Manufacturing 76 SFC Sai Gon Fuel Joint Stock Company Whole trade and Retail trade Manufacturing Agriculture, forestry and fisheries Construction and real estate Manufacturing Whole trade and Retail trade Whole trade and Retail trade Whole trade and Retail trade Whole trade and Retail trade Electricity generations and distribution Construction and real estate Construction and real estate Manufacturing Whole trade and Retail trade Construction and real estate 47 Price reactions to earnings announcements: A study of Vietnam stock market No Symbol Company name 77 SFI 78 SJD 79 SJS 80 SMC 81 SSC Southern Seed Corporation 82 ST8 Sieu Thanh Joint Stock Corporation 83 TAC 84 TCM 85 TCR 86 TDH 87 TMS 88 Sea & Air Freight International Can Don Hydro Power Joint Stock Company Song Da Urban & Industrial Zone Investment and Development Joint Stock Company SMC Investment Trading Joint Stock Company Tuong An Vegetable Oil Joint Stock Company Thanh Cong Textile Garment Investment Trading Joint Stock Company Sector Transportation and warehousing Electricity generation and distribution Construction and real estate Whole trade and Retail trade Agriculture, forestry and fisheries Whole trade and Retail trade Manufacturing Manufacturing Taicera Enterprise Company Manufacturing Thu Duc Housing Development Corporation Transforwarding Warehousing Joint Stock Corporation Construction and real estate Transportation and warehousing TNA Thien Nam Trading Import Export Corporation Whole trade and Retail trade 89 TNC Thong Nhat Rubber Joint Stock Company Agriculture, forestry and fisheries 90 TPC Tan Dai Hung Plastic Joint Stock Company Manufacturing 91 TRC Tay Ninh Rubber Joint Stock Company Agriculture, forestry and fisheries 92 TRI Sai Gon Beverages Joint Stock Company Manufacturing 93 TS4 Seafood Joint Stock Company No4 Manufacturing 94 TSC Techno - Agricultural Supplying Joint Stock Company Whole trade and Retail trade 95 TTP Tan Tien Plastic Packaging Joint Stock Company Manufacturing 48 Price reactions to earnings announcements: A study of Vietnam stock market No Symbol Company name 96 TYA Taya (Vietnam) Electric Wire And Cable Joint Stock Company 97 UIC Idico Urban and House Development Joint Stock Company 98 VFC Vinafco Joint Stock Corporation 99 VHC Vinh Hoan Corporation 100 VIC Vincom Joint Stock Company 101 VID Vien Dong Investment Development Trading Corporation Construction and real estate Whole trade and Retail trade 102 VIP Viet Nam Petroleum Transport Joint Stock Company Transportation and warehousing 103 VIS 104 VNE 105 VNM 106 VPK 107 VSC 108 VSH Vinh Son - Song Hinh Hydropower Joint Stock Company 109 VTB Viettronics Tan Binh Joint Stock Company Manufacturing 110 VTO Viet Nam Tanker Joint Stock Company Viet Nam – Italy Steel Joint Stock Company Vietnam Electricity Construction Joint Stock Corporation Viet Nam Dairy Products Joint Stock Company Vegetable Oil Packing Joint Stock Company Vietnam Container Shipping Joint Stock Company Sector Manufacturing Electricity generation and distribution Transportation and warehousing Manufacturing Manufacturing Construction and real estate Manufacturing Manufacturing Transportation and warehousing Electricity generation and distribution Transportation and warehousing 49 ... performance According to definition of website www.investopedia.com Price reactions to earnings announcements: A study of Vietnam stock market of Vietnam stock market The trading volume of 2010 has reached... persist Price reactions to earnings announcements: A study of Vietnam stock market several days after earnings announcements; show a signal of inefficiency market The study also shows that a positive... reactions to earnings announcements: A study of Vietnam stock market In a working paper, Louhichi (2004) uses intraday data to investigate market reaction around earnings announcements in the Paris Bourse