Price reaction to earnings announcements a study of vietnam stock market

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 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 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 .3 1.3 Research methodology and scope 1.4 Structure of the thesis CHAPTER 2: LITERATURE REVIEW .5 2.1 Informational effects 2.2 Stock price reactions to earnings announcements .5 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 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 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 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 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 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 negative abnormal returns on day -8, -7, -6, -5, -4, and -3 in the pre-event period and insignificant on post announcement period 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 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 earnings  Explore the stock market reactions according to the timing of the earnings announcements  Suggest further research about market efficiency in Vietnam stock market REFERENCES Abad, D., Sanabria, S., & Yagüe, J (2005), Liquidity and information around annual earnings announcements: an intraday analysis of the Spanish Stock market, Working Paper Abarbanell, J S., & Bernard, V L (1992), Tests of Analysts’ Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior, The Journal of Finance, 47(3), 1181 - 1207 Acker, D (2002), Implied Standard Deviations and Post-earnings Announcement Volatility, Journal of Business Finance & Accounting, 29(3-4), 429-456 Acker, D., Stalker, M., & Tonks, I (2002), Daily closing inside spreads and trading volumes around earnings announcements, Journal of Business Finance & Accounting, 29(9/10), 1149-1179 Affleck-Graves, J., Callahan, C M., & Chipalkatti (2002), Earnings Predictability, Information Asymmetry, and Market Liquidity, Journal of Accounting Research, 40(3), 561 - 583 Alzahrani, A A., & Gregoriou, A (2010), What Happens Around Earning Announcements? An Investigation of Information Asymmetry and Trading Activity in the Saudi Market, Working Paper, Brunel University Alzahrani, A., & Skerratt, L (2010), How markets react to earnings announcements in the absence of analysts and institutions: evidence from the Saudi market, Int J Monetary Economics and Finance, 3(4), 338-358 Ariff, M., Loh, A L C., & Chew, P M K (1997), The impact of accounting earnings disclosures on stock prices in Singapore, Asia Pacific Journal of Management, 14, 17-29 Ball, R., & Brown, P (1968), An empirical evaluation of Accounting Income number, Journal of Accounting Research, 6(No.2), 159 - 178 Bamber, L S (1986), The information content of annual earnings releases: a trading volume approach, Journal of Accounting Research, 24(1), 40-56 Bamber, L S (1987), Unexpected Earnings, Firm Size, and Trading Volume Around Quarterly Earnings Announcements, The Accounting Review, 62(3), 510-532 Bamber, L S., & Cheon, Y S (1995), Differential Price and Volume Reactions to Accounting Earnings Announcements, The Accounting Review, 70(3), 417 - 441 Bamber, L S., Barron, O E., & Stevens, D E (2011), Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research, Contemporary Accounting Research, 28(2), 431-471 Beaver, W H (1968), The information content of annual earnings announcements, Journal of Accounting Research, 6, 67-92 Beaver, W H., Clarke, R., & Wright, W F (1979), The association between unsystematic security returns and the magnitude of earnings forecast errors, Journal of Accounting Research, 17(2), 316 - 340 Bernard, V L., & Thomas, J K (1989), Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?, Journal of Accounting Research, 27(Current Studies on The Information Content of Accounting Earnings), 1-36 Bernard, V L., & Thomas, J K (1990), Evidence that stock prices not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics, 13(4), 305-340 Bhattacharya, U., Daouk, H., Jorgenson, B., & Kehr, C.-H (2000), When an event is not an event: the curious case of an emerging market, Journal of Financial Economics, 55(1), 69-101 doi:10.1016/S0304-405X(99)00045-8 Bhushan, R (1994), An informational efficiency perspective on the post-earnings announcement drift, Journal of Accounting and Economics, 18(1), 45-65 Binder, J J (1998), The Event Study Methodology Since 1969, Review of Quantitative Finance and Accounting, 11, 111-137 Booth, G G., Kallunki, J.-P., & Martikainen, T (1996), Post-announcement drift and income smoothing: Finnish evidence, Journal of Business Finance & Accounting, 23(8), 1197-1211 Brown, S J., & Warner, J B (1985), Using daily stock returns: The case of event studies, Journal of Financial Economics, 14(1), 3-31 Campbell, C J., & Wesley, C E (1993), Measuring security price performance using daily NASDAQ returns, Journal of Financial Economics, 33(1), 73-92 doi:10.1016/0304-405X(93)90025-7 Chan, T., Watson, I., & Wee, M (2005), The impact of the Internet on earnings announcements, Pacific-Basin Finance Journal, 13(3), 263-300 Chen, G., Cheng, L T W., & Gao, N (2005), Information Content and Timing of Earnings Announcements, Journal of Business Finance & Accounting, 32(1-2), 65-95 Chen, G., Firth, M., & Gao, N (2002), The Information Content of Concurrently Announced Earnings, Cash Dividends, and Stock Dividends: An Investigation of 40 the Chinese Stock Market, Journal of International Financial Management and Accounting, 13(2), 101-124 Cheung, D K C., & Sami, H (2000), Price and trading volume reaction: the case of Hong Kong companies’ earnings announcements, Journal of International Accounting, Auditing and Taxation, 9(1), 19-42 Corrado, C J (1989), A nonparametric test for abnormal security-price performance in event studies, Journal of Financial Economics, 23(2), 385-395 Corrado, C J (2011), Event studies: A methodology review, Accounting & Finance, 51(1), 207-234 Corrado, C J., & Truong, C (2008), Conducting event studies with Asia-Pacific security market data, Pacific-Basin Finance Journal, 16(5), 493-521 Cowan, A R., & Sergeant, A M A (1996), Trading frequency and event study test specification, Journal of Banking & Finance, 20(10), 1731-1757 Fama, E F., Fisher, L., Jensen, M C., & Roll, R (1969), The Adjustment of Stock Prices to New Information, International Economic Review, 10(1), 1-21 Fan-fah, C., Mohd, S., & Nasir, A (2008), Earnings Announcements: The Impact of Firm Size on Share Prices, Journal of Money, Investment and Banking, 3(3) Forner, C., Sanabria, S., & Marhuenda, J (2009), Post-earnings announcement drift: Spanish evidence, Spanish Economic Review, 11(3), 207-241 Foster, G., Olsen, C., & Shevlin, T (1984), Earnings Releases, Anomalies, and the Behavior of Security Returns, The Accounting Review, 59(4), 574 - 603 Gajewski, J.-F (1999), Earnings announcements, asymmetric information, trades and quotes, European Financial Management, 5(3), 411-423 Hegde, S P., & McDermott, J B (2003), The liquidity effects of revisions to the S&P 500 index: an empirical analysis, Journal of Financial Markets, 6(3), 413-459 Jennings, R., & Starks, L (1985), Information content and the speed of stock price adjustment, Journal of Accounting Research, 23(1), 336-350 Kiger, J E (1972), An Empirical Investigation of NYSE Volume and Price Reactions to the Announcement of Quarterly Earnings, Journal of Accounting Research, 10(1), 113 - 128 Kim, O., & Verrecchia, R E (1991), Trading Volume and Price Reactions to Public Announcements, Journal of Accounting Research, 29(2), 302-321 41 Kim, O., & Verrecchia, R E (1994), Market liquidity and volume around earnings announcements, Journal of Accounting and Economics, 17(1-2), 41-67 Krinsky, I., & Lee, J (1996), Earnings announcements and the components of the bidask spreads, The Journal of Business, 51(4), 1523 - 1535 Landsman, W R., & Maydew, E L (2002), Beaver (1968) revisited: Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades?, Journal of Accounting Research, 40(3), 797-808 Lee, C M C., Mucklow, B., & Ready, M J (1993), Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis, The Review of Financial Studies (1986-1998), 6(2), 345 Lev, B., & Ohlson, J A (1982), Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension, Journal of Accounting Research, 20 Supplem, 249-321 Liu, W., Strong, N., & Xu, X (2003), Post–earnings–announcement Drift in the UK, European Financial Management, 9(1), 89-116 Blackwell Publishing Ltd Louhichi, W (2004), Market Reaction to Annual Earnings Announcements: The Case of Euronext Paris, Working Paper, Gerem, Université de Perpignan Louhichi, W (2008), Adjustment of stock prices to earnings announcements: evidence from Euronext Paris, Review of Accounting and Finance, 7(1), 102 - 115 MacKinlay, A C (1997), Event studies in Economics and Finance, Journal of Economic Literature, 35(1), 13-39 May, R G (1971), The influence of quarterly earnings announcements on investor decisions as reflected in common stock price changes, Journal of Accounting Research, (Empirical Research in Accounting: Selected studies), 119-163 Maynes, E., & Rumsey, J (1993), Conducting event studies with thinly traded stocks, Journal of Banking & Finance, 17(1), 145-157 Mlonzi, V F., Kruger, J., & Nthoesane, M G (2011), Share price reaction to earnings announcement on the JSE-ALtX: a test for market efficiency, Southern African Business Review, 15(3), 142-166 Morse, D (1981), Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination, Journal of Accounting Research, 19(2), 374-383 Morse, D., & Ushman, N (1983), The effect of Information Announcements on the market microstructure, The Accounting Review, 58(2), 247 - 258 Nguyen, N D (2009), Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets, Thesis for the Degree of Doctor of Philosophy, The Brunel University of West London Otogawa, K (2003), Market liquidity around Quarterly EA: evidence from Japan, Working Paper, Kobe University Patell, J M., & Wolfson, M A (1984), The intraday speed of adjustment of stock prices to earnings and dividend announcements, Journal of Financial Economics, 13(2), 223-252 Ranaldo, A (2003), Intraday Market Dynamics Around Public Information Arrivals, SSRN Electronic Journal Retrieved from http://www.ssrn.com/abstract=475524 Rangan, S., & Sloan, R G (1998), Implications of the Integral Approach to Quarterly Reporting for the Post-Earnings-Announcement Drift, The Accounting Review, 73(3), 353 - 371 Ray, & Ball (1992), The earnings-price anomaly, Journal of Accounting and Economics, 15(2-3), 319-345 Sponholtz, C (2008), The information content of Earnings Announcements in Denmark, International Journal of Managerial Finance, 4(1), 4-36 Su, D (2003), Stock price reactions to earnings announcements: evidence from Chinese markets, Review of Financial Economics, 12(3), 271 - 286 Trần, H G (2010), Hiệu thị trường chứng khoán trước thông tin, Master Thesis, Fulbright Economics Teaching Program Venkatesh, C P., & Chiang, R (1986), Information Asymmetry and the Dealer’s BidAsk Spread: A Case Study of Earnings and Dividend Announcements, The Journal of Finance, 41(5), 1089 -1102 Yohn, T L (1998), Information Asymmetry Around Earnings Announcements, Review of Quantitative Finance and Accounting, 11(2), 165-182 The Ministry of Finance (2010), Circular No 09/2010/TT-BTC of The Ministry of Finance dated 15 January 2010 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 AC L 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 Construction and real estate 11 CII Hochiminh City Infrastructure Investment Joint Stock Company 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 No Symbol Company name Sector 18 DHG Hau Giang Pharmaceutical Joint Stock Company Manufacturing 19 DIC Dic Investment And Trading Joint Stock Company Manufacturing 20 DMC Domesco Medical Import Export Joint Stock Corporation Manufacturing 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 Binh Thanh Import Export Production and Trade Joint Stock Company Manufacturing 29 GMC Sai Gon Garment Manufacturing Trade Joint Stock Company Manufacturing 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 Hang Xanh Motors Service Joint Stock Company Whole trade and Retail trade 35 HBC Hoa Binh Construction & Real Estate Corporation 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 No Symbol Company name Sector 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 IT A 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 Lam Dong Mineral and Building Material Joint Stock Company Manufacturing 52 LGC Lu Gia Mechanical Electric Joint Stock Company Construction and real estate 53 LSS Lam Son Sugar Joint Stock Corporation Manufacturing 54 MCP My Chau Printing & Packaging Holdings Company Manufacturing 55 MCV Cavico Viet Nam Mining and Construction Joint Stock Company Mining 56 MHC Hanoi Maritime Holding Company Transportation and warehousing 57 MPC Minh Phu Seafood Group Corporation Manufacturing No Symbol Company name Sector 58 NAV Nam Viet Joint Stock Company Manufacturing 59 NSC National Seed Joint Stock Company Agriculture, forestry and fisheries 60 NTL Tu Liem Urban Development Joint Stock Copany Construction and real estate 61 PAC Dry Cell and Storage Battery Joint Stock Company Manufacturing 62 PET Petrovietnam General Services Corporation Whole trade and Retail trade 63 PGC Petrolimex Gas Joint Stock Company Whole trade and Retail trade 64 PJT Petrolimex Joint Stock Tanker Company Whole trade and Retail trade 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 Construction and real estate 71 RIC Royal International Corporation Construction and real estate 72 SAM Sacom Development and Investment Corporation Manufacturing 73 SAV Savimex Corporation Whole trade and Retail trade 74 SC5 No Construction Joint Stock Company Construction and real estate 75 SCD Chuong Duong Beverages Joint Stock Company Manufacturing 76 SFC Sai Gon Fuel Joint Stock Company Whole trade and Retail trade Whole trade and Retail trade Electricity generations and distribution No Symbol Company name 77 SFI 78 SJD 79 SJS 80 SMC 81 SSC Southern Seed Corporation Agriculture, forestry and fisheries 82 ST8 Sieu Thanh Joint Stock Corporation Whole trade and Retail trade 83 TAC Tuong An Vegetable Oil Joint Stock Company Manufacturing 84 TCM Thanh Cong Textile Garment Investment Trading Joint Stock Company Manufacturing 85 TCR Taicera Enterprise Company Manufacturing 86 TDH Thu Duc Housing Development Corporation Construction and real estate 87 TMS Transforwarding Warehousing Joint Stock Corporation Transportation and warehousing 88 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 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 Sector Transportation and warehousing Electricity generation and distribution Construction and real estate Whole trade and Retail trade No Symbol Company name Sector 96 TYA Taya (Vietnam) Electric Wire And Cable Joint Stock Company Manufacturing 97 UIC Idico Urban and House Development Joint Stock Company Electricity generation and distribution 98 VFC Vinafco Joint Stock Corporation Transportation and warehousing 99 VHC Vinh Hoan Corporation Manufacturing 100 VIC Vincom Joint Stock Company Construction and real estate 101 VID Vien Dong Investment Development Trading Corporation Whole trade and Retail trade 102 VIP Viet Nam Petroleum Transport Joint Stock Company Transportation and warehousing 103 VIS Viet Nam – Italy Steel Joint Stock Company Manufacturing 104 VNE Vietnam Electricity Construction Joint Stock Corporation Construction and real estate 105 VNM Viet Nam Dairy Products Joint Stock Company Manufacturing 106 VPK Vegetable Oil Packing Joint Stock Company Manufacturing 107 VSC Vietnam Container Shipping Joint Stock Company Transportation and warehousing 108 VSH Vinh Son - Song Hinh Hydropower Joint Stock Company Electricity generation and distribution 109 VTB Viettronics Tan Binh Joint Stock Company Manufacturing 110 VTO Viet Nam Tanker Joint Stock Company Transportation and warehousing ... 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. .. data to examine the stock return reactions to earnings announcements  Apply another model to calculate expected earnings  Explore the stock market reactions according to the timing of the earnings. .. announcements: an intraday analysis of the Spanish Stock market, Working Paper Abarbanell, J S., & Bernard, V L (1992), Tests of Analysts’ Overreaction/Underreaction to Earnings Information as