Do Investor Conference Calls Move Stock Prices? Evidence from the Indian Equity Market
Do Investor Conference Calls Move Stock Prices?
Evidence from the Indian Equity Market
Jeblin Bezaleel S.R
Master’s in business administration
Jain CMS Business School, Bangalore, Karnataka
Submitted to Blue papers Manuscript Type: Empirical Research Article
Word Count: approx. 7,200 words
Abstract: This study examines whether investor conference calls have a measurable short-term impact on stock prices of Indian listed companies. Using an event study framework applied to a sample of 16 NSE-listed firms, abnormal returns were computed over a three-day window around each conference call date (Day –1, Day 0, Day +1) using the mean-adjusted return model. The Average Abnormal Return (AAR) on the event day (Day 0) was +1.5536 percent, statistically significant at the 5 percent level (t = 3.52, p = 0.003), with 81.25 percent of sample firms recording positive abnormal returns on that day. The Cumulative Average Abnormal Return (CAAR) peaked at
+2.0421 percent at the close of Day 0 before retreating to +0.4739 percent by Day +1, driven by a significant post-event reversal (AAR = –1.5681%, t = –4.06, p = 0.001). The full three-day window CAAR was not statistically significant (t = 0.80, p = 0.44). These results indicate that conference calls carry value-relevant informational content that is promptly priced in by the market, but the initial positive response is not fully sustained — a pattern consistent with short-term overreaction in an otherwise reasonably efficient emerging market. The study contributes to the limited empirical literature on qualitative corporate disclosure events in the Indian equity market context.
Keywords: investor conference calls; event study; abnormal returns; Indian equity market; market efficiency; voluntary disclosure