Effect of the monsoon forecast announcement on stock returns

The Indian summer monsoon rainfall (ISMR) has considerable influence on the Indian economic and corporate performance. Therefore, the announcement of long-range ISMR forecasts by the Indian Meteorological Department can be expected to impact stock returns significantly. We find that the initial ISMR...

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Autores principales:	Viswanathan Nagarajan, Raja R.Reddy Singareddy, Kulbir Singh
Formato:	article
Lenguaje:	EN
Publicado:	Elsevier 2021
Materias:	Event study Market efficiency Monsoon Stock returns Weather Weather forecast Business HF5001-6182
Acceso en línea:	https://doaj.org/article/46a8a39d6aca4951a19c491bd911401a
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spelling	oai:doaj.org-article:46a8a39d6aca4951a19c491bd911401a2021-11-20T04:55:57ZEffect of the monsoon forecast announcement on stock returns0970-389610.1016/j.iimb.2021.09.003https://doaj.org/article/46a8a39d6aca4951a19c491bd911401a2021-09-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S0970389621000938https://doaj.org/toc/0970-3896The Indian summer monsoon rainfall (ISMR) has considerable influence on the Indian economic and corporate performance. Therefore, the announcement of long-range ISMR forecasts by the Indian Meteorological Department can be expected to impact stock returns significantly. We find that the initial ISMR forecast announcement is associated with statistically significant post-announcement cumulative average abnormal returns (CAARs) for CNX 500 stocks. The CAARs are positive for forecasts of normal ISMR and negative for forecasts of below normal ISMR. Further, we report statistically significant pre-announcement CAARs which unexpectedly are positive for both types of forecasts. We also provide evidence indicating that investors rationally allocate their attention towards pricing the effect of the ISMR forecast on large stocks.Viswanathan NagarajanRaja R.Reddy SingareddyKulbir SinghElsevierarticleEvent studyMarket efficiencyMonsoonStock returnsWeatherWeather forecastBusinessHF5001-6182ENIIMB Management Review, Vol 33, Iss 3, Pp 239-256 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Event study Market efficiency Monsoon Stock returns Weather Weather forecast Business HF5001-6182
spellingShingle	Event study Market efficiency Monsoon Stock returns Weather Weather forecast Business HF5001-6182 Viswanathan Nagarajan Raja R.Reddy Singareddy Kulbir Singh Effect of the monsoon forecast announcement on stock returns
description	The Indian summer monsoon rainfall (ISMR) has considerable influence on the Indian economic and corporate performance. Therefore, the announcement of long-range ISMR forecasts by the Indian Meteorological Department can be expected to impact stock returns significantly. We find that the initial ISMR forecast announcement is associated with statistically significant post-announcement cumulative average abnormal returns (CAARs) for CNX 500 stocks. The CAARs are positive for forecasts of normal ISMR and negative for forecasts of below normal ISMR. Further, we report statistically significant pre-announcement CAARs which unexpectedly are positive for both types of forecasts. We also provide evidence indicating that investors rationally allocate their attention towards pricing the effect of the ISMR forecast on large stocks.
format	article
author	Viswanathan Nagarajan Raja R.Reddy Singareddy Kulbir Singh
author_facet	Viswanathan Nagarajan Raja R.Reddy Singareddy Kulbir Singh
author_sort	Viswanathan Nagarajan
title	Effect of the monsoon forecast announcement on stock returns
title_short	Effect of the monsoon forecast announcement on stock returns
title_full	Effect of the monsoon forecast announcement on stock returns
title_fullStr	Effect of the monsoon forecast announcement on stock returns
title_full_unstemmed	Effect of the monsoon forecast announcement on stock returns
title_sort	effect of the monsoon forecast announcement on stock returns
publisher	Elsevier
publishDate	2021
url	https://doaj.org/article/46a8a39d6aca4951a19c491bd911401a
work_keys_str_mv	AT viswanathannagarajan effectofthemonsoonforecastannouncementonstockreturns AT rajarreddysingareddy effectofthemonsoonforecastannouncementonstockreturns AT kulbirsingh effectofthemonsoonforecastannouncementonstockreturns
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Effect of the monsoon forecast announcement on stock returns

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