Share price reaction to financial and integrated reports

Published in: South African Journal of Accounting Research
Volume 32, issue 2-3, 2018 , pages: 174–188
DOI: 10.1080/10291954.2018.1514141
Author(s): Gizelle D. WillowsCollege of Accounting, South Africa, Jessica A. RockeyCollege of Accounting, South Africa


This study analyses whether significant cumulative average abnormal returns (CAAR) are observed before and after the release of financial results and integrated reports. The study was completed through the use of event study methodology, based on the capital asset pricing model for the top 40 companies listed on the Johannesburg Stock Exchange, over the period from 2012 to 2015. The study finds evidence of statistically significant CAAR. Furthermore, there appears to be stronger market reaction to the release of financial results than integrated reports. The resulting conclusion highlights the lagging trend of share price movements in relation to financial statement releases, while clarifying the lack of any noticeable reaction to the release of integrated reports. The study provides insight into market reaction and, given the increased research on the value of the integrated report, creates an awareness that is important for application of accounting practice.

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