Market Segmentation and Market Reactions to Earnings Announcements: A Quarterly Analysis

The purpose of this paper is to examine, using quarterly financial data, how the market reaction to earnings announcements in each market segment （prime market segment, standard market segment, and growth market segment） has changed after the revision of market segmentation at the Tokyo Stock Exchange. For the research design, the abnormal volume and residual returns for the 12 quarters around April 1, 2022, when the market segmentation was changed, were calculated using the analysis method of Beaver et al. ［2020］. The results of the analysis suggest that volume is significantly affected by changes in market segmentation. In addition, for the group of stocks in the growth market, there appears to have been some change in the trend of stock price fluctuations after the market segmentation revision.

論説 (Articles)