Does Annual Results Announcement Affect Returns:An Investigation into Stocks with Options and Stocks without Options

The basic purpose of this paper is to study the impact of companies' annual results announcement on optioned stock returns relative to returns from stocks without options. If the proposition of information reflecting in options market earlier than spot market holds good, then there should be least impact of any information on returns from stocks with options relative to stocks without options. Using Standard Event methodology suggested by Brown and Warner (1985) and Kothari and Warner (1997) we find convincing evidence that announcement of companies' annual results do not significantly influence the returns from stock with options. However, returns from stocks without options have been significantly influenced by annual results announcement. This reinforces the observation that any stock related private information gets reflected in the options market before it gets reflected in stock market. However, in case stocks without options, as there are no other venues to act upon any private information, the impact of the same gets reflected in stocks prices themselves.