Certainly in the UK CAP 413 states it should be done as below:
Continuation of Communications
The placement of the callsigns of both the aircraft and the ground station
within an established RTF exchange should be as follows:
Ground to Air: Aircraft callsign – message or reply.
Air to Ground:
a) Initiation of new information/request etc. – Aircraft callsign then message;
b) Reply – Repeat of pertinent information/readback/acknowledgement then aircraft callsign.
Of course other countries have their own way of doing things at times !!!