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Journal of Banking & Finance Vol. 106 2019

Local versus non-local effects of Chinese media and post-earnings announcement drift

Jeong‐Bon Kim1; Liuchuang Li2; Zhongbo Yu3; Hao Zhang4,5

1 City University of Hong Kong · 2 Department of Accounting, Xian Jiatong University, Xian, China · 3 Shenzhen Stock Exchange · 4 University of Macau · 5 City University of Macau

Abstract

Taking advantage of the institutional difference in capture between local and non-local media in China, we examined the association between media capture and post-earnings announcement drift (PEAD). Using both portfolio and regression analyses, we found that, for the same firms, non-local media coverage is negatively associated with PEAD; however, there is no association between local media coverage and PEAD, except for non-state-owned firms. Given that in China, non-local media are less captured or more independent than local media, the negative association observed for non-local media coverage can be interpreted as an indication that media independence plays a role in reducing PEAD or improving informational efficiency in the stock market.

DOI
10.1016/j.jbankfin.2019.05.008
Volume
106
Pages
82-92
Language
en
Sources
openalex crossref bibtex:phds-export.bib

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