Local versus non-local effects of Chinese media and post-earnings announcement drift
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 82-92 |
| Journal / Publication | Journal of Banking and Finance |
| Volume | 106 |
| Online published | 9 May 2019 |
| Publication status | Published - Sep 2019 |
Link(s)
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.
Research Area(s)
- Local versus non-local Chinese media, Media capture, PEAD
Citation Format(s)
Local versus non-local effects of Chinese media and post-earnings announcement drift. / Kim, Jeong-Bon; Li, Liuchuang; Yu, Zhongbo; Zhang, Hao.
In: Journal of Banking and Finance, Vol. 106, 09.2019, p. 82-92.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
