Institutional Investor Trading Around Earnings Announcements in China

Posted: 17 Jan 2012

See all articles by Yuan Yuan

Yuan Yuan

Shanghai University of Finance and Economics

Yan-Leung Cheung

The Education University of Hong Kong

Kun Jiang

Hong Kong University of Science & Technology (HKUST)

Weiqiang Tan

Hong Kong Baptist University (HKBU)

Date Written: January 17, 2012

Abstract

This study examines the institutional investors’ trading strategies to exploit the post-earnings announcement drift (PEAD) around earnings announcements in China. China’s fund management industry is developing rapidly. Our findings suggest the possibility that institutional investors trade on private information about earnings surprises. Moreover, a bad information environment restricts institutional investors’ ability to exploit PEAD strategies. Further evidence indicates that institutional investors’ trading activities accelerate the speed at which stock prices incorporate earnings information. This study can help the international investment community develop a better understanding of the role of institutional investors in China’s equity market.

Keywords: post-earnings announcement drift, institutional investors, market efficiency, China

JEL Classification: G12, G14, M41

Suggested Citation

Yuan, Yuan and Cheung, Yan-Leung and Jiang, Kun and Tan, Weiqiang, Institutional Investor Trading Around Earnings Announcements in China (January 17, 2012). Available at SSRN: https://ssrn.com/abstract=1986508

Yuan Yuan (Contact Author)

Shanghai University of Finance and Economics ( email )

No. 777 Guoding Road, Shanghai
Shanghai, 200433
China

Yan-Leung Cheung

The Education University of Hong Kong ( email )

Department of Social Sciences
10 Lo Ping Road, Tai Po, New Territories
Hong Kong
Hong Kong

Kun Jiang

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Weiqiang Tan

Hong Kong Baptist University (HKBU)

Department of Economics
Kowloon, Hong Kong
Hong Kong

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