Local versus Non-Local Effects of Chinese Media and Post-Earnings Announcement Drift

39 Pages Posted: 4 Jun 2019

See all articles by Jeong-Bon Kim

Jeong-Bon Kim

City University of Hong Kong

Liuchuang Li

Xi'an Jiaotong University (XJTU)

Zhongbo Yu

Shenzhen Stock Exchange Research Institute

Hao Zhang

University of Macau - Faculty of Business Administration

Date Written: April 2019

Abstract

Taking advantage of the institutional difference in capture between local and non-local media in China, we examine the association between media capture and post-earnings announcement drift (PEAD). Using both portfolio and regression analyses, we find that, for the same firms, non-local media coverage is negatively associated with PEAD but that 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.

Keywords: Media Capture, Local Versus Non-Local Chinese Media, PEAD

JEL Classification: G1, G3, M41

Suggested Citation

Kim, Jeong-Bon and Li, Liuchuang and Yu, Zhongbo and Zhang, Hao, Local versus Non-Local Effects of Chinese Media and Post-Earnings Announcement Drift (April 2019). Journal of Banking and Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3386917

Jeong-Bon Kim

City University of Hong Kong ( email )

Department of Accountancy
83 Tat Chee Avenue
Kowloon Tong
Hong Kong
852-3442-7909 (Phone)

Liuchuang Li

Xi'an Jiaotong University (XJTU) ( email )

26 Xianning W Rd.
Xi'an Jiao Tong University
Xi'an, Shaanxi 710049
China

Zhongbo Yu

Shenzhen Stock Exchange Research Institute ( email )

Shenzhen
China

Hao Zhang (Contact Author)

University of Macau - Faculty of Business Administration ( email )

Macau

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