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

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  • Kim, Jeong-Bon
  • Li, Liuchuang
  • Yu, Zhongbo
  • Zhang, Hao

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.

Suggested Citation

  • Kim, Jeong-Bon & Li, Liuchuang & Yu, Zhongbo & Zhang, Hao, 2019. "Local versus non-local effects of Chinese media and post-earnings announcement drift," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 82-92.
    • Handle: RePEc:eee:jbfina:v:106:y:2019:i:c:p:82-92
    DOI: 10.1016/j.jbankfin.2019.05.008
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    Cited by:

    1. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
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    3. Bao, Wei & Guo, Shijun & Peng, Diefeng & Rao, Yulei, 2023. "Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Gao, Zhan & Quan, Xiaofeng & Xu, Xingmei, 2022. "Under watchful eyes: Analyst site visits and firm earnings management," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Josef Fink, 2020. "A Review of the Post-Earnings-Announcement Drift," Working Paper Series, Social and Economic Sciences 2020-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    6. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    7. Baker, H. Kent & Dutta, Shantanu & Saadi, Samir & Zhong, Ligang, 2022. "Does media coverage affect credit rating change decisions?," Journal of Banking & Finance, Elsevier, vol. 145(C).
    8. Wei Jiang & Daokang Luo & Liwen W.L. Wang & Kevin Zheng Zhou, 2024. "Foreign ownership and bribery in Chinese listed firms: An institutional perspective," Post-Print hal-04432029, HAL.

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    More about this item

    Keywords

    Media capture; Local versus non-local Chinese media; PEAD;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G3 - Financial Economics - - Corporate Finance and Governance
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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