Local versus Non-Local Effects of Chinese Media and Post-Earnings Announcement Drift
Local versus Non-Local Effects of Chinese Media and Post-Earnings Announcement Drift
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DOI：
10.1016/j.jbankfin.2019.05.008
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发表时间：
2019-04
期刊：
影响因子：
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通讯作者：
Jeong‐Bon Kim;Liuchuang Li;Zhongbo Yu;Hao Zhang
中科院分区：
文献类型：
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作者：
Jeong‐Bon Kim;Liuchuang Li;Zhongbo Yu;Hao Zhang
本文利用中国本土媒体和非本土媒体在捕获方面的制度差异，研究了媒体捕获与盈利公告后漂移（PEAD）之间的关系。使用组合和回归分析，我们发现，对于相同的企业，非本地媒体的报道与PEAD负相关，但是，有本地媒体的报道和PEAD之间没有关联，除了非国有企业。鉴于在中国，非本地媒体比本地媒体更少被捕获或更独立，观察到的非本地媒体报道的负相关性可以被解释为媒体独立性在降低PEAD或提高股市信息效率方面发挥作用的迹象。
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.