The role of institutional investors in post-earnings announcement drift: evidence from China
The role of institutional investors in post-earnings announcement drift: evidence from China
复制标题
机构投资者在财报发布后漂移中的作用：来自中国的证据
DOI：
10.1080/00014788.2020.1773755
复制
发表时间：
2020
影响因子：
1.7
通讯作者：
Xu Xiaowei
中科院分区：
文献类型：
--
作者：
Cai Guilong;Lin Bingxuan;Wei Minghai;Xu Xiaowei
我们考察了机构投资者如何影响中国的盈利公告后漂移(PEAD)。我们的研究结果表明，机构持股与中国的PEAD呈正相关，尤其是当机构投资者对盈利消息产生强烈羊群效应时。这种正向关系对于投资视野较短的机构投资者和信息不透明程度较高的公司更为显著。我们还发现，在业绩公布后的第四季度，股价出现了逆转。与机构投资者利用PEAD并加快信息整合速度的成熟观点相反，我们的发现表明，它们可能反而会加剧PEAD，并减缓具有不同制度背景的新兴市场的价格发现。
We examine how institutional investors influence post-earnings announcement drift (PEAD) in China. Our findings suggest that institutional holdings are positively correlated with PEAD in China, especially when institutional investors herd strongly on earnings news. This positive relationship is more salient for institutional investors with shorter investment horizons and in firms with higher information opacity. We also find that stock prices reverse in the fourth quarter after the earnings announcement. In contrast to the well-established view that institutional investors exploit PEAD and accelerate the speed of information incorporation, our findings suggest that they may instead exacerbate PEAD and slow down price discovery in emerging markets with different institutional backgrounds.