Media heterogeneity and post‐earnings announcement drift: evidence from China

Ye Guo and Mengqi Huang

Accounting and Finance, 2019, vol. 59, issue 5, 3223-3252

Abstract: This paper examines how the Chinese stock market acts differently towards state‐controlled and market‐oriented media coverage. Using a setting of post‐earnings announcement drift, we find that information from state‐controlled media enters the stock price in a timelier manner, while the message from market‐oriented media needs more time to get a response from investors. The effect is also influenced by whether the type of news coverage is good or bad. Our findings suggest that the capital market underreacts when good news is reported by the market‐oriented media.

Date: 2019
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