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

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

Journal of Banking & Finance, 2019, vol. 106, issue C, 82-92

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.

Keywords: Media capture; Local versus non-local Chinese media; PEAD (search for similar items in EconPapers)
JEL-codes: G1 G3 M41 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:106:y:2019:i:c:p:82-92

DOI: 10.1016/j.jbankfin.2019.05.008

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