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LIMITED ATTENTION AND POST-EARNINGS ANNOUNCEMENT DRIFT: EVIDENCE FROM CHINA’S STOCK MARKET

International journal of economics and financial issues, 2021-01, Vol.11 (1), p.1-17 [Peer Reviewed Journal]

2021. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2146-4138 ;EISSN: 2146-4138 ;DOI: 10.32479/ijefi.10817

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  • Title:
    LIMITED ATTENTION AND POST-EARNINGS ANNOUNCEMENT DRIFT: EVIDENCE FROM CHINA’S STOCK MARKET
  • Author: Chen, Qian ; Gao, Xiang ; Liu, Gangchen
  • Subjects: Securities markets
  • Is Part Of: International journal of economics and financial issues, 2021-01, Vol.11 (1), p.1-17
  • Description: This paper utilizes Chinese stock data to provide further evidence on the power of limited attention theory in explaining post-earnings announcement drift. As retail investors prevail in China and they are easily distracted by market swings, we should expect severe attention problems, resulting in larger underreaction to firm information and higher sensitivity to market movement, i.e., the so-called “market movement effect”. After accounting for special arrangements such as preannouncements and earnings previews, we confirm a strong presence of this effect in Chinese stock market, given the “Friday effect” and “announcement concentration effect” being controlled for. Moreover, the effect is asymmetric in market up and down, and becomes more pronounced for small-cap and value stocks.
  • Publisher: Mersin: EconJournals
  • Language: English
  • Identifier: ISSN: 2146-4138
    EISSN: 2146-4138
    DOI: 10.32479/ijefi.10817
  • Source: ProQuest Central
    DOAJ Directory of Open Access Journals
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