Stock price reactions to earnings announcements: evidence from Chinese markets |
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Authors: | Dongwei Su |
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Affiliation: | Department of Finance, Jinan University, Guangzhou, Guangdong 510632, China |
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Abstract: | We examine the stock price reactions to changes in earnings per share (EPS) in the Chinese stock markets. We find that domestic A-share investors do not correctly anticipate the changes in earnings and fail to adjust new earnngs information quickly, but international B-share investors can predict earnings changes better than A-share investors. As a result, abnormal returns (ARs) can be obtained by trading on the earnings information, but for A shares only. An explanation is that most A-share holders are individuals with short-term investment horizon while most B-share holders are large institutions that trade on more detailed and accurate financial information not immediately available to A-share holders. |
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Keywords: | Earnings announcements Abnormal returns Event studies Emerging market China |
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