Stock Returns and Trading Activity Around Earnings Announcements for Chinese A-Shares
نویسندگان
چکیده
This study examines annual earnings announcements for Chinese A-shares, a market dominated by retail investors where short selling is prohibited. We document a significant tendency for A-share prices to increase on the days, both, before and after the earnings announcement date. In contrast, we find a significant tendency for A-share prices to decline on the day of the announcement, immediately following the earnings release. Consistent with Miller’s (1977) theory, abnormal returns on the days before, on, or after the announcement day are directly related to abnormal trading activity measured over the same time period, but negatively related to abnormal trading in earlier periods.
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