Market Segmentation and Post Earnings Announcement Drift: Evidence from China
Authors: 
Yarong Hao, Bin Dong, Yazhen LiuAuthors Info & Claims
Yarong Hao, Bin Dong, Yazhen LiuAuthors Info & ClaimsPages 65 - 68
Abstract
This paper examines whether and how changes in the information and trading environments of the Shanghai and Hong Kong markets impact the post earnings-announcement drift (PEAD) of cross-listing A-H shares after the implementation of the Shanghai-Hong Kong Connect. Our empirical evidence shows that there is a decrease in the PEAD in the Shanghai market and an increase in the PEAD in the Hong Kong market. We provide explanations for the different PEAD in the two markets based on the changes in asymmetric information, different risk preferences and demand differences. Our findings complement the literature on PEAD.
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Published In
December 2020
79 pages
ISBN:9781450388924
DOI:10.1145/3446922
Copyright © 2020 ACM.
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Association for Computing Machinery
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Published: 19 March 2021
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EBEE 2020
EBEE 2020: 2020 2nd International Conference on E-Business and E-commerce Engineering
December 29 - 31, 2020
Bangkok, Thailand
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