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Post-earnings announcement abnormal return in the Chinese equity market
16 references·7 citing·43 second hop
Post-earnings announcement abnormal return in the Chinese equity market (2011)Post-earnings announcement abnormal retur…Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts (2006)Comparing the Post-Earnings A…China share issue privatization: the extent of its success (2003)China share issue privatizati…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…Capital markets research in accounting (2001)Capital markets research in a…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Presidential Address: Friction (2000)Presidential Address: FrictionInvestor Sophistication and Patterns in Stock Returns after Earnings Announcements (2000)Investor Sophistication and P…Costly Arbitrage: Evidence from Closed-End Funds (1996)Costly Arbitrage: Evidence fr…The Limits of Arbitrage (1995)The Limits of ArbitrageMarket liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)An analysis of intertemporal …Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements (1985)Predisclosure Information, Fi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance (2022)Asymmetric response to earnin…Relationship between investor sentiment and earnings news in high‐ and low‐sentiment periods (2020)Relationship between investor…Investor sentiment and stock price: Empirical evidence from Chinese SEOs (2020)Investor sentiment and stock …Local versus non-local effects of Chinese media and post-earnings announcement drift (2019)Local versus non-local effect…Cross-shareholding networks and stock price synchronicity: Evidence from China (2019)Cross-shareholding networks a…Executive shareholding, compensation, and analyst forecast of Chinese firms (2016)Executive shareholding, compe…Analyst earnings forecast under complex corporate ownership in China (2015)Analyst earnings forecast und…Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Disclosure, Liquidity, and the Cost of Capital (1991)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)Dividend Policy, Growth, and the Valuation of Shares (1961)An Intertemporal Capital Asset Pricing Model (1973)Earnings Asan Explanatory Variable for Returns (1991)Forecasting Profitability and Earnings (2000)Does Greater Firm‐Specific Return Variation Mean More or Less Informed Stock Pricing? (2003)The relationship between return and market value of common stocks (1981)Earnings Innovations, Earnings Persistence, and Stock Returns (1987)Reputation and Performance Among Security Analysts (1992)The Geography of Equity Analysis (2005)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market liquidity as a sentiment indicator (2004)Individualism and Momentum around the World (2010)Time Series Momentum (2011)Judgment under Uncertainty: Heuristics and Biases (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2001Capital markets research in accounting2,575 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1989An analysis of intertemporal and cross-sectional determinants of earnings response coefficients1,685 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 1985Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements1,005 cited
  • 2003China share issue privatization: the extent of its success961 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?861 cited
  • 1996Costly Arbitrage: Evidence from Closed-End Funds801 cited
  • 2000Investor Sophistication and Patterns in Stock Returns after Earnings Announcements746 cited
  • 2000Presidential Address: Friction681 cited

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  • 2006Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts681 cited
  • Cited by

    • 2022Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance49 cited
    • 2019Local versus non-local effects of Chinese media and post-earnings announcement drift47 cited
    • 2019Cross-shareholding networks and stock price synchronicity: Evidence from China44 cited
    • 2020Investor sentiment and stock price: Empirical evidence from Chinese SEOs41 cited
    • 2020Relationship between investor sentiment and earnings news in high‐ and low‐sentiment periods38 cited
    • 2016Executive shareholding, compensation, and analyst forecast of Chinese firms27 cited
    • 2015Analyst earnings forecast under complex corporate ownership in China26 cited