Journal
JOURNAL OF BANKING & FINANCE
Volume 106, Issue -, Pages 82-92Publisher
ELSEVIER
DOI: 10.1016/j.jbankfin.2019.05.008
Keywords
Media capture; Local versus non-local Chinese media; PEAD
Categories
Funding
- Natural Science Foundation of China (NSFC) [71472162, 71502139, 71302195]
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Taking advantage of the institutional difference in capture between local and non-local media in China, we examined the association between media capture and post-earnings announcement drift (PEAD). Using both portfolio and regression analyses, we found that, for the same firms, non-local media coverage is negatively associated with PEAD; however, there is no association between local media coverage and PEAD, except for non-state-owned firms. Given that in China, non-local media are less captured or more independent than local media, the negative association observed for non-local media coverage can be interpreted as an indication that media independence plays a role in reducing PEAD or improving informational efficiency in the stock market. (C) 2019 Published by Elsevier B.V.
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