Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market

Ho, Kung‐Cheng; Yang, Lu; Luo, Sijia

doi:10.1016/j.jbusres.2021.11.030

Cited by 35 publications

(7 citation statements)

References 104 publications

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“…They have a better expectation of the stock yield and are bolder in their investment; When the market is in a downward trend, investors tend to be pessimistic, with lower expectations of stock returns and more rational investment. Changes in investor sentiment and psychology often cause expectations to deviate from normal rational price expectations, and the market becomes more speculative [9]. When the market is highly speculative, the reversal effect is often widely significant, and the reversal cycle is shorter than that of the less speculative market.…”

Section: Cause and Results Analysismentioning

confidence: 99%

An Empirical Study on the Effectiveness of China's Growth Enterprise Market: A Test Based on Momentum Reversal Effect

Zhou¹

2022

BCPBM

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In capital market anomalies, momentum effect and contrarian effect are typical phenomena in stock market, bond market, commodity market and foreign exchange market. The existence of momentum reversal effect also shows that there is a certain space for perfect integration between the traditional efficient market hypothesis theory, behavioral finance and capital market anomalies. This paper selects 50 stocks in China's GEM stock market from 2019 to 2021 to analyze the momentum effect and reversal effect in the GEM market. The empirical results show that the GEM market reversal effect is more significant in the total sample during this period, but no significant momentum effect has been observed. In addition, during the overall downward trend of the selected stocks, the reversal effect is more obvious, and there is a scale effect. China's GEM stock market is not yet a fully effective market. According to the empirical results, the relevant thinking and suggestions are put forward to promote the stable and healthy development of China's GEM stock market.

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Section: Cause and Results Analysismentioning

confidence: 99%

An Empirical Study on the Effectiveness of China's Growth Enterprise Market: A Test Based on Momentum Reversal Effect

Zhou¹

2022

BCPBM

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“…With the SSE, SZSE, and Beijing Stock Exchange (BSE) presently (Kathiravan et al, 2021), China's capital market, which established in 1990, has made tremendous development over the past 30 years, is moving towards the goal of building an international financial center (Ho et al, 2022). However, China's capital market needs to consolidate the "barometer" function of economic development unremittingly, continue to enhance opening level, and steadily improve multi-level capital market system (Yan and Qi, 2021).…”

Section: Institutional Backgroundmentioning

confidence: 99%

Corporate social responsibility regulation in capital market and environmental information disclosure of listed companies: A quasi-natural experiment from China

Zhang

et al. 2022

Front. Environ. Sci.

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Based on a quasi-natural experiment generated by the Shenzhen Stock Exchange (SZSE) of China, which issued the Guidance for Social Responsibility of Listed Companies (referred to as Guidance) in 2006, this paper utilizes a panel dataset of A-share listed companies at Shanghai Stock Exchange (SSE) and SZSE from 2004 to 2008, and employ difference-in-differences (DID) method to investigate impact of the Guidance on environmental information disclosure quality (Eidq) of listed companies. The finding shows that exchange’s corporate social responsibility (CSR) regulation contributes to improving the Eidq of listed companies. Furthermore, policy effects of the Guidance are more significant in eastern region, heavily polluting industries and state-owned enterprises (SOEs). This study provides theoretical evidence and policy implications for the “two-wheel drive” of China’s stock market regulation and social supervision, and for the construction of an environmental information disclosure system that is more targeted in terms of region, industry and property rights, and that effectively promotes fulfillment of environmental governance responsibility by listed companies and guides their sustainable development actions.

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“…Some recent studies discuss the potential downside of information disclosure, including the induction of behaviour biases such as overreaction and herding behaviour (Chong et al ., 2017; Ho et al ., 2022). An earnings communication conference is an information disclosure in the form of bidirectional firm‐individual investor communications.…”

Section: Hypothesis Developmentmentioning

confidence: 99%

Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China

Yang

Liu

2022

Accounting & Finance

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Earnings communication conferences in China have become the main platform for direct communication between listed firms and individual investors. This study investigates whether hosting an earnings communication conference and its tone affect post‐earnings‐announcement drift (PEAD). We find that hosting an earnings communication conference increases PEAD. One possible explanation for our results is that investors overreact to the stock prices of firms that hold earnings communication conferences. We also conclude that the conference tone is negatively correlated with PEAD. In addition, the market reacts more strongly to the managers’ tone than it does to the investor's tone.

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Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market

Cited by 35 publications

References 104 publications

An Empirical Study on the Effectiveness of China's Growth Enterprise Market: A Test Based on Momentum Reversal Effect

An Empirical Study on the Effectiveness of China's Growth Enterprise Market: A Test Based on Momentum Reversal Effect

Corporate social responsibility regulation in capital market and environmental information disclosure of listed companies: A quasi-natural experiment from China

Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China

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