Stock Market Reactions To Financial Statement Announcement: An Empirical Investigation Based On Chinese A-Shares

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Authors: Chong Li
Cited by: 0

Abstract

Since the discovery of post earnings announcement drift, there has been a lot of research dedicated to this stock market anomaly. With Chinese A-share stock performance data from 2017 to 2024, we found a market-adjusted abnormal return of about 4.5% in the 120-trading day period following financial statement announcement, ranging from -10.0% to 11.8% depending on years. Using a panel model with fixed effects for both individual firm and fiscal year to identify the driving factors of this post-announcement drift, we found that the security financing facility has mitigated the positive announcement drift by reducing the average abnormal daily returns by 0.044, 0.059 and 0.063 percentage points for the 30, 60, and 90-day period. Our final model can explain 19.0%, 23.4% and 25.3% of the variation in post announcement average abnormal returns for the 30, 60, and 90-day period, respectively. Relevant market factors such as investor divergence of opinion and liquidity, information quality corresponding to the financial statement, investor inattention, and corporate fundamentals also play a role in explaining the post announcement abnormal returns.

Fields of Study & Subjects

Financial Reporting and Valuation Research Auditing Earnings Management Governance Financial Markets and Investment Strategies

Publication details

Journal / source
Journal of Intelligent Decision Making and Information Science
Volume
3
Issue
5s
Pages
1312–1343
Publication date
31 July 2026
Language
EN