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Feng, Q., Ning, D., Zhang, W., Zhou, R. Investor’s Inattention and Earnings Announcement Effects on Tomb-Sweeping Day in China. Credit and Capital Markets – Kredit und Kapital, 55(2), 291-320. https://doi.org/10.3790/ccm.55.2.291
Feng, Qingchen; Ning, Dengyun; Zhang, Wan and Zhou, Rui "Investor’s Inattention and Earnings Announcement Effects on Tomb-Sweeping Day in China" Credit and Capital Markets – Kredit und Kapital 55.2, 2022, 291-320. https://doi.org/10.3790/ccm.55.2.291
Feng, Qingchen/Ning, Dengyun/Zhang, Wan/Zhou, Rui (2022): Investor’s Inattention and Earnings Announcement Effects on Tomb-Sweeping Day in China, in: Credit and Capital Markets – Kredit und Kapital, vol. 55, iss. 2, 291-320, [online] https://doi.org/10.3790/ccm.55.2.291
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Investor’s Inattention and Earnings Announcement Effects on Tomb-Sweeping Day in China

Feng, Qingchen | Ning, Dengyun | Zhang, Wan | Zhou, Rui

Credit and Capital Markets – Kredit und Kapital, Vol. 55 (2022), Iss. 2 : pp. 291–320

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.55.2.291
Language
English
Pages
30
Keywords

Author Details

Qingchen Feng, Southwestern University of Finance and Economics, 555 Liutai ­Avenue, Wenjiang District, Chengdu, 611130, China, +86 158 8244 2272.

Dengyun Ning, HSBC Bank (China), Shanghai, 200120, China, +86 139 8221 2565.

Wan Zhang (Corresponding author), Southwestern University of Finance and Economics, 555 Liutai Avenue, Wenjiang District, Chengdu, 611130, China, +86 189 8076 6136.

Rui Zhou, Sichuan Conservatory of Music, 620 Shulong Avenue, Xindu District, Chengdu, 610500, China, +86 186 2807 7799.

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Abstract

This study investigates the relationship between investor inattention and earnings announcement effects around a Chinese holiday called Tomb-Sweeping Day, which, unlike other holidays, is short. Not only is investor attention distracted, which can generate emotional fluctuation, but a large number of listed companies issue earnings announcements within two days before the holiday. Using a sample of listed firms from 2008 to 2019 that released earnings announcements on Tomb-Sweeping Day, we first find that earnings announcement effects exist around Tomb-Sweeping Day, which are not studied in the previous literature. Second, because investors are more inclined to ignore negative earnings information around the holiday, we find stronger post drift from negative earnings announcements than from positive ones, in contrast to the conventional view. Finally, we confirm that investor inattention causes earnings announcement effects, providing further evidence to support behavioural finance theory.

Table of Contents

Section Title Page Action Price
Qingchen Feng et al.: Investor’s Inattention and Earnings Announcement Effects on Tomb-Sweeping Day in China 291
Abstract 291
I. Introduction 291
II. Literature Review and Hypothesis Development 294
1. Market Anomaly: Earnings Announcement Effect 294
2. Market Anomaly: The Holiday Effect 295
3. Hypothesis Development 296
III. Data and Methodology 297
1. Data 297
2. Research Design 298
a) CARs 299
b) Standardised Unexpected EPS 299
c) Investor Attention 291
d) Other Control Variables 291
3. Research Models 291
IV. Empirical Analyses 291
1. CARs 291
2. The Earnings Announcement Effect on Tomb-Sweeping Day 291
3. Investor Attention and the Earnings Announcement Effect on Tomb-Sweeping Day 292
4. Endogeneity Problem 292
V. Conclusions 292
References 292

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