The Characteristics Of PEAD In China

This paper examines the post earnings announcement drift (PEAD) phenomenonin A-share market in China. The paper firstly tests the existence of PEAD in Chinaand finds that the drift phenomenon in China is in the opposite direction to what havebeen found in other markets. Then the paper studies the properties of thisphenomenon and found:(1) Earnings information is leaked out before theannouncement day;(2) Market environment has impact on the magnitude of the drift;(3) SOEs have less significant drift behavior;(4) Attention from financial institutionsincreases the magnitude and fluctuation of drift;(5) Good news is more likely togenerate the reversal drift.Unlike previous papers in this field, which just studied the existence of PEADphenomenon in China, this paper examines the micro characteristics about PEAD inChina and finds some special features about the drift phenomenon. This paper alsoshed lights on the overreaction to earnings information and the role of financeinstitutions in this market anomaly.