Insider Trading,Unexpected Earnings And Post-Earnings Announcement Drift Of A-Share Market

Post-earnings announcement drift(PEAD)is one of the important phenomena in capital market.Investors,as the major of the capital market,make trading decisions based on the information they have.Based on the idea that investors’ under-reaction leads to PEAD,this paper determines the existence of PEAD,and discusses the moderating effect of insider trading with information advantages on PEAD.This paper mainly shows three aspects of research.First,based on Bayes theory,this paper discusses theoretically that insider trading,as an new information,how to affect on PEAD,and puts forward hypotheses based on this theoretical model.Second,this paper uses the quarterly data of 3,584 listed companies from the first quarter of 2013 to the third quarter of 2018 to demonstrate the existence of PEAD in the A-share market.Third,this paper empirically studies the moderating effect of insider trading on PEAD,including the existence of insider trading and the different direction of insider trading(buying and selling).This paper finds that: first,A-share market has significant phenomenon of PEAD,which is robust in different estimation methods and different sample groups.Second,insider trading has an amplifying effect on the effect on PEAD.In addition,the basic conclusion remains the same when change the sample group in different unexpected earnings,shareholding ratio of institutional investors and financial statements forecast.The significance of this paper is as follows: first,it verifies the universality and continuity of PEAD,and shows the moderating effect of insider trading on PEAD.Second,the research of this paper is helpful to optimize financial supervision,regulate insider trading,and help external investors to extend investment ideas.