Information Centralized Disclosure And Post-earnings Announcements Drift

Post earnings-announcement-drift(PEAD),also known as earnings momentum,is a violation of the "efficient market hypothesis",found and proposed by Ball in 1968.The specific performance is that there is a difference between the actual surplus and the expected surplus before the earnings announcement-unexpected surplus(UE).In a period of time after the announcement,the cumulative earnings of individual stocks are affected by the unexpected surplus.When the unexpected surplus is larger,individual stocks will get more excess earnings.Subsequently,scholars found that the phenomenon of PEAD exists in the stock markets of many different countries,but the degree and form of drift are different.The PEAD means that the market is not efficient.Investors can arbitrage their stocks through public information to obtain excess returns.Most scholars explain this vision from the perspective of behavioral finance.They think that investors' irrational behavior of "insufficient response" and "overreaction" in investment decision-making results in lagging response to earnings information and drift of accumulated excess earnings after announcement.Subsequently,from the perspective of investor's cognitive ability,scholars put forward the concept of "investor's limited attention" to explain investors' irrational behavior.The theory holds that investors' attention is limited resources within a certain period of time.Scholars believe that the number of announcements on the same day will obviously distract investors' attention.When the announcements are more centralized,investors' attention to earnings information decreases;when the number of announcements on the same day is less,investors can pay full attention to the announcement information.When investors pay more attention to the stock price information,they can make timely response;when investors pay less attention,they will gradually understand the earnings information in the later stage,which makes the abnormal return of individual stocks lag drift.Therefore,the author puts forward the first hypothesis(1): there is a relatively significant phenomenon of PEAD in Chinese stock market,and the cumulative excess earnings after announcement have an impact on the unexpected earnings of industry and company characteristics.(2)when more announcements are issued on the same day,the distraction of investors is more serious(3)"irrelevant information" is more obvious than "relevant information" to distract investors' attention.Through the above theoretical analysis and empirical research,the author draws the following conclusions:(1)There exists earnings momentum in Chinese stock market,which indicates that investors in China lag behind the unexpected information of companies and industries.However,after the announcement,the excess earnings are positively correlated with the unexpected earnings information of the company's characteristics and negatively correlated with the unexpected earnings of the industry.(2)The centralized announcement of earnings announcements will indeed distract investors' attention,thus causing them to be unable to timely understand and respond to earnings information,resulting in the drift of the announcement in the future.(3)When dealing with a large amount of information,investors are more likely to be distracted by "irrelevant information" when confronted with "relevant information" and "irrelevant information".The innovation of this paper lies in the following points:(1)Through the separation of unexpected earnings information,the earnings momentum is further studied in detail.We can further explain the PEAD,and explore the relationship between investors' lag response and unexpected earnings.(2)To verify the effect of the concentration of "relevant information" and "non-relevant information" on the distraction of investors,and prove that the concentrated disclosure of "non-related information" will distract investors' attention,and the more "relevant information" will help investors understand earnings information.