Media Heterogeneity And Post-Earnings Annoucement Drift

Media reports have always been the main source of information for Chinese investors.However,the false reports that follow,the crisis of trust,and the careful choice of supervision between timeliness and effectiveness make the heterogeneity of state-controlled media and market-oriented media an important issue to research on.And how the capital market reacts has become an urgent problem to be solved,too.This paper applies the 2006-2017 Chinese A-share listed company's quarterly earnings disclosure data as sample.By merging the quarterly earnings data with CSMAR securities news data,this paper studies the relationship between media heterogeneity and post-earnings announcement drift.The conclusion shows that,firstly,in the current period of earnings announcement,investors are more likely to place trust in the reports from state-controlled media and respond promptly to the content.In contrast,investors trust less in market-oriented media reporting.Only some investors can respond the news from market-oriented media in a timely manner.Secondly,since market-oriented media reports are of more information and are more accurate,investors will eventually realize that the information from market-oriented media is of value and make full response.Therefore,on the next issue period of the earnings announcement,the information of state-controlled media has been fully responded,while the remaining content that has not been previously interpreted by market-oriented media will be fully reflected in this period.Finally,the good and bad type of the news will also have an impact on investor behavior.When the news is good,investors can respond to state-controlled media reports in the current period and make full digestion,but investors' reaction to are market-oriented media is minimal.And when the media report is on the bearish side,the impact of media heterogeneity on investor behavior may be weakened.Investors treat the report from state-controlled media and market-oriented media equally and they make timely and adequate response.The main contribution of this paper is to systematically prove the difference in the reaction of heterogeneous media reports in the capital market and provide some inspiration for future research on media reports in capital markets.