The Influence Of Media Reports On Market Reaction After Earnings Announcement

The post-earnings announcement drift(PEAD)is a very classic phenomenon of insufficient response,that is,after the earnings announcement,the earnings information contained in the earnings announcement does not react to the stock price in a timely and rapid manner,but gradually reflects to the stock price with the passage of time.In the stock market,the stock with higher actual surplus than the expected one will have a consistent upward drift of stock price,while the stock with lower actual surplus than the unexpected one will have a consistent downward drift of stock price.As an important way for investors to obtain earnings announcement information,media reports will also have an important impact on the dissemination of earnings announcement information,and then affect earnings announcement effect.In our country,because of the special environment and system,the majority of investors in China are retail investors.Most retail investors get earnings announcement information not directly through the annual report or quarterly report,but through the third-party news media.Especially in recent years,with the rapid development of mobile Internet,more and more investors get earnings information through Internet news.Those stocks with earnings information reported by the media are more likely to get investors' attention,while those stocks without earnings information are not easy to notice.In addition,different investors have different preferences for different information sources.Some investors like more well-known news media,some investors are more willing to believe some unknown media information,and the media's reports on earnings information of different stocks are not consistent,which leads some investors to see the relevant information earlier than other investors Interest rate,which leads to expectation divergence among investors,leads to heterogeneous beliefs.Although many scholars have studied the impact of news media on earnings announcement effect from the perspective of limited attention,there is a lack of further research from the perspective of investor heterogeneity that may be caused by media reports.According to the theory of information gradual decentralization,the media's decentralization of earnings announcement information reports will lead to heterogeneous beliefs among investors,which will affect the market response after earnings announcement.From this point of view,this paper selects the relevant news media reports from the day of earnings announcement to three days after earnings announcement,and studies the impact of media reports on the market response to earnings announcement from the perspective of investors' heterogeneous beliefs caused by the dispersion of media reports.In this paper,we first use the technology of web crawler to grab the corresponding news report data from the largest financial information exchange website,Dongfang wealth net bar,and then manually clean and select the media reports related to earnings,and then use the classified news data to explore the impact of media reports on the market response after earnings announcement.Through the event study and statistical analysis,we find that whether the news media has reported the earnings information on the day of earnings announcement and the following three days will have an impact on the stock's short-term stock price response,long-term stock price response,and short-term abnormal trading volume.Specifically,if the media has reported relevant news after the earnings announcement,it will enhance the stock's short-term stock price response In the long run,it will reduce the stock surplus inertia.In addition,this paper introduces the concept of information entropy in the information field to measure the dispersion of media reports according to the theory of information gradualness,so as to draw the conclusion that the dispersion of media reports on earnings announcement information will increase the heterogeneous beliefs among investors on the day of earnings announcement and the next three days,which will lead to the stock with higher dispersion of media reports after earnings announcement,short-term The stock abnormal trading volume will be higher,and the dispersion of media reports has an asymmetric impact on the trading volume after earnings announcement.