PMI Index Release and Post-Earnings-Announcement Drift in A-Share Market
PMI index is a kind of forward-looking high-frequency macroeconomic in-formation,and its release time overlaps with the release time of some listed companies'surplus announcements,which delays investors'reaction speed to listed companies'surplus information.Based on the data of listed companies in A-shares from 2018-2023,the empirical results show that the surplus inertia of listed com-panies will be larger when their surplus announcements are released at the same time as the PMI index,and further research also shows that when the PMI index is lower than expected,the industry in which the company is located is a strongly cy-clical industry,and analysts pay less attention to it,the positive effect of the release of the PMI index on the surplus inertia is more significant.The conclusions have three implications.First,security investors can use this anomaly to trade stocks.When a listed company's earnings announcement is released at the same time as the PMI index,they can buy stocks with positive expected performance and short sell stocks with negative expected performance.Second,listed companies should try to avoid the time of PMI index release when releasing a favorable earnings announce-ment,and vice versa when releasing an unfavorable earnings announcement;finally,securities market regulators should strengthen supervision of listed companies dur-ing the time period when macroeconomic information such as the PMI index is re-leased,to prevent listed companies from taking advantage of investors'distracted attention to reduce the quality of earnings announcements.
PMI IndexEarning AnnouncementPEADInvestor AttentionMacro-economic Information
万方数据
维普
