The Early Announcement Premium in China A-share Market:Pattern and Mechanism
Exploring the applicability of stock return anomalies in mature stock markets in the A-share market has important theoretical and practical value for understanding the efficiency and stock price operation characteristics of the A-share market.This paper uses quarterly earnings an-nouncements from 2004 to 2020 to study the pattern and mechanism of the earnings announcement premium that exists in mature stock markets in the A-share market.The results indicate that there is a phenomenon of"early announcement premium"in the A-share market,which is conditional on the timing of earnings announcements.That is,firms that are expected to release earnings an-nouncements early have significantly positive excess returns in their stocks during the expected dis-closure period,while firms that announce earnings late do not have this premium.Mechanism anal-ysis finds that"good news early"and insufficient investor response to this cannot explain this phe-nomenon.The rational learning behavior of the market around earnings announcements leads to sig-nificantly higher information uncertainty in early announcements than in late announcements,and thus investors'demand for positive premium compensation is the underlying mechanism.This study not only broadens the research perspective on earnings announcements,but also has certain reference implications for the impact of other cyclical recurring events in the capital market on stock returns.
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