Local versus Non-Local Effects of Chinese Media and Post-Earnings Announcement Drift

Taking advantage of the institutional difference in capture between local and non-local media in China, we examine the association between media capture and post-earnings announcement drift (PEAD). Using both portfolio and regression analyses, we find that, for the same firms, non-local media coverage is negatively associated with PEAD but that there is no association between local media coverage and PEAD except for non-state-owned firms. Given that in China non-local media are less captured or more independent than local media, the negative association observed for non-local media coverage can be interpreted as an indication that media independence plays a role in reducing PEAD or improving informational efficiency in the stock market